An Empirical Analysis of the Australian Dollar Swap Spreads

Victor Fang, Ronnie Muljono
This paper examines the relationship between the Australian dollar interest rate swap spread and the term structure of the interest rates, and also the determinants of interest rate swap spreads. For this purpose, we estimate the term structure of interest rates using the parsimonious fitting function of Nelson and Siegel (1987) for the Australian government bonds and Australian interest rate swaps for certain maturities that are not available. The sample period covers the daily interval from 6
more » ... December 1996 to 31 December 1999. We analyse the swap spread over the term structure of the Government bonds and how the changes in swap determinants affect the changes in swap spreads.
doi:10.4225/03/5934ce30c154f fatcat:4kt6mpyfkzdu7ntmemnffsgdru