Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market

► This paper empirically analyzes the conditional correlation between treasury and swap markets using the asymmetric conditional correlation (A-DCC) model developed by Cappiello et al. (2006). ► We find that the dynamics of the conditional correlation of only the 2-year maturity differs from those of other maturities. ► We also find that the financial crisis dummies are all negative in particular with significance at the 5% level for 7 year, 10 year, and 30 year maturities.