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Determinants of treasury-LIBOR swap spreads

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Determinants of Treasury-LIBOR Swap Spreads

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...

Persistent link: https://www.econbiz.de/10005047232