What Determines Us Swap Spreads
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What Determines U.S. Swap Spreads?
| Author | : 3/4dm̀ Kb̤or |
| Publisher | : World Bank Publications |
| Total Pages | : 60 |
| Release | : |
| Genre | : |
| ISBN | : 9780821363386 |
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Language: en
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References p. 45-47.
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The structure of a plain vanilla interest rate swap is such that its cash flows can be replicated by a portfolio of two bonds or by a portfolio of short-term in
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We investigate the Japanese yen and U.S. dollar interest rate swap markets during the period 1990-2000, by examining the spreads of the swap rates over comparab
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This paper analyzes the asymmetric impacts of various economic shocks on swap spreads under distinct Fed monetary policy regimes. The results indicate that (a)
