Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market

The theoretical drivers of interest rate swap spreads identified in studies conducted in the United States and United Kingdom markets were applied to the South African market and were found to be largely consistent with the former. The drivers identified include: liquidity associated with trading go...

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Bibliographic Details
Main Author:	Henshall-Howard, James
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2015
Subjects:	Economics
Online Access:	http://hdl.handle.net/11427/10964

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-109642020-10-06T05:11:02Z Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market Henshall-Howard, James Economics The theoretical drivers of interest rate swap spreads identified in studies conducted in the United States and United Kingdom markets were applied to the South African market and were found to be largely consistent with the former. The drivers identified include: liquidity associated with trading government stock, default risk, the general level of interest rates, the slope of the bond yield curve, bond yield volatility, the level of government bond issuance, and the level of corporate borrowing. The regression results indicated that the slope of the bond yield curve dominates as a predictor variable with the level of corporate borrowing and the level of government bond issuance playing a significant role as well. 2015-01-02T09:05:47Z 2015-01-02T09:05:47Z 2011 Master Thesis Masters MCom http://hdl.handle.net/11427/10964 eng application/pdf University of Cape Town Faculty of Commerce School of Economics
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Economics
spellingShingle	Economics Henshall-Howard, James Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market
description	The theoretical drivers of interest rate swap spreads identified in studies conducted in the United States and United Kingdom markets were applied to the South African market and were found to be largely consistent with the former. The drivers identified include: liquidity associated with trading government stock, default risk, the general level of interest rates, the slope of the bond yield curve, bond yield volatility, the level of government bond issuance, and the level of corporate borrowing. The regression results indicated that the slope of the bond yield curve dominates as a predictor variable with the level of corporate borrowing and the level of government bond issuance playing a significant role as well.
author	Henshall-Howard, James
author_facet	Henshall-Howard, James
author_sort	Henshall-Howard, James
title	Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market
title_short	Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market
title_full	Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market
title_fullStr	Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market
title_full_unstemmed	Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market
title_sort	driving swap spreads in south africa : an investigation into the dominant factors influencing swap spreads in the south african market
publisher	University of Cape Town
publishDate	2015
url	http://hdl.handle.net/11427/10964
work_keys_str_mv	AT henshallhowardjames drivingswapspreadsinsouthafricaaninvestigationintothedominantfactorsinfluencingswapspreadsinthesouthafricanmarket
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Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market

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