Data about swap rates and impinging variables were taken from multiple sources and examined using regression analysis. Results show that the identified variables, including corporate default spreads, Treasury rates, Treasury yield curve, interest rate volatility, and eurodollar rates explain changes in interest rate swap spreads.
corporate default spreads, Treasury rates, Treasury yield curve, interest rate volatility, eurodollar rates
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Chen, Andrew H. and Selender, Arthur K., "Determination of Swap Spreads: An Empirical Analysis" (1994). Historical Working Papers. 170.