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...
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Full Text (via ProQuest) |
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| Format: | eBook |
| Language: | English |
| Published: |
Washington, D.C. :
World Bank,
2005.
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| Series: | World Bank working paper ;
no. 62. |
| Subjects: |
MARC
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| 100 | 1 | |a Kóbor, Ádám. | |
| 245 | 1 | 0 | |a What determines U.S. swap spreads? / |c Adam Kobor, Lishan Shi, Ivan Zelenko. |
| 260 | |a Washington, D.C. : |b World Bank, |c 2005. | ||
| 300 | |a 1 online resource (vii, 47 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a volume |b nc |2 rdacarrier | ||
| 347 | |a data file |2 rda | ||
| 380 | |a Bibliography | ||
| 490 | 1 | |a World Bank working paper ; |v no. 62 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 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. | |
| 520 | |a 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 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. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Swaps (Finance) |z United States. | |
| 650 | 0 | |a Interest rates |x Mathematical models. | |
| 650 | 7 | |a Interest rates |x Mathematical models |2 fast | |
| 650 | 7 | |a Swaps (Finance) |2 fast | |
| 651 | 7 | |a United States |2 fast |1 https://id.oclc.org/worldcat/entity/E39PBJtxgQXMWqmjMjjwXRHgrq | |
| 700 | 1 | |a Shi, Lishan. | |
| 700 | 1 | |a Zelenko, Ivan. | |
| 776 | 0 | 8 | |i Print version: |a Kóbor, Ádám. |t What determines U.S. swap spreads?. |d Washington, D.C. : World Bank, 2005 |w (DLC) 2005049916 |
| 830 | 0 | |a World Bank working paper ; |v no. 62. | |
| 856 | 4 | 0 | |u https://ebookcentral.proquest.com/lib/ucb/detail.action?docID=459543 |z Full Text (via ProQuest) |
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| 952 | f | f | |p Can circulate |a University of Colorado Boulder |b Online |c Online |d Online |e HG6024.U6 K63 2005 |h Library of Congress classification |i web |n 1 |