Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach

Author:

Chatziantoniou IoannisORCID,Gabauer David,Stenfors AlexisORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference12 articles.

1. Quantile connectedness: Modelling tail behaviour in the topology of financial networks;Ando,2018

2. OTC Derivatives outstanding, table D7 (interest rate derivatives);BIS,2020

3. EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness;Chatziantoniou;Q. Rev. Econ. Finance,2021

4. From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps;Chatziantoniou;J. Int. Financ. Mark. Inst. Money,2020

5. International bond risk premia;Dahlquist;J. Int. Econ.,2013

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