Inlämning av Examensarbete / Submission of Thesis

Bing Liang , pp. 38. MAM/Sektionen för Management, 2007.

The work

Författare / Author: Bing Liang
auburnl@gmail.com
Titel / Title: The Driving Force of Swap Spreads
Abstrakt Abstract:

The interest rate swap is one of the most popular topics that researchers work on since 1980s. Even though there are so many research papers that are about the determinant factors of interest rate swap, it shows the limited explanation. I have conducted the cointegration test on each pair of variables based on the financial and macroeconomic theory. My testing results show that the interest rate swap spread is correlated with default premium in corporate bond market and the government budget deficit index while other assumed determinant variables have weak impacts on the swap spread.

Ämnesord / Subject: Företagsekonomi - Business Administration\International Business

Nyckelord / Keywords: error correction model, swap spread

Publication info

Dokument id / Document id:
Program:/ Programme Business Administration
Registreringsdatum / Date of registration: 01/11/2008
Uppsatstyp / Type of thesis: D-Uppsats/Magister/Master

Context

Handledare / Supervisor: Anders Hederstierna
ahe@bth.se
Examinator / Examiner: Anders Hederstierna
Organisation / Organisation: Blekinge Institute of Technology
Institution / School: MAM/Sektionen för Management
S-372 25 Ronneby
+46 455 38 50 00

Files & Access

Bifogad uppsats fil(er) / Files attached: final version master thesis for bth.doc (365 kB, öppnas i nytt fönster)