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- What Determines U.S. Swap Spreads?
What Determines U.S. Swap Spreads?
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Financial theory depicts swaps as contracts indexed on Libor rates. This title examines the evolution of the US interest swap market. It reviews the theory and past empirical studies on US swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994-2004.
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