“…Examples of recent literature include Fehle (2000), Eom et al (2001Eom et al ( , 2002, Milas (2001, 2004), and In et al (2003In et al ( , 2004. Fehle (2000) investigates the impact that US swap spreads have on British, German, French, Japanese, Spanish, and Dutch swap markets, whereas Eom et al (2002) examine the relationship between Japanese yen and US dollar interest rate swap spreads, using weekly data.…”