An empirical analysis of the Australian dollar swap spreads

Fang, Victor and Muljono, Ronny 2003, An empirical analysis of the Australian dollar swap spreads, Pacific-basin finance journal, vol. 11, no. 2, pp. 153-173, doi: 10.1016/S0927-538X(02)00112-9.

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Title An empirical analysis of the Australian dollar swap spreads
Author(s) Fang, VictorORCID iD for Fang, Victor
Muljono, Ronny
Journal name Pacific-basin finance journal
Volume number 11
Issue number 2
Start page 153
End page 173
Total pages 21
Publisher Elsevier BV
Place of publication Amsterdam, The Netherlands
Publication date 2003-04
ISSN 0927-538X
Keyword(s) Swap spreads
Term structure of interest rates
Government bonds
Summary This paper examines the relationship between the Australian dollar interest rate swap spread and the term structure of the interest rates, and also the determinants of interest rate swap spreads. For this purpose, we estimate the term structure of interest rates using the parsimonious fitting function of Nelson and Siegel [Journal of Business 60 (1987) 476] for the Australian government bonds and Australian interest rate swaps for certain maturities that are not available. We analyse the swap spread over the term structure of the government bonds and how changes in swap determinants affect the changes in swap spreads. The sample period covers the daily interval from 6 December 1996 to 31 December 1999.
Language eng
DOI 10.1016/S0927-538X(02)00112-9
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 ©2002, Elsevier Science
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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