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- Title
Determinants of overnight indexed swap rate: An empirical study on the Indian market.
- Authors
Nandy, Monomita; Lodh, Suman
- Abstract
This paper investigates some important determinants of Overnight Indexed Swap (OIS) rates and quantifies them. In tune with the existing studies related to developed countries, this paper is an extension of one of the current challenging and growing money market, i.e. the Indian swap market issues. We use the Vector Autoregressive approach to investigate the determinants of 5-year OIS rate and 1-year OIS rate by using a unique daily data set for a period of October 1999 to August 2010. The result suggests that not only the liquidity is a factor to determine the OIS rate during the recession period, but also the traditional features of the integrated domestic market segments of the emerging economy are also responsible.
- Subjects
INDIA; AUTOREGRESSION (Statistics); IMPULSE response; MONEY market; LIQUIDITY (Economics); RECESSIONS
- Publication
Decision (0304-0941), 2011, Vol 38, Issue 3, p102
- ISSN
0304-0941
- Publication type
Article