This article investigates the determinants of US interest rate swap spreads in the period including the financial crisis. The asymmetric impacts of the financial crisis on interest rate swap spreads are focused by dividing the whole sample period into two. Four determinants of swap spreads -...

This paper aims to investigate the co-movement and transmission of distress through money markets during the global financial crisis by analyzing LIBOR-OIS spreads. It focuses on the US, Eurozone, UK and Japan. The sample is divided into two periods around the time of Lehman Brothers shock to...