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The Journal of Fixed Income

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Primary Article

Links among Interest Rate Swap Markets

U.S., U.K., and Japan

Francis In, Rob Brown and Victor Fang
The Journal of Fixed Income Winter 2003, 13 (3) 84-95; DOI: https://doi.org/10.3905/jfi.2003.319363
Francis In
A senior lecturer in finance, at Monash University, Clayton, Australia.
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  • For correspondence: francis.in@buseco.monash.edu.au
Rob Brown
A professor of finance, University of Melbourne, Parkville, Australia.
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  • For correspondence: rlbrown@unimelb.edu.au
Victor Fang
A lecturer in finance, at Monash University, Caulfield, Australia.
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  • For correspondence: victor.fang@buseco.monash.edu.au
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Abstract

Variance decomposition and impulse response analysis of the links in swap spreads in the U.S., the U.K., and Japan indicates that across all swap maturities and in all three currencies, the slope of the risk-free term structure makes the greatest contribution, and the contribution is greater for longer terms to maturity. The contributions of interest rate volatility, the liquidity premium, and the corporate spread are small or negligible. There is a significant bidirectional influence (particularly through term structure slope) between the U.S. and U.K. swaps markets across maturities. The U.S. and U.K. swap markets have no major impact on the Japanese swaps market, and the Japanese market has a negligible influence on the U.S. and U.K. swaps markets.

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The Journal of Fixed Income
Vol. 13, Issue 3
Winter 2003
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Links among Interest Rate Swap Markets
Francis In, Rob Brown, Victor Fang
The Journal of Fixed Income Dec 2003, 13 (3) 84-95; DOI: 10.3905/jfi.2003.319363

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Links among Interest Rate Swap Markets
Francis In, Rob Brown, Victor Fang
The Journal of Fixed Income Dec 2003, 13 (3) 84-95; DOI: 10.3905/jfi.2003.319363
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