이자율 스왑의 장기변동성과 거시위험요인에 관한 연구 = Long Term Volatility of Interest Rate Swap and Macroeconomic Risk in Korean Market

다국어 초록 (Multilingual Abstract)

This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market. This paper uses the component-jump model to estimate long-term volatility of IRS from 1/2/2003 to 1/31/2013. By using the component-jump model, the IRS volatility is decomposed into a long-term and a short-term component. According to this study, slope of yield curve and foreign exchange volatility as a proxy of macroeconomic risk have been significant in explaining long-term volatility of IRS.

참고문헌 (Reference)

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