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/10.1016/j.irfa.2010.01.004 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/9Scopus source URL
其它资讯
摘要We investigate the determinants of US swap spreads based on the development of the swap market and the major events that happened between 1http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/91 and 2006. We find that changes in swap spreads are jointly determined by the liquidity premium, interest rate level, default risk premium and the business cycle. The changes in swap spreads are positively related to liquidity premium, interest rate level and the slope of risk-free term structure. Amongst the various credit spreads, Finance AA spreads and agency spreads have the most influence on swap spreads. We also find that swap spreads changed from pro-cyclical to counter-cyclical after 1http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/9. When the market features heavy speculative trading, such as the convergence trading activities of swap spreads, the magnitude of swap spreads is affected and their behaviour becomes uncertain. ? 2010 Elsevier Inc. All rights reserved.
着者Chung H.-L., Chan W.-S.
期刊名称International Review of Financial Analysis
出版年份2010
月份3
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/9
期次2
出版社Elsevier BV
出版地Netherlands
页次118 - 126
国际标準期刊号1057-521http://aims.cuhk.edu.hk/converis/portal/Publication/9
电子国际标準期刊号1873-807http://aims.cuhk.edu.hk/converis/portal/Publication/9
语言英式英语
关键词Convergence trading, Credit spread, Swap spread
