Extending Ito's (20098. Ito, T. 2009. The analysis of co-movement between government bonds and interest rate swap markets in Japan. Asia Pacific Journal of Economics and Business , 13: 14-30. View all references) analysis, this article investigates the co-movement between interest rate swaps and treasury markets by using the panel cointegration tests developed by Maddala and Wu (199914. Maddala, G. S. and Wu, S. 1999. A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics , 61: 631-52. [CrossRef], [Web of Science ®]View all references). Empirical results show that there exists a single cointegration relationship between the swap rates and treasury rates for all maturities. The cointegration vector for the 2-, 3- and 4-year maturities is 1, showing that a 1% increase in the treasury rates will lead to a 1% increase in the swap rates. On the other hand, in the 5-, 7- and 10-year maturities, the cointegration vector is found to be more than 1, implying that a 1% increase in the treasury rates will lead to a more than 1% increase in the swap rates. Thus, a rise (decline) in the treasury rates is associated with a rise (decline) in the swap spread.View full textDownload full textKeywordspanel cointegration, interest rate swap, treasury markets, dynamic OLSJEL ClassificationE43, G14Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504851.2011.636015
展开▼
