Fenn, George W.; Post, Mitch; Sharpe, Steven A. - Federal Reserve Board (Board of Governors of the … - 1996
We develop and test a simple model of a firm's optimal debt maturity and its demand for interest rate swaps using 1994 data of over 4000 nonfinancial corporations. As in other models of derivative use, ours predicts a systematic relationship between a firm's swap position and the...