English, Article, Journal or magazine article edition: Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s Shinada, Naoki

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Bookmark: http://trove.nla.gov.au/version/212188
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/​Japanese yen basis swap rates from the late 1990s
Author
  • Shinada, Naoki
Physical Description
  • preprint
Notes
  • Cross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the late 1990s. It is increasingly important for market participants to figure out such swap rates, but there have not been many empirical studies about actual markets. This study addresses factors of USD/​JPY swap rates from the late 1990s to the present, and demonstrates that differences in credit risk premiums, forward exchange rates and assets swaps of foreign investors from JPY to other currencies have significant effects on those rates.
  • Currency swap; international finance; empirical finance
  • RePEc:pra:mprapa:16425
Language
  • English
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