INTEREST-RATE SWAPS - AN EMPIRICAL-INVESTIGATION
成果类型：
Article
署名作者：
SUN, T; SUNDARESAN, S; WANG, C
署名单位：
Columbia University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(93)90041-9
发表日期：
1993
页码：
77-99
关键词：
摘要：
Using quotations from two interest rate swap dealers with different credit ratings (AAA and A), we examine the effect of dealers' credit reputations on swap quotations and bid-offer spreads. The AAA offer rates are significantly higher than the A offer rates, and the AAA bid rates are significantly lower than the A bid rates. We also document the relation between swap rates and par bond yields estimated from London interbank offered rate (LIBOR) and bid rate (LIBID) data. We identify some of the problems in testing the implications of swap pricing theory.