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Determinants of interest rate swap spreads

  • Lang, Larry H. P.
  • Litzenberger, Robert H.
  • Luchuan Liu, Andy

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File URL: http://www.sciencedirect.com/science/article/B6VCY-41XMJV1-2/2/d26720e8351f97ffad7a7897398ac018
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 22 (1998)
Issue (Month): 12 (December)
Pages: 1507-1532

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Handle: RePEc:eee:jbfina:v:22:y:1998:i:12:p:1507-1532
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Hull, John, 1989. "Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(04), pages 489-501, December.
  2. Sun, Tong-sheng & Sundaresan, Suresh & Wang, Ching, 1993. "Interest rate swaps: An empirical investigation," Journal of Financial Economics, Elsevier, vol. 34(1), pages 77-99, August.
  3. Bicksler, James & Chen, Andrew H, 1986. " An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-55, July.
  4. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  5. Sheridan Titman, 1990. "Interest rate swaps and corporate financing choices," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  6. Litzenberger, Robert H, 1992. " Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-50, July.
  7. Marcelle Arak & Arturo Estrella & Laurie Goodman & Andrew Silver, 1988. "Interest rate swaps: an alternative explanation," Research Paper 8811, Federal Reserve Bank of New York.
  8. Larry D. Wall & John J. Pringle, 1987. "Alternate explanations of interest rate swaps," Proceedings 154, Federal Reserve Bank of Chicago.
  9. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
  10. Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-49, July.
  11. Grinblatt, Mark, 1995. "An Analytic Solution for Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt9s13f3zx, Anderson Graduate School of Management, UCLA.
  12. Cooper, Ian A & Mello, Antonio S, 1991. " The Default Risk of Swaps," Journal of Finance, American Finance Association, vol. 46(2), pages 597-620, June.
  13. Flannery, Mark J, 1986. " Asymmetric Information and Risky Debt Maturity Choice," Journal of Finance, American Finance Association, vol. 41(1), pages 19-37, March.
  14. J. Gregg Whittaker, 1987. "Interest rate swaps: risk and regulation," Economic Review, Federal Reserve Bank of Kansas City, issue Mar, pages 3-13.
  15. Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
  16. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
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