Съдържанието не е налично на български език.
Vivian Z. Yue
- 18 September 2013
- WORKING PAPER SERIES - No. 1590Details
- Abstract
- This paper studies firms' usage of interest rate swaps to manage risk in a model economy driven by aggregate productivity shocks, inflation shocks, and counter-cyclical idiosyncratic productivity risk. Consistent with empirical evidence, firms in the model are fixed-rate payers, and swap positions are negatively correlated with the term spread. In the model, swaps affect firms' investment decisions and debt pricing only very moderately, and the availability of swaps generates only small economic gains for the typical firm.
- JEL Code
- E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates - Network
- ECB Lamfalussy Fellowship Programme