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Us swap spreads: an empirical analysis after covid-19
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Resumo(s)
Esta dissertação tem como objetivo examinar o impacto de um conjunto de
fatores/determinantes no Libor Swap Spread a 10 anos (10-Year IRS spread). Este
estudo recorre a variáveis (ou proxies) identificadas na literatura académica existente, as
quais estão relacionadas com os prémios de risco de default e de liquidez, taxas de juro,
procura de IRS por parte de utilizadores finais e com a oferta de Títulos do Tesouro dos
EUA.
Considerando um período de dez anos que inclui os primeiros dos anos da pandemia
SARS-CoV-2 (COVID-19), procuramos ainda examinar se este evento conduziu a
alterações nas dinâmicas de longo e curto prazo entre o IRS spread e estes
determinantes. Para tal, recorremos a um Autoregressive Distributed Lag Error
Correction Model (ARDL-ECM).
Concluímos que a maioria das dinâmicas identificadas em estudos anteriores se
mantiveram consistentes ao longo do período analisado. No entanto, e contrariamente às
nossas expectativas, as principais exceções estão relacionadas com os spreads de crédito
corporativo (risco de default) e com o valor de mercado da dívida dos EUA (oferta de
Títulos do Tesouro dos EUA), uma vez que apresentamos evidências de que a relação
de longo prazo de ambas as variáveis com o 10-Year IRS spread aparenta ter sofrido
alterações nos últimos anos.
This dissertation aims to examine the impact of a set of drivers/determinants on the 10-Year LIBOR Interest Rate Swap spread (10-Year IRS spread). The study relies on proxies identified in prior academic literature, which are related to default and liquidity risk premiums, interest rates, end-user demand for IRS and the supply of U.S. Treasuries. Based on a ten-year period that includes the first two years of the SARS-CoV-2 pandemic (COVID-19), we also seek to examine if this event led to changes in the short and long term dynamics between the 10-Year IRS spread and these determinants. For this purpose, we employed an Autoregressive Distributed Lag Error Correction Model Error Correction Model (ARDL-ECM). We concluded that most of the dynamics identified in previous studies remained consistent throughout the study period. However, contrary to our expectations, the main exceptions relate to corporate credit spreads and (default risk) and the market value of the US debt (U.S. Treasury Supply), as we provide evidence that their long-run relationship with the 10-Year IRS spread appears to have changed in recent years.
This dissertation aims to examine the impact of a set of drivers/determinants on the 10-Year LIBOR Interest Rate Swap spread (10-Year IRS spread). The study relies on proxies identified in prior academic literature, which are related to default and liquidity risk premiums, interest rates, end-user demand for IRS and the supply of U.S. Treasuries. Based on a ten-year period that includes the first two years of the SARS-CoV-2 pandemic (COVID-19), we also seek to examine if this event led to changes in the short and long term dynamics between the 10-Year IRS spread and these determinants. For this purpose, we employed an Autoregressive Distributed Lag Error Correction Model Error Correction Model (ARDL-ECM). We concluded that most of the dynamics identified in previous studies remained consistent throughout the study period. However, contrary to our expectations, the main exceptions relate to corporate credit spreads and (default risk) and the market value of the US debt (U.S. Treasury Supply), as we provide evidence that their long-run relationship with the 10-Year IRS spread appears to have changed in recent years.
Descrição
Palavras-chave
Swaps de Taxa de Juro Spreads de Swaps de Taxa de Juro LIBOR Modelo ARDL-ECM Interest Rate Swaps Interest Rate Swap Spreads
Contexto Educativo
Citação
Faria, Emanuel Lopes de Faria (2024). “Us swap spreads: an empirical analysis after covid-19”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão