An Econometric Model of the Term Structure of Interest‐Rate Swap Yields
构建了一个多因子经济计量模型，用于分析利率互换收益率的期限结构。模型考虑了交易对手违约风险以及国债与互换市场流动性的差异，可直接估计互换市场隐含的违约零息债券利率，无需事先设定违约风险或回收率。时间序列分析表明，过去十年信用和流动性因素都是互换利差变动的重要来源。
ABSTRACT This article develops a multi‐factor econometric model of the term structure of interest‐rate swap yields. The model accommodates the possibility of counterparty default, and any differences in the liquidities of the Treasury and Swap markets. By parameterizing a model of swap rates directly, we are able to compute model‐based estimates of the defaultable zero‐coupon bond rates implicit in the swap market without having to specify a priori the dependence of these rates on default hazard or recovery rates. The time series analysis of spreads between zero‐coupon swap and treasury yields reveals that both credit and liquidity factors were important sources of variation in swap spreads over the past decade.