English, Article edition: Determinants of Treasury-LIBOR Swap Spreads D. K. Malhotra; Vivek Bhargava; Mukesh Chaudhry

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/132371
Physical Description
  • article
Language
  • English

Edition details

Title
  • Determinants of Treasury-LIBOR Swap Spreads
Author
  • D. K. Malhotra
  • Vivek Bhargava
  • Mukesh Chaudhry
Physical Description
  • article
Notes
  • Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.
  • Interest rate swaps, basis swaps, Treasury-LIBOR swaps
  • RePEc:wsi:rpbfmp:v:08:y:2005:i:04:p:687-705
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment