Chulalongkorn University Theses and Dissertations (Chula ETD)
Year (A.D.)
2019
Document Type
Independent Study
First Advisor
Sira Suchintabandid
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2019.69
Abstract
This paper aims to investigate the determinants of THB swap spreads by combining the traditional explaining variables of previous researches, e.g., default risk premium, liquidity premium and slope of the government bond yield curve, with additional explaining variables that might be missed in the previous studies and unique in THB swap spreads, e.g., TED and macroeconomic factors during the different states of economy, which are classified by Bank of Thailand monetary policy rate and the presence of negative swap spread. The motivation is to investigate the different effect of the determinants of THB swap spread in the different market conditions and negative swap spread period.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Wattanaskolpant, Parkorn, "The Determinants of THB Swap Spreads" (2019). Chulalongkorn University Theses and Dissertations (Chula ETD). 6935.
https://digital.car.chula.ac.th/chulaetd/6935