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
The files in this collection are protected by copyright law. No commercial reproduction or distribution of these files is permitted without the written permission of Southern Methodist University, Cox Business School. These files may be freely used for educational purposes, provided they are not altered in any way, and Southern Methodist University is cited. For more information, contact firstname.lastname@example.org.