Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82379
Authors: 
Asgharian, Hossein
Karlsson, Sonnie
Year of Publication: 
2008
Series/Report no.: 
Danmarks Nationalbank Working Papers 54
Abstract: 
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically motivated candidate factors. We conduct an analysis in the frequency domain to see how the impacts of the candidate factors on the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of the Mortgage Backed Security holders have strong impacts on the US swap spread.
Document Type: 
Working Paper

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