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Macroeconomic Swap

What is 'Macroeconomic Swap'

A type of derivative designed to help companies whose revenues are closely correlated with business cycles to reduce their business-cycle risk. In a macroeconomic swap, also called a macro swap, a variable stream of payments based on a macroeconomic indicator is exchanged for a fixed stream of payments. The exchange occurs between an end user and a macro swap dealer.

Explaining 'Macroeconomic Swap'

Macroeconomic swaps were introduced to the market in the early 1990s. Types of indicators that may be used include, but are not limited to, the Consumer Confidence Index, the Wholesale Price Index, inflation rates, unemployment rates, gross national product and gross domestic product. In most types of swaps, the underlying asset can be traded, but this is not true for macroeconomic swaps.


Further Reading


Macroeconomic uncertainty and credit default swap spreads
www.tandfonline.com [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Sargent‐Wallace meets Krugman‐Flood‐Garber, or: why sovereign debt swaps do not avert macroeconomic crisesSargent‐Wallace meets Krugman‐Flood‐Garber, or: why sovereign debt swaps do not avert macroeconomic crises
academic.oup.com [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Variance swaps, non-normality and macroeconomic and financial risksVariance swaps, non-normality and macroeconomic and financial risks
www.sciencedirect.com [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Determinants of sovereign credit default swap spreads for piigs-a macroeconomic approachDeterminants of sovereign credit default swap spreads for piigs-a macroeconomic approach
lup.lub.lu.se [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Linking the interest rate swap markets to the macroeconomic risk: the UK and US evidenceLinking the interest rate swap markets to the macroeconomic risk: the UK and US evidence
www.sciencedirect.com [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Examination of the Macroeconomic Variables affecting Credit Default SwapsExamination of the Macroeconomic Variables affecting Credit Default Swaps
www.kspjournals.org [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Optimal investment and financing with macroeconomic risk and loan guaranteesOptimal investment and financing with macroeconomic risk and loan guarantees
papers.ssrn.com [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Business cycles and the impact of macroeconomic surprises on interest rate swap spreads: Australian evidenceBusiness cycles and the impact of macroeconomic surprises on interest rate swap spreads: Australian evidence
www.emerald.com [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in PakistanExploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan
www.emerald.com [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …

The basic macroeconomics of debt swapsThe basic macroeconomics of debt swaps
www.jstor.org [PDF]
This article empirically investigates the impact of macroeconomic uncertainty on the spreads of individual firms' Credit Default Swaps (CDSs). While the existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we find …


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