| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25422 |
| 来源ID | Working Paper 25422 |
| Negative Swap Spreads and Limited Arbitrage | |
| Urban Jermann | |
| 发表日期 | 2019-01-07 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Since October 2008 fixed rates for interest rate swaps with a thirty year maturity have been mostly below treasury rates with the same maturity. Under standard assumptions this implies the existence of arbitrage opportunities. This paper presents a model for pricing interest rate swaps where frictions for holding bonds limit arbitrage. I show analytically that negative swap spreads should not be surprising. In the calibrated model, swap spreads can reasonably match empirical counterparts without the need for large demand imbalances in the swap market. Empirical evidence is consistent with the relation between term spreads and swap spreads in the model |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w25422 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583096 |
| 推荐引用方式 GB/T 7714 | Urban Jermann. Negative Swap Spreads and Limited Arbitrage. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25422.pdf（341KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Urban Jermann]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Urban Jermann]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Urban Jermann]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
