Why Is Interest Rate Swap Usage Responding to the Yield Curve? A Proposal

Topics:
Investment and Capital Markets
Tags:
Finance,
Financial Planning,
Financial Services,
Interest Rate
Source:
Washington University in St. Louis

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Overview: Interest rate swaps provide for a particularly interesting experiment. Unlike the commonly-used forward and futures contracts employed by firms to modify their currency and commodity cash flow exposures, interest rate swaps have cash flow implications at multiple times over the full life of the derivative contract. This paper examines the cross-sectional and time-series variation in the observed usage of interest rate swaps by firms to time interest rate markets and reduces their short-term interest costs.

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Format: PDF | Size: 147KB | Date: Feb 2004 | Pages: 10

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