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Analyzing The European Market Of Interest Rate Swap Indices

Author

Listed:
  • Trenca Ioan

    (Babes-Bolyai University Cluj-Napoca, Faculty of Economics Science and Business Administration)

  • Mutu Simona

    (Babes-Bolyai University Cluj-Napoca, Faculty of Economics Science and Business Administration)

  • Petria Nicolae

    (Lucian Blaga University Sibiu, Faculty of Economics)

Abstract

The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts. Open positions on interest rate derivatives represents more than 75% of the OTC market. In the European banking market interest rate swaps prices are strongly dependent on the interbank interest rates. In this paper we want to analyze the behavior of the Eoniaswap indices and their impact on the interest rate swaps between banks.

Suggested Citation

  • Trenca Ioan & Mutu Simona & Petria Nicolae, 2012. "Analyzing The European Market Of Interest Rate Swap Indices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 614-619, December.
    • Handle: RePEc:ora:journl:v:1:y:2012:i:2:p:614-619
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    References listed on IDEAS

    as
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    6. Hassler, U. & Nautz, D., 1995. "The Term Structure of Interest Rates as an Indicator of German Monetary Policy?," SFB 373 Discussion Papers 1995,64, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    More about this item

    Keywords

    interest rate risk; Eoniaswap; volatility; impulse response functions;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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