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 …

has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their … counterparts in smaller economies. We explore whether such swap lines can reduce the need for reserve accumulation. The evidence … suggests that there is only a limited scope for swaps to substitute for reserves. The selectivity of the swap lines indicates …

central banks. These central banks had the capacity to use these swap facilities to provide dollar liquidity to institutions … in their jurisdictions. This paper presents the developments in the dollar swap facilities through the end of 2009. The … research, as well as more descriptive accounts, suggests that the dollar swap lines among central banks were effective at …

unprecedented U.S. dollar swap lines recently provided to many countries by the Federal Reserve …

the municipal swap market. By applying an affine term-structure framework, we are able to identify both the marginal tax …

markets. The implicit international contract is analogous to a total return swap in domestic financial markets. Using market …

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …