LEADER 02727nam  2200637Ia 450 
001 9910450390603321
005 20200520144314.0
010   $a1-280-16889-7
010   $a9786610168897
010   $a0-8213-6339-5
035   $a(CKB)1000000000031592
035   $a(EBL)459543
035   $a(OCoLC)60844972
035   $a(SSID)ssj0000090189
035   $a(PQKBManifestationID)11130526
035   $a(PQKBTitleCode)TC0000090189
035   $a(PQKBWorkID)10097723
035   $a(PQKB)11725970
035   $a(MiAaPQ)EBC459543
035   $a(Au-PeEL)EBL459543
035   $a(CaPaEBR)ebr10082388
035   $a(CaONFJC)MIL16889
035   $a(OCoLC)84741916
035   $a(EXLCZ)991000000000031592
100   $a20050602d2005      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aWhat determines U.S. swap spreads?$b[electronic resource] /$fAdam Kobor, Lishan Shi, Ivan Zelenko
210   $aWashington, D.C. $cWorld Bank$d2005
215   $a1 online resource (60 p.)
225 1 $aWorld Bank working paper ;$vno. 62
300   $aDescription based upon print version of record.
311   $a0-8213-6338-7 
320   $aIncludes bibliographical references.
327   $aContents; 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
330   $aThis title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994-2004. Financial theory depicts swaps as contracts indexed on LIBOR rates, rendered almost free of counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component) and a liquidity convenience premium present in Treasury rates (liquidity component). Multifactor models which were estimated on observ
410  0$aWorld Bank working paper ;$vno. 62.
606   $aSwaps (Finance)$zUnited States
606   $aInterest rates$xMathematical models
608   $aElectronic books.
615  0$aSwaps (Finance)
615  0$aInterest rates$xMathematical models.
676   $a332.64/57/0973
700   $aKo?bor$b A?da?m$0924737
701   $aShi$b Lishan$0924738
701   $aZelenko$b Ivan$0924739
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910450390603321
996   $aWhat determines U.S. swap spreads$92075659
997   $aUNINA