Abstract
One of the important innovations in financial markets in recent years has been the development of the interest rate swap markets. Recent estimates indicate that the notional outstanding amount of privately negotiated (over-the-counter) derivatives at the end of 1998 was over $80 trillion, of which interest rate swaps accounted for over $50 trillion. Given the importance of the yen in international trade and finance, it is not surprising that yen interest rate swaps form a substantial proportion of this amount (about $10 trillion), second only to dollar-denominated swaps (about $14 trillion). 1
We thank Paolo Pasquariello for helpful comments on previous drafts of the paper. We would like to acknowledge research support from the Center for Japan-U.S. Business and Economic Studies, Stern School of Business, New York University.
Source: Bank for International Settlements.
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Eom, Y.H., Subrahmanyam, M.G., Uno, J. (2001). The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets. In: Negishi, T., Ramachandran, R.V., Mino, K. (eds) Economic Theory, Dynamics and Markets. Research Monographs in Japan-U.S. Business & Economics, vol 5. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-1677-4_22
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