What Drives Swap Spreads, Credit or Liquidity?

SSRN Electronic Journal ◽

10.2139/ssrn.967786 ◽

2003 ◽

Cited By ~ 5

Author(s):

Ying Sophie Huang ◽

Salih N. Neftci

Keyword(s):

Swap Spreads

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The Components of Interest Rate Swap Spreads: Theory and International Evidence

CFA Digest ◽

10.2469/dig.v33.n3.1316 ◽

2003 ◽

Vol 33 (3) ◽

pp. 34-36

Author(s):

Robert A. McLean

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

International Evidence ◽

Swap Spreads ◽

Rate Swap

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Credit default swap spreads, fair-value spreads and interest rate dynamics

The Journal of Credit Risk ◽

10.21314/jcr.2012.154 ◽

2012 ◽

Vol 8 (4) ◽

pp. 53-129 ◽

Cited By ~ 1

Author(s):

Andy Jia-Yuh Yeh

Keyword(s):

Interest Rate ◽

Credit Default Swap ◽

Fair Value ◽

Interest Rate Dynamics ◽

Credit Default ◽

Default Swap ◽

Swap Spreads

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The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?

SSRN Electronic Journal ◽

10.2139/ssrn.2084916 ◽

2012 ◽

Author(s):

Hans-Peter Burghof ◽

Philipp Johannes Schneider ◽

Andreas Wengner

Keyword(s):

Credit Rating ◽

Credit Default Swap ◽

Industry Effects ◽

Credit Default ◽

Default Swap ◽

The Impact ◽

Swap Spreads

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Modeling Term Structures of Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.233963 ◽

2000 ◽

Cited By ~ 26

Author(s):

Hua He

Keyword(s):

Term Structures ◽

Swap Spreads

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The Influence of Systemic Importance Indicators on Bankss Credit Default Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2648466 ◽

2015 ◽

Cited By ~ 2

Author(s):

Jill Cetina ◽

Bert Loudis

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

Default Swap ◽

Swap Spreads

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The Impact of Debt Covenant Violation on Credit Default Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2893672 ◽

2017 ◽

Author(s):

Changling Chen ◽

Jeong-Bon Kim ◽

Chunmei Zhu

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

Debt Covenant ◽

Debt Covenant Violation ◽

Default Swap ◽

The Impact ◽

Swap Spreads

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Macro-Derivatives Nexus: New Drivers of Cross-Currency Basis Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.3405022 ◽

2019 ◽

Cited By ~ 1

Author(s):

Oyakhilome Ibhagui

Keyword(s):

Swap Spreads

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Real Output and Cross-Currency Basis Swap Spreads: Evidence from the Eurozone

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2021.101304 ◽

2021 ◽

pp. 101304

Author(s):

Oyakhilome Ibhagui

Keyword(s):

Real Output ◽

Swap Spreads

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The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs

Journal of Financial Services Research ◽

10.1007/s10693-016-0269-7 ◽

2017 ◽

Vol 54 (3) ◽

pp. 293-321 ◽

Cited By ~ 1

Author(s):

Qing Bai ◽

Lu Zhu

Keyword(s):

Credit Default Swap ◽

Economic Factors ◽

Credit Default ◽

Default Swap ◽

Swap Spreads

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Fiscal policy events and interest rate swap spreads: Evidence from the EU

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2005.12.002 ◽

2007 ◽

Vol 17 (3) ◽

pp. 261-276 ◽

Cited By ~ 35

Author(s):

António Afonso ◽

Rolf Strauch

Keyword(s):

Fiscal Policy ◽

Interest Rate ◽

Interest Rate Swap ◽

Swap Spreads ◽

Rate Swap ◽

The Eu

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