This paper examines the evolution of the U.S. interest swap market. The authors review the theory and past empirical … studies on U.S. swap spreads, and estimate an error-correction model for maturities of 2, 5, and 10 years from 1994 to 2004 … counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component …

We investigate if Japanese yen denominated interest rate swap spreads price risks in addition to liquidity and default … yen swap spreads are shown to contain both pro-cyclical and counter-cyclical elements of business cycle risk, positive …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is …

yield curve. However, the ease of unwinding positions in futures may stop swap rates from completely displacing government …