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

 

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dc.contributor.author Henshall-Howard, James en_ZA
dc.date.accessioned 2015-01-02T09:05:47Z
dc.date.available 2015-01-02T09:05:47Z
dc.date.issued 2011 en_ZA
dc.identifier.citation Henshall-Howard, J. 2011. Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/10964
dc.description.abstract 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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Economics en_ZA
dc.title Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Economics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Henshall-Howard, J. (2011). <i>Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/10964 en_ZA
dc.identifier.chicagocitation Henshall-Howard, James. <i>"Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2011. http://hdl.handle.net/11427/10964 en_ZA
dc.identifier.vancouvercitation Henshall-Howard J. Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10964 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Henshall-Howard, James AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market TI - Driving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African market UR - http://hdl.handle.net/11427/10964 ER - en_ZA


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