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Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s

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  • Shinada, Naoki

Abstract

Cross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the late 1990s. It is increasingly important for market participants to figure out such swap rates, but there have not been many empirical studies about actual markets. This study addresses factors of USD/JPY swap rates from the late 1990s to the present, and demonstrates that differences in credit risk premiums, forward exchange rates and assets swaps of foreign investors from JPY to other currencies have significant effects on those rates.

Suggested Citation

  • Shinada, Naoki, 2005. "Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s," MPRA Paper 16425, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:16425
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    File URL: https://mpra.ub.uni-muenchen.de/16425/1/MPRA_paper_16425.pdf
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    References listed on IDEAS

    as
    1. Shinichi Nishioka & Naohiko Baba, 2004. "Negative Interest Rates under the Quantitative Monetary Easing Policy in Japan: The Mechanism of Negative Yen Funding Costs in the FX Swap Market," Bank of Japan Working Paper Series 04-E-8, Bank of Japan.
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    Cited by:

    1. Ibhagui, Oyakhilome, 2020. "Covered interest parity deviations in standard monetary models," Journal of Economics and Business, Elsevier, vol. 111(C).
    2. Ibhagui, Oyakhilome, 2018. "The Monetary Model of CIP Deviations," MPRA Paper 89641, University Library of Munich, Germany.

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    More about this item

    Keywords

    Currency swap; international finance; empirical finance;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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