1.

Record Nr.

UNINA9910450390603321

Autore

Kóbor Ádám

Titolo

What determines U.S. swap spreads? [[electronic resource] /] / Adam Kobor, Lishan Shi, Ivan Zelenko

Pubbl/distr/stampa

Washington, D.C., : World Bank, 2005

ISBN

1-280-16889-7

9786610168897

0-8213-6339-5

Descrizione fisica

1 online resource (60 p.)

Collana

World Bank working paper ; ; no. 62

Altri autori (Persone)

ShiLishan

ZelenkoIvan

Disciplina

332.64/57/0973

Soggetti

Swaps (Finance) - United States

Interest rates - Mathematical models

Electronic books.

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

Contents; Abstract; Acknowledgments; 1. Introduction; 2. A priori Determinants; LIST OF BOXES; LIST OF FIGURES; 3. Previous Empirical Works; 4. Methodology and Modeling; LIST OF TABLES; 5. Results; 6. Conclusion; References

Sommario/riassunto

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