Advanced search
Publication Cover
Applied Economics Letters Volume 20, 2013 - Issue 4
Submit an article Journal homepage
189
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Dynamic linkages among cross-currency swap markets under stress

G. Tamakoshi Department of Economics, Graduate School of Economics, Kobe University, Kobe, JapanCorrespondence[email protected]
&
S. Hamori Department of Economics, Kobe University, Kobe, Japan
Pages 404-409 | Published online: 27 Jul 2012

References

  • Baba , N. 2009 . Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets: evidence from the 2007 to 2008 turmoil . Journal of Fixed Income , 18 : 24 – 38 .
  • Baba , N. and Sakurai , Y. 2011 . When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market . Journal of Banking and Finance , 35 : 1450 – 63 .
  • Baba , N. , Packer , F. and Nagano , T. 2008 . The spillover of money market turbulence to FX swap and cross-currency swap markets . BIS Quarterly Review , March : 73 – 86 .
  • Engle , R. 2002 . Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models . Journal of Business and Economic Statistics , 20 : 339 – 50 .
  • Flavell , R. 2002 . Swaps and Other Derivatives , New York : John Wiley and Sons .
  • Nelson , D. 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
  • Popper , H. 1993 . Long-term covered interest parity: evidence from currency swaps . Journal of International Money and Finance , 12 : 439 – 48 .
  • Takezawa , N. 1995 . Currency swaps and long-term covered interest parity . Economic Letters , 49 : 181 – 5 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.