Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns

2008 ◽  
Vol 28 (9) ◽  
pp. 815-844 ◽  
Author(s):  
Dimitrios D. Thomakos ◽  
Tao Wang ◽  
Jingtao Wu ◽  
Russell P. Chuderewicz
Keyword(s):  
Interest Rate ◽  
Covariance Structure ◽  
Macroeconomic Announcements ◽  
Interest Rate Futures ◽  
The Interest Rate

scholarly journals Interest Rate Swap Market Complexity and Its Risk Management Implications

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-20
Author(s):  
Steve Y. Yang ◽  
Esen Onur
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Network Structure ◽  
Risk Sharing ◽  
Interest Rate Swap ◽  
Market Participants ◽  
Interest Rate Futures ◽  
The Interest Rate ◽  
Management Behaviors ◽  
Rate Swap

The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks. We use a unique swap dataset extracted from the swap data repositories (SDRs) to examine the network structure properties and market participants’ risk management behaviors. We find (a) the interest rate swap market follows a scale-free network where the power-law exponent is less than 2, which indicates that few of its important entities have a significant number of contracts within their subsidiaries (a.k.a. interaffiliated swap contracts); (b) swap rate volatility Granger-causes swap users to increase their risk sharing intensity at entity level, but market participants do not change their risk management strategies in general; (c) there is a significant contemporaneous correlation between the swap rate volatility and the underlying interest rate futures volatility. However, interest rate swap volatility does not cause the underlying interest rate futures volatility and vice versa. These findings provide the market regulators and swap users a better understanding of interest rate swap market participants’ risk management behaviors, and it also provides a method to monitor the swap market risk sharing dynamics.

Impact study on the interest rate futures market

2006 ◽  
Vol 46 (4) ◽  
pp. 495-512
Author(s):  
Hyunyoung Choi ◽  
Joseph Finnerty
Keyword(s):  
Interest Rate ◽  
Futures Market ◽  
Impact Study ◽  
Interest Rate Futures ◽  
The Interest Rate

Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements

2013 ◽  
Vol 42 (5) ◽  
pp. 689-723 ◽  
Author(s):  
Johan Bjursell ◽  
George H. K. Wang ◽  
Robert I. Webb
Keyword(s):  
Interest Rate ◽  
Futures Markets ◽  
Trading Activity ◽  
Macroeconomic Announcements ◽  
Interest Rate Futures

Trading Activity and Intraday Returns in the Interest Rate Futures

2002 ◽  
Author(s):  
Tribhuvan Puri ◽  
Chikuang Kuan ◽  
George C. Philippatos
Keyword(s):  
Interest Rate ◽  
Trading Activity ◽  
Interest Rate Futures ◽  
The Interest Rate

Impact Analysis on the Interest Rate Futures Market

2005 ◽  
Author(s):  
Hyunyoung Choi ◽  
Joseph E. Finnerty
Keyword(s):  
Interest Rate ◽  
Impact Analysis ◽  
Futures Market ◽  
Interest Rate Futures ◽  
The Interest Rate

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

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