Interest Rate Swap Market Complexity and Its Risk Management Implications

Figure 7

Impulse response analysis for H_C complexity and H/L swap rate volatility. The shaded area indicates the 95% confidence interval for simulation results. The confidence intervals get larger when they are further away from the start of the impulse.

(a) H_C complexity impulse response to H/L swap rate volatility

(b) H/L swap rate volatility impulse response to H_C complexity