Den svenska swapspreadens förklaringsfaktorer: en empirisk analys
Independent thesis Advanced level (degree of Magister)Student thesisAlternative title
Determinants of the Swedish swap spread : an empirical analysis (English)
This paper presents empirical evidence on the determinants of interest rate swap spreads in Sweden during the period 1999-2003. The results suggest that the spread between STIBOR and the general collateral repo rate is positively related to shorter maturity swap spreads. The risk premium associated with commercial bonds is positively related to swap spreads of all maturities. A negative relationship is observed between the term structure of interest rates and swap spreads. The short-term interest rate is positively related to spreads with shorter maturities. Interest rate volatility, stock-market movements and exchange rate movements appear to have no impact on Swedish swap spreads.
Place, publisher, year, edition, pages
Ekonomiska institutionen , 2004.
Master Thesis in Economics, 2004:12
Economics, Swedish swap spread, interest rate swap, swap pricing
IdentifiersURN: urn:nbn:se:liu:diva-1875OAI: oai:DiVA.org:liu-1875DiVA: diva2:19202