What Determines U.S. Swap Spreads?
- 56 stránek
- 2 hodiny čtení
This book explores the development of the US interest swap market, focusing on contracts linked to Libor rates. It reviews theoretical frameworks and empirical studies on US swap spreads, presenting an error correction model for 2-, 5-, and 10-year maturities from 1994 to 2004.
