Interest swaps with longer maturities more sensitive to macroeconomic news, DNB paper suggests


The impact in Sweden of macroeconomic news on the sensitivity of interest rate swaps was reduced at the effective zero lower bound at short maturities (one to two years) but not at longer maturities (five to 10 years), the results of a Netherlands Bank (DNB) working paper suggest.

The effect of the zero lower bound, forward guidance and unconventional monetary policy on interest rate sensitivity to economic news in Sweden by Richhild Moessner, Jakob de Haan and David-Jan Jansen studies whether

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