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，该模型考虑了交易对手违约风险和国债与互换市场流动性差异，并估计了互换市场隐含的零息债券违约风险利率。
This paper 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.