What determines U.S. swap spreads? / Adam Kobor, Lishan Shi, Ivan Zelenko.

This 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 LIB...

Full description

Bibliographic Details

Online Access:	Full Text (via ProQuest)
Main Author:	Kóbor, Ádám
Other Authors:	Shi, Lishan, Zelenko, Ivan
Format:	eBook
Language:	English
Published:	Washington, D.C. : World Bank, 2005.
Series:	World Bank working paper ; no. 62.
Subjects:	Swaps (Finance) > United States. Interest rates > Mathematical models. Interest rates > Mathematical models Swaps (Finance) United States