Negative Swap Spreads and Limited Arbitrage
研究了2008年10月以来30年期利率互换固定利率低于同期限国债利率的现象，提出一个考虑债券持有摩擦的互换定价模型，证明负互换利差并不意外，且模型校准结果与实证数据吻合。
Abstract Since October 2008, fixed rates for interest rate swaps with a 30-year maturity have been mostly below Treasury rates with the same maturity. Under standard assumptions, this implies the existence of arbitrage opportunities. This paper presents a model for pricing interest rate swaps, where frictions for holding bonds limit arbitrage. I analytically show that 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. Received April 16, 2017; editorial decision Januray 3, 2019 by Editor Stijn Van Nieuwerburgh.