02967oam 22007455 450 991081977770332120230929151325.01-280-16889-797866101688970-8213-6339-510.1596/978-0-8213-6338-6(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(The World Bank)ocm60558674(US-djbf)13989005(EXLCZ)99100000000003159220050602d2005 uy 0engurcn|||||||||txtrdacontentcrdamediacrrdacarrierWhat determines U.S. swap spreads? /Adam Kobor, Lishan Shi, Ivan ZelenkoWashington, D.C. :World Bank,c2005.vii, 47 pages illustrations ;26 cmWorld Bank working paper ;no. 62.Description 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 e-Library.Swaps (Finance)United StatesInterest ratesMathematical modelsSwaps (Finance)Interest ratesMathematical models.332.64/57/0973Kobor Adam1666772Shi Lishan1666773Zelenko Ivan924739World Bank.DLCDLCYDXBAKERYUSPULMUQNLGGCDLCBOOK9910819777703321What determines U.S. swap spreads4026229UNINA