The Driving Force of Swap Spreads
Independent thesis Advanced level (degree of Master (One Year))Student thesis
The interest rate swap is one of the most popular topics that researchers work on since 1980s. Even though there are so many research papers that are about the determinant factors of interest rate swap, it shows the limited explanation. I have conducted the cointegration test on each pair of variables based on the financial and macroeconomic theory. My testing results show that the interest rate swap spread is correlated with default premium in corporate bond market and the government budget deficit index while other assumed determinant variables have weak impacts on the swap spread.
Place, publisher, year, edition, pages
2007. , 38 p.
error correction model, swap spread
IdentifiersURN: urn:nbn:se:bth-1304Local ID: oai:bth.se:arkivexD102E22D4DC09D1DC12573CC005B0A3EOAI: oai:DiVA.org:bth-1304DiVA: diva2:828533
UppsokSocial and Behavioural Science, Law