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What determines U.S. swap spreads? /
This title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994-2004. Financial theory depicts swaps as contracts indexed on LIB...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
World Bank,
2005.
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| Colección: | World Bank working paper ;
no. 62. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994-2004. Financial theory depicts swaps as contracts indexed on LIBOR rates, rendered almost free of counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component) and a liquidity convenience premium present in Treasury rates (liquidity component). Multifactor models which were estimated on observ. |
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| Descripción Física: | 1 online resource (vii, 47 pages) |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 9780821363386 0821363387 0821363395 9780821363393 1280168897 9781280168895 9786610168897 661016889X |