Determinants of New Taiwan Dollar Interest Rate Swap Spreads__臺灣人文及社會科學引文索引資料庫

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題名：	Determinants of New Taiwan Dollar Interest Rate Swap Spreads
書刊名：	財務金融學刊
作者：	盧陽正／王佑鈞／李修全
作者(外文)：	Lu, Yang-chen／Wang, Yu-chun／Lee, Hsiu-chuan
出版日期：	2013
卷期：	21:2
頁次：	頁91-120
主題關鍵詞：	利率交換價差；利率期限結構；流動性風險；違約風險；市場狀態；Swap spreads；Term structure of interest rates；Liquidity risk；Credit risk；Market conditions
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:89

本研究欲探討臺灣利率交換市場中影響交換價差的因素。實證結果指出，就全樣本期間而言，利率期限結構、流動性風險的變化與違約風險的變化均為交換價差的重要決定因素，而違約風險則為決定交換價差最重要的因素。此外，在空頭時期違約風險為決定交換價差最重要的因素，在多頭時期則依契約到期日而不同。

以文找文

This study examines the determinants of New Taiwan Dollar interest rate swap spreads. Prior literature provides evidence that the term structure of interest rates, liquidity, and credit risk comprise the swap spreads. The empirical results for the full sample period show that these factors are all important in affecting the swap spreads and that default risk is the most important factor among the five components. Furthermore, default risk plays a more important role than other factors in a bear market, but the key factor varies with the maturities of swap contracts in a bull market.

以文找文

期刊論文
1.	Alexander, Carol、Andreas Kaeck(2008)。Regime dependent determinants of credit default swap spreads。Journal of Banking and Finance，32，1008-1021。
2.	Asgharian, Hossein、Sonnie Karlsson(2008)。An empirical analysis of factors driving the swap spread。Journal of Fixed Income，18(2)，41-56。
3.	Bhansali, Vineer、Yonathan Schwarzkopf、Mark B. Wise(2009)。Modeling swap spreads in normal and stressed environments。Journal of Fixed Income，18(4)，5-23。
4.	Brown, Keith C.、William Van Harlow、Donald J. Smith(1994)。An empirical analysis of interest rate swap spreads。Journal of Fixed Income，3(4)，61-78。
5.	Brown, Rob、Francis In.、Victor Fang(2002)。Modeling the determinants of swap spreads。Journal of Fixed Income，12(1)，29-40。
6.	Chung, Hon-Lun、Wai-Sum Chan(2010)。Impact of credit spreads, monetary policy and convergence trading on swap spreads。International Review of Financial Analysis，19，118-126。
7.	Das, Sanjiv R.、Freed, Laurence、Geng, Gary、Kapadia, Nikunj(2006)。Correlated default risk。Journal of Fixed Income，16(2)，7-32。
8.	Fang, Victor、Ronny Muljono(2003)。An empirical analysis of the Australian dollar swap spreads。Pacific-Basin Finance Journal，11，153-173。
9.	Fehle, Frank(2003)。The components of interest rate swap spreads: Theory and international evidence。Journal of Futures Markets，23，347-387。
10.	Grinblatt, Mark(2001)。An analytic solution for interest rate swap spreads。International Review of Finance，2(3)，113-149。
11.	Henry, Olan T.(2009)。Regime switching in the relationship between equity returns and short-term interest rates in the UK。Journal of Banking and Finance，33，405-414。
12.	Huang, Ying、Carl R. Chan、Maximo Camacho(2008)。Determinants of Japanese yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model。Journal of Futures Markets，28，82-107。
13.	In, Francis、Rob Brown、Victor Fang(2003)。Modeling volatility and changes in the swap spread。International Review of Financial Analysis，12，545-561。
14.	In, Francis、Victor Fang、Rob Brown(2004)。Australian and US interest rate swap markets: Comparison and linkages。Accounting and Finance，44，45-56。
15.	Johannes, Michael、Suresh Sundaresan(2007)。The impact of collateralization on swap rates。Journal of Finance，62，383-410。
16.	Kim, Mi Ae、Bong-Gyu Jang、Ho-Seok Lee(2008)。A first-passage-time model under regime-switching market environment。Journal of Banking and Finance，32，2617-2627。
17.	Kurov, Alexander(2010)。Investor sentiment and stock marketâs reaction to monetary policy。Journal of Banking and Finance，34，139-149。
18.	Lekkos, Ilias、Costas Milas(2001)。Identifying the factors that affect interestrate swap spreads: Some evidence from the United States and the United Kingdom。Journal of Futures Markets，21，737-768。
19.	Lekkos, Ilias、Costas Milas(2004)。Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach。Journal of Futures Markets，24，221-250。
20.	Liu, Jun、Longstaff, Francis A.、Mandell, Ravit E.(2006)。The market price of risk in interest rate swaps: The roles of default and liquidity risks。Journal of Business，79(1)，2337-2359。
21.	Lucas, Andre、Pieter Klaassen(2006)。Discrete versus continuous state switching models for portfolio credit risk。Journal of Banking and Finance，30，23-35。
22.	Minton, Bernadette A.(1997)。An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps。Journal of Financial Economics，44(2)，251-277。
23.	Nippani, Srinivas、Stanley D. Smith(2010)。The increasing default risk of US Treasury securities due to the financial crisis。Journal of Banking and Finance，34，2472-2480。
24.	Poskitt, Russell(2007)。Benchmark tipping and the role of the swap market in price discovery。Journal of Futures Markets，27，981-1001。
25.	Sorensen, Eric H.、Bollier, Thierry F.(1994)。Pricing swap default risk。Financial Analysts Journal，50(3)，23-33。
26.	Chen, Shiu-Sheng(2009)。Predicting the bear stock market: Macroeconomic variables as leading indicators。Journal of Banking and Finance，33(2)，211-223。
27.	Duffie, Darrell、Singleton, Kenneth J.(1997)。An econometric model of the term structure of interest rate swap yields。Journal of Finance，52(4)，1287-1321。

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