G - Financial Economics

• A Practical Guide to Swap Curve Construction

  Staff Working Paper 2000-17 Uri Ron

  The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, International financial markets JEL Code(s): G, G1, G12, G15

• Volatility Transmission Between Foreign Exchange and Money Markets

  Staff Working Paper 2000-16 Shafiq K. Ebrahim

  This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.

  Content Type(s): Staff research, Staff working papers Topic(s): International financial markets JEL Code(s): G, G1, G15