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"The Information Content of Swap Rates: A Cross-Country Analysis."

posted Feb 22, 2011, 4:32 PM by Kazim Kazimov   [ updated Feb 22, 2011, 4:35 PM ]
KAZIMOV, K. (2009) 

Abstract: This paper examines information about market expectations for future interest rates and real economic activity that is embedded in financial asset prices. The information content of the yield spread is investigated and compared to that of the swap spread, using data from four countries: the United States, Germany, Japan, and India. The swap spread appears to be a better predictor for real economic activity; it carries more accurate information about future short-term  interest rates, and has more significant and robust results within and across countries. Thus, swap rates may have potential as a significant financial market indicator of economic activity. 

KAZIMOV, K. (2009) “The Information Content of Swap Rates: A Cross Country Analysis.” IMF working paper, Asia Pacific Department, in progress.