An Empirical Analysis of Factors Driving the Swap Spread
(2008) In Journal of Fixed Income 18. p.41-56- Abstract
- In this article, we perform a robust analysis of the determinants of U.S. swap spreads using a wide range of theoretically motivated candidate factors. We conduct an analysis by taking into consideration the interdependence between the candidate factors, as well as the time frequency under which the factors affect the spread. We find that the suggested variables can to a fair degree explain movements in the swap spread. The results suggest that the mortgage-backed security holders' demand for swap rates strongly influences the U.S. swap spread. Importantly, our analysis of the interdependence between the explanatory variables indicates that the underlying initiator of these activities is changes in the shape of the yield curve. Among other... (More)
- In this article, we perform a robust analysis of the determinants of U.S. swap spreads using a wide range of theoretically motivated candidate factors. We conduct an analysis by taking into consideration the interdependence between the candidate factors, as well as the time frequency under which the factors affect the spread. We find that the suggested variables can to a fair degree explain movements in the swap spread. The results suggest that the mortgage-backed security holders' demand for swap rates strongly influences the U.S. swap spread. Importantly, our analysis of the interdependence between the explanatory variables indicates that the underlying initiator of these activities is changes in the shape of the yield curve. Among other things, we find that Treasury and stock market volatility as well as the activity of the mortgage-backed security holders have strong effects on the U.S. swap spread. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1388440
- author
- Asgharian, Hossein LU and Carlsson, Sonnie LU
- organization
- publishing date
- 2008
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Journal of Fixed Income
- volume
- 18
- pages
- 41 - 56
- publisher
- Portfolio Management Research
- external identifiers
-
- scopus:54849419508
- ISSN
- 1059-8596
- DOI
- 10.3905/jfi.2008.712349
- language
- English
- LU publication?
- yes
- id
- 60e7a780-41ff-428a-a885-c30cb7e0e99c (old id 1388440)
- date added to LUP
- 2016-04-01 13:29:53
- date last changed
- 2022-01-27 19:30:55
@article{60e7a780-41ff-428a-a885-c30cb7e0e99c,
abstract = {{In this article, we perform a robust analysis of the determinants of U.S. swap spreads using a wide range of theoretically motivated candidate factors. We conduct an analysis by taking into consideration the interdependence between the candidate factors, as well as the time frequency under which the factors affect the spread. We find that the suggested variables can to a fair degree explain movements in the swap spread. The results suggest that the mortgage-backed security holders' demand for swap rates strongly influences the U.S. swap spread. Importantly, our analysis of the interdependence between the explanatory variables indicates that the underlying initiator of these activities is changes in the shape of the yield curve. Among other things, we find that Treasury and stock market volatility as well as the activity of the mortgage-backed security holders have strong effects on the U.S. swap spread.}},
author = {{Asgharian, Hossein and Carlsson, Sonnie}},
issn = {{1059-8596}},
language = {{eng}},
pages = {{41--56}},
publisher = {{Portfolio Management Research}},
series = {{Journal of Fixed Income}},
title = {{An Empirical Analysis of Factors Driving the Swap Spread}},
url = {{http://dx.doi.org/10.3905/jfi.2008.712349}},
doi = {{10.3905/jfi.2008.712349}},
volume = {{18}},
year = {{2008}},
}