• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

Klingler, Sven; Sundaresan, Suresh M.
Journal article, Peer reviewed
Accepted version
Thumbnail
View/Open
Locked until 13. Dec 2019, due to publishers policy. (1010.Kb)
URI
http://hdl.handle.net/11250/2598357
Date
2019
Metadata
Show full item record
Collections
  • Publikasjoner fra CRIStin - BI [641]
  • Scientific articles [1362]
Original version
The Journal of Finance. 2019, 74 (2), 675-710.   10.1111/jofi.12750
Abstract
The 30‐year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for duration hedging. Combined with dealer banks' balance sheet constraints, this demand can drive swap spreads to become negative. Empirically, we construct a measure of the aggregate funding status of defined benefit pension plans and show that this measure helps explain 30‐year swap spreads. We find a similar link between pension funds' underfunding and swap spreads for two other regions
Publisher
Wiley
Journal
Journal of Finance

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit