期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2005
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This paper examines the causal relationship between euro and sterling swap spreads
during the period January, 1999 to March, 2003. The absence of any correlation
between changes in the two swap spreads would indicate that credit risk factors are
country-specific. But euro swap spreads showed some correlation with the interest
rate differentials between the two markets. Both spreads follow a GARCH process but
sterling swap spreads reacted more intensely to market movements and were more
volatile than their euro counterparts. There was evidence of mild volatility
transmission from the sterling swap spreads to the euro swap spreads but the causality
was one sided.
