What Determines U.S. Swap Spreads?

What Determines U.S. Swap Spreads?

This paper examines the evolution of the U.S. interest swap market. The authors review the theory and past empirical studies on U.S. swap spreads, and estimate an error-correction model for maturities of 2, 5, and 10 years from 1994 to 2004. Financ...

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Bibliographic Details
Main Authors: Kobor, Adam, Shi, Lishan, Zelenko, Ivan
Format: Publication
Language:English
en_US
Published: Washington, DC: World Bank 2012
Subjects:
FINANCIAL ANALYSIS; STATISTICS; MODELS; ERROR CORRECTION MODELS; COINTEGRATION; SWAP TRANSACTIONS; TREASURY BONDS; YIELD INCREASE; MORTGAGE-BACKED SECURITIES; ANALYTICAL METHODS;
Online Access:http://documents.worldbank.org/curated/en/2005/06/6258950/determines-swap-spreads
http://hdl.handle.net/10986/7272

Internet

http://documents.worldbank.org/curated/en/2005/06/6258950/determines-swap-spreads
http://hdl.handle.net/10986/7272

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