Impact of Macroeconomic News Surprises on Interest Rate Swap Spreads
This study examines the response of Australian interest rate swap spreads to the arrival of macroeconomic news during economic expansion and contraction. We find the degree that news surprises impact on swap spread depends largely on the state of the economy. Unexpected inflation rate is the only ne...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research_smu/66 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1065&context=lkcsb_research_smu |
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| Institution: | Singapore Management University |
| Language: | English |