This paper examines the evolution of the U.S. interest swap market. The authors review the theory and past empirical studies on U.S. swap spreads, and estimate an error-correction model for maturities of 2, 5, and 10 years from 1994 to 2004. Financial theory depicts swaps as contracts indexed on London Inter-Bank Offered (LIBOR) rates, rendered almost free of counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the...
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INFORMATION
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2005/06/01
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Publication
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33427
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1
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1
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2010/07/01
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Disclosed
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What determines U.S. Swap spreads ?
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swap spread
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