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The analysis of interest rate swap spreads in Japan

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  • Takayasu Ito
Abstract
The purpose of this article is to investigate the determinants of interest rate swap spreads in Japan. Four determinants of swap spreads – TED spread, corporate bond spread, interest rate and the slope of yield curve – are chosen. The swap spreads of 2 years through 4 years are mostly influenced by TED spread, interest rate and slope. The swap spread of 5 years is mostly decided by corporate bond spread and slope. The swap spreads of 7 years and 10 years are mostly affected by corporate bond spread.

Suggested Citation

  • Takayasu Ito, 2007. "The analysis of interest rate swap spreads in Japan," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 1-4.
    • Handle: RePEc:taf:raflxx:v:3:y:2007:i:1:p:1-4
    DOI: 10.1080/17446540600883194
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