Price discovery from cross-currency and FX swaps: a structural analysis

Preprint OPEN
Naohiko Baba ; Yasuaki Amatatsu (2008)
  • Subject: Currency Swap; FX Swap; Price Discovery; State Space Model; Efficient Price | Currency Swap, FX Swap, Price Discovery, State Space Model, Efficient Price
    • jel: jel:G12 | jel:G15 | jel:G14

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these two swaps should be in a no-... View more
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