Common risk factors in the U.S. and UK interest rate swap markets: evidence from a nonlinear vector autoregression approach

Article Abstract:

A multivariate smooth transition autoregression (STVAR) framework is used to produce evidence of existence of common risk factors in U.S. and UK interest rate swap markets. UK oriented risk factor have impact on US swap market only during the "flat" slope regime with the U.S. swap market dominated by domestic factors during "upward" slope regime.

Comparative analysis, Financial markets

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Nonlinear asymmetric models of the short-term interest rate

Article Abstract:

Performance of well-known models used to capture the dynamic behavior of short-term interest rates, is empirically analyzed. A generalized discrete time framework is used in evaluating the models. Inclusion of nonlinear asymmetry into drift and stochastic volatility into diffusion function, is also explained.

Analysis

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Identifying the Factors that Affect Interest-Rate Swap Spreads: Some Evidence from the United States and the United Kingdom

Article Abstract:

The structure of the U.S. and the U.K. swap spreads are identified.

Statistical Data Included, Research, Futures market, Futures markets

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