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Onshore spread and swap spread: Chilean money market liquidity indicators

In: The IFC's contribution to the 57th ISI Session, Durban, August 2009

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  • Felipe Alarcon
  • Nicolas Malandre

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  • Felipe Alarcon & Nicolas Malandre, 2010. "Onshore spread and swap spread: Chilean money market liquidity indicators," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 391-399, Bank for International Settlements.
    • Handle: RePEc:bis:bisifc:33-45
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    1. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
    2. Duffie, Darrell & Singleton, Kenneth J, 1997. "An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, American Finance Association, vol. 52(4), pages 1287-1321, September.
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