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 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.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2011

Author dc:creator

• Henshall-Howard, James

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10964

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10964