Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom

@inproceedings{Lekkos2001IdentifyingTF,
  title={Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom},
  author={Ilias Lekkos and Costas Milas},
  year={2001}
}
We assess the ability of the factors proposed in previous research to account for the stochastic evolution of the term structure of the U.S. and U.K. swap spreads. Using as factor proxies the level, volatility, and slope of the zero‐coupon government yield curve as well as the Treasury‐bill—London Interbank Offer Rate (LIBOR) spread and the corporate bond spread, we identify a procyclical behavior for the short‐maturity U.S. swap spreads and a countercyclical behavior for longer maturity U.S… CONTINUE READING

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