<Articles>Determinants of Japanese Yen Interest Rate Swap Spreads

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  • Determinants of Japanese Yen Interest Rate Swap Spreads

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The purpose of this paper is to investigate the determinants of Japanese yen interest rate swap spreads from the beginning of 1994 through the middle of 2003. The whole sample is devided into two sub periods. The first sub period, named Sample A, is from January 1994 through January 1999. The second sub period, named Sample B, is from February 1999 through July 2003. For the Variables of determinants, I use TED spead, credit risk and slope of the yield curve .The VAR model without error correction term is estimated for the analysis of variance decomposition and impulse response function. The credit risk influenced swap spreads of all maturities more in Sample A than in Sample B. Especially in mid term such as 4 year and 5 year, the impacts of credit risk were very strong in Sample A.

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