Interest Rate Swap Market Complexity and Its Risk Management Implications
Table 7
Regression of swap rate volatility on network property measures (average of all the daily swap networks).
H/L swap rate volatility
G/K swap rate volatility
(Intercept)
2.128e − 04 (2.424)
−3.430e − 04 (−2.305)
5.556e − 04 (2.253)
−9.705e − 04 (−2.305)
Num. of entities
−3.269e − 07 (−0.615)
−3.269e − 07 (−0.755)
Num. of contracts
1.491e − 07 (2.443)
4.209e − 07 (2.454)
Degree centrality
−7.864e − 06 (−1.431)
−2.322e − 05 (−1.503)
Betweenness centrality
5.821e − 07 (1.054)
2.129e − 06 (1.371)
Closeness centrality
−2.441e − 02 (−0.492)
−6.918e − 02 (−0.496)
Eigenvector centrality
1.313e − 04 (0.082)
5.370e − 04 (0.119)
AIM complexity
1.138e − 04 (3.914)
3.203e − 04 (3.894)
HC complexity
8.299e − 05 (4.908)
2.342e − 04 (4.897)
R-squared
0.09731
0.06467
0.1088
0.06432
DF
343
343
343
343
F-statistics
6.45
12.55
7.306
12.48
value
1.797e − 06
5.376e − 06
2.218e − 07
5.746e − 06
Notes: this table compares the regression results of IRS market volatility on network centrality measures and the network complexity measures. Significance level code: 0.01 “,” 0.05 “,” and 0.1 “.”
