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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Kóbor, Ádám
Other Authors: Shi, Lishan, Zelenko, Ivan
Format: Electronic eBook
Language:Inglés
Published: Washington, D.C. : World Bank, 2005.
Series:World Bank working paper ; no. 62.
Subjects:
Swaps (Finance) > United States.
Interest rates > Mathematical models.
Swaps (Finances) > États-Unis.
Taux d'intérêt > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Interest rates > Mathematical models
Swaps (Finance)
Échange de taux d'intérêt.
Modèle économétrique.
United States
États-Unis.
Online Access:Texto completo
Description
Summary: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.
Physical Description:1 online resource (vii, 47 pages)
Bibliography:Includes bibliographical references.
ISBN:9780821363386
0821363387
0821363395
9780821363393
1280168897
9781280168895
9786610168897
661016889X

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