Malhotra, D. K.; Bhargava, Vivek; Chaudhry, Mukesh - In: Review of Pacific Basin Financial Markets and Policies … 08 (2005) 04, pp. 687-705
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...