Forecasting interest rate swap spreads using domestic and international risk

Forecasting interest rate swap spreads using domestic and international risk

This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a non-linear framework. We reject linearity for the US and UK swap spreads in favour of a regime-switching smooth transition vector autoregressive (STVAR) model, where...

Full description

Saved in:
Bibliographic Details
Main Authors: Ilias Lekkos, Costas Milas, Theodore Panagiotidis
Format: Default Preprint
Published: 2006
Subjects:
Other economics not elsewhere classified
Interest rate swap spreads
Term structure of interest rates
Factor models
Regime switching
Smooth transition models
Nearest-neighbours
Forecasting
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/1282
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://hdl.handle.net/2134/1282

Similar Items