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010   $a1-280-16889-7
010   $a9786610168897
010   $a0-8213-6339-5
024 7 $a10.1596/978-0-8213-6338-6
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035   $a(EBL)459543
035   $a(OCoLC)60844972
035   $a(SSID)ssj0000090189
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035   $a(PQKBTitleCode)TC0000090189
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035   $a(EXLCZ)991000000000031592
100   $a20050602d2005      uy             0
101 0 $aeng
135   $aurcn|||||||||
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aWhat determines U.S. swap spreads? /$fAdam Kobor, Lishan Shi, Ivan Zelenko
210  1$aWashington, D.C. :$cWorld Bank,$dc2005.
215   $avii, 47 pages $cillustrations ;$d26 cm
225 0 $aWorld Bank working paper ;$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 e-Library.
606   $aSwaps (Finance)$zUnited States
606   $aInterest rates$xMathematical models
615  0$aSwaps (Finance)
615  0$aInterest rates$xMathematical models.
676   $a332.64/57/0973
700   $aKobor$b Adam$01666772
701   $aShi$b Lishan$01666773
701   $aZelenko$b Ivan$0924739
712 02$aWorld Bank.
801  0$bDLC
801  1$bDLC
801  2$bYDX
801  2$bBAKER
801  2$bYUS
801  2$bPUL
801  2$bMUQ
801  2$bNLGGC
801  2$bDLC
906   $aBOOK
912   $a9910819777703321
996   $aWhat determines U.S. swap spreads$94026229
997   $aUNINA