02727nam 2200637Ia 450 991045039060332120200520144314.01-280-16889-797866101688970-8213-6339-5(CKB)1000000000031592(EBL)459543(OCoLC)60844972(SSID)ssj0000090189(PQKBManifestationID)11130526(PQKBTitleCode)TC0000090189(PQKBWorkID)10097723(PQKB)11725970(MiAaPQ)EBC459543(Au-PeEL)EBL459543(CaPaEBR)ebr10082388(CaONFJC)MIL16889(OCoLC)84741916(EXLCZ)99100000000003159220050602d2005 uy 0engur|n|---|||||txtccrWhat determines U.S. swap spreads?[electronic resource] /Adam Kobor, Lishan Shi, Ivan ZelenkoWashington, D.C. World Bank20051 online resource (60 p.)World Bank working paper ;no. 62Description based upon print version of record.0-8213-6338-7 Includes bibliographical references.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; ReferencesThis 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 observWorld Bank working paper ;no. 62.Swaps (Finance)United StatesInterest ratesMathematical modelsElectronic books.Swaps (Finance)Interest ratesMathematical models.332.64/57/0973Kóbor Ádám924737Shi Lishan924738Zelenko Ivan924739MiAaPQMiAaPQMiAaPQBOOK9910450390603321What determines U.S. swap spreads2075659UNINA