Does the use of interest rate swaps matter?

SOAR Home
→
Graduate School
→
GRASP: Graduate Research and Scholarly Projects
→
Proceedings: 6th Annual Symposium: Graduate Research and Scholarly Projects
→
View Item

dc.contributor.advisor	Vijverberg, Chu-Ping C.
dc.contributor.author	Luo, Hao
dc.date.accessioned	2010-09-23T14:34:57Z
dc.date.available	2010-09-23T14:34:57Z
dc.date.issued	2010-04-23
dc.identifier.citation	Luo, Hao (2010). Does the use of interest rate swaps matter? -- In Proceedings: 6th Annual Symposium: Graduate Research and Scholarly Projects. Wichita, KS: Wichita State University, p. 47-48	en
dc.identifier.uri	http://hdl.handle.net/10057/3173
dc.description	Paper presented to the 6th Annual Symposium on Graduate Research and Scholarly Projects (GRASP) held at the Hughes Metropolitan Complex, Wichita State University, April 23, 2010.	en
dc.description	Research completed at the Department of Economics, W. Frank Barton School of Business	en
dc.description.abstract	This project analyzes the effectiveness of employing interest rate swaps to weather U.S. monetary announcement effects. This study presents the evidence that there are benefits for fixed-rate payers when the Fed tightens the money supply, but the expected adverse effects on floating-rate payers are not observed. First, this paper shows that assets prices react to the surprising component of the federal funds rate changes rather than the raw interest fluctuations. Second, this paper illustrates the heterogeneous stock returns in response to monetary surprises at both industry and firm levels. Finally, this study explains the sensitivities of the stock returns by companies’ balance sheet information in conjunction with their positions in interest rate swaps contracts.	en
dc.format.extent	1843 bytes
dc.format.extent	107361 bytes
dc.format.mimetype	text/plain
dc.format.mimetype	application/pdf
dc.language.iso	en_US	en
dc.publisher	Wichita State University. Graduate School	en
dc.relation.ispartofseries	GRASP	en
dc.relation.ispartofseries	v.6	en
dc.title	Does the use of interest rate swaps matter?	en
dc.type	Conference paper	en