Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 陈伟森教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1108/S0196-3821(2010)0000026010 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要The dynamics between five-year US Treasury bonds and interest rate swaps are examined using bivariate threshold autoregressive (BTAR) models to determine the drivers of spread changes and the nature of the lead-lag relation between the two instruments. This model is able to identify the economic - or threshold - value that market participants consider significant before realigning their portfolios. Specifically, three different regimes are identified: when the swap spread in the previous week is either high or low, the Treasury bond market leads the swap market. However, when the swap spread is low, none of the markets leads each other. Thus, yield movements are shown to be governed by the direction and magnitude of the change in the swap spread, which in turn provides an economic insight into the rebalancing between swap and bond portfolios.
着者Chung HL, Chan WS, Batten JA
期刊名称RESEARCH IN FINANCE, VOL 26
详细描述ed. by John W. Kensinger.
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/01http://aims.cuhk.edu.hk/converis/portal/Publication/0
月份1
日期1
卷号26
出版社EMERALD GROUP PUBLISHING LTD
页次155 - 181
电子国际标準书号978-1-8495http://aims.cuhk.edu.hk/converis/portal/Publication/0-726-4
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance
