Decomposing Swap Spreads

By Peter Feldhütter, D. Lando. 2008

277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1baed50a88622034e27d1943eeb4f3141e95abd5

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Citations in the corpus

The Cross-Section of Credit Risk Premia and Equity Returns (2013, unknown): “The day count convention that usually applies for CDS contracts is actual/360. procedure follows standard industry practice; Feldhütter and Lando (2008) show that swap rates are the best parsimonious proxy for riskless rates.”
A multi-quality model of interest rates (2009, background): “‡Among others, we refer to Collin-Dufresne and Solnik ( 2001 ) and Feldhutter and Lando ( 2006 ) and references therein.”
Properties of Foreign Exchange Risk Premiums (2012, methodology): “As mentioned above, we bootstrap zero yields from money market and swap rates based on the argument put forward by Feldhütter and Lando (2008) that these are the best parsimonious proxy for riskless rates.”
Bond Liquidity Premia (2012, background): “Fedlhütter and Lando (2007)) pointing toward LIBOR liquidity as an important driver of swap spreads.”
The Term Structure of Interbank Risk (2012, unknown): “10 Our paper is also related to Liu, Longstaff, and Mandell (2006), Johannes and Sundaresan (2007), and Feldhutter and Lando (2008), who study the term structure of IRS-Treasury spreads. Feldhutter and Lando D. Filipović, A.B. Trolle / Journal of Financial Economics 109 (2013) 707–733 710”
On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle (2009, unknown): “Taking at face value the prediction of the model, our results seem to suggest (in line with Huang and Huang 2003, Feldhutter and Lando 2008, and others) that much of the Aaa–Treasury spread is due to factors independent of credit risk.”
The Aggregate Demand for Treasury Debt (2012, unknown): “+λt,P2Et[Lt+1,P2] − λt,P1Et[Lt+1,P1] + covt[Mt+1, L̃t+1,P2 − L̃t+1,P1]/Et[Mt+1] (25)”
The U.S. Treasury Premium (2017, unknown): “This question is examined by Gourinchas and Rey (2007a,b), Gourinchas et al. (2010), and Curcuru et al.”
Money creation and the shadow banking system (2015, background): “Thus, OIS contracts carry little credit risk and are a good proxy for risk-free rates purged of liquidity and credit risk premia (Brunnermeier, 2009; Duffi e and Choudry, 2011; Feldhutter and Lando, 2008; Gorton and Metrick, 2010a; Schwarz, 2010 ).”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “Similar evidence of a large non-default component at both short and long maturities is found in Longstaff (2004) and Feldhütter and Lando (2008).”