Australian and US interest rate swap markets : comparison and linkages

In, Francis, Fang, Victor and Brown, Rob 2004, Australian and US interest rate swap markets : comparison and linkages, Accounting and finance, vol. 44, no. 1, pp. 45-56.

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Title Australian and US interest rate swap markets : comparison and linkages
Author(s) In, Francis
Fang, Victor
Brown, Rob
Journal name Accounting and finance
Volume number 44
Issue number 1
Start page 45
End page 56
Total pages 12
Publisher Wiley - Blackwell Publishing Asia
Place of publication Richmond, Vic.
Publication date 2004-03
ISSN 0810-5391
1467-629X
Keyword(s) swap spread
international linkages
comparison and linkages
Summary We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and, in Australia, the default premium also have some impact. The influences of interest rate volatility, the liquidity premium and (in the USA) the default premium are small or negligible. We hypothesise, and our evidence confirms, that the US swap market significantly affects the Australian swap market but not vice-versa.
Language eng
Field of Research 159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2004, AFAANZ
Persistent URL http://hdl.handle.net/10536/DRO/DU:30042551

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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