Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Interrelations among Cross-Currency Basis Swap Spreads: Pre- and Post-Crisis Analysis

Oyakhilome Ibhagui
The Journal of Derivatives Summer 2019, 26 (4) 89-112; DOI: https://doi.org/10.3905/jod.2019.1.073
Oyakhilome Ibhagui
is an associate financial officer for fixed income in Treasury Liquid Asset Management at the International Finance Corporation in Washington, DC
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Several studies have investigated the magnitude, drivers, and even reasons for the existence of cross-currency basis swap spreads. However, studies examining the interrelations among these spreads have surprisingly been lacking. In this article, the author examines the long-run relationships and short-run dynamic linkages among nine major cross-currency swap spreads, emphasizing how crisis periods have impacted the long-run relationships and short-run dynamics. Results show that the long-run relationships were slightly weakened after crisis, while the short-run linkages were generally strengthened. The influence of euro and Swiss cross-currency swaps on other European cross-currency swaps generally increased after the crisis period, and the Swiss cross-currency swap became much more influential on all European cross-currency swaps. The findings are robust to alternative reordering of variables in the author’s nine-variable VaR system, computation of generalized impulse response functions, and consideration of rolling variance decompositions.

TOPICS: Currency, interest-rate and currency swaps, developed markets, VAR and use of alternative risk measures of trading risk

  • © 2019 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives: 26 (4)
The Journal of Derivatives
Vol. 26, Issue 4
Summer 2019
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Interrelations among Cross-Currency Basis Swap Spreads: Pre- and Post-Crisis Analysis
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Interrelations among Cross-Currency Basis Swap Spreads: Pre- and Post-Crisis Analysis
Oyakhilome Ibhagui
The Journal of Derivatives May 2019, 26 (4) 89-112; DOI: 10.3905/jod.2019.1.073

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Interrelations among Cross-Currency Basis Swap Spreads: Pre- and Post-Crisis Analysis
Oyakhilome Ibhagui
The Journal of Derivatives May 2019, 26 (4) 89-112; DOI: 10.3905/jod.2019.1.073
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DATA
    • EMPIRICAL DESIGN
    • EMPIRICAL RESULTS
    • SHORT-RUN DYNAMIC LINKAGES BASED ON FORECAST ERROR VARIANCE DECOMPOSITION
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • APPENDICES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Editor’s Letter
  • Editor’s Letter
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies