Nippani, Srinivas; Smith, Stanley D. - In: Journal of Banking & Finance 34 (2010) 10, pp. 2472-2480
This paper examines the impact of the current financial crisis on long-term US Treasury yields by testing the impact of a series of events from December 2007 to March 2009 on the spread between 10-year USD LIBOR swap and 10-year US Treasury (constant maturity) rates to measure risk associated...
