PT  - JOURNAL ARTICLE
AU  - Kenneth A. Tah
AU  - Geoffrey Ngene
TI  - Ripple Effects, the Long-Run Relationship, and Dynamic Corrections among Interest Rate Swap Spreads
AID  - 10.3905/jfi.2018.1.060
DP  - 2018 Mar 31
TA  - The Journal of Fixed Income
PG  - 40--52
VI  - 27
IP  - 4
4099  - https://pm-research.com/content/27/4/40.short
4100  - https://pm-research.com/content/27/4/40.full
AB  - This study tests the ripple effects, long-run convergence, and dynamic correlation structures of swap spreads of varying maturities. The authors employ the ARDL bounds-testing approach and the asymmetric DCC methodology on daily data spanning 15 years. The results largely support the presence of the ripple effect and the long-run convergence of swap spreads of differing maturities. However, there are significant variations in the strength and speed of adjustment towards the long-run equilibrium relationship among diverse maturities. Most pairs of swap spreads exhibit strong, symmetric, highly persistent, and time-varying dynamic co-movements, suggesting interdependence and information flow among the swap spreads of varied maturities.TOPICS: Fixed income and structured finance, statistical methods, interest-rate and currency swaps