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An empirical analysis of the Australian dollar swap spreads

journal contribution
posted on 2003-04-01, 00:00 authored by Victor Fang, R Muljono
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.

History

Journal

Pacific-basin finance journal

Volume

11

Issue

2

Pagination

153 - 173

Publisher

Elsevier BV

Location

Amsterdam, The Netherlands

ISSN

0927-538X

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2002, Elsevier Science

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