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

Simple item page
dc.contributor.authorHenshall-Howard, Jamesen_ZA
dc.date.accessioned2015-01-02T09:05:47Z
dc.date.available2015-01-02T09:05:47Z
dc.date.issued2011en_ZA
dc.description.abstractThe 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.identifier.apacitationHenshall-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/11427/10964en_ZA
dc.identifier.chicagocitationHenshall-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/11427/10964en_ZA
dc.identifier.citationHenshall-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.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
dc.identifier.urihttp://hdl.handle.net/11427/10964
dc.identifier.vancouvercitationHenshall-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/11427/10964en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleDriving swap spreads in South Africa : an investigation into the dominant factors influencing swap spreads in the South African marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2011_henshall_howard_j.pdf
Size:
1.53 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters