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dc.contributor.authorKlingler, Sven
dc.contributor.authorSundaresan, Suresh M.
dc.date.accessioned2019-05-21T15:00:18Z
dc.date.available2019-05-21T15:00:18Z
dc.date.created2019-04-15T19:17:51Z
dc.date.issued2019
dc.identifier.citationThe Journal of Finance. 2019, 74 (2), 675-710.nb_NO
dc.identifier.issn0022-1082
dc.identifier.urihttp://hdl.handle.net/11250/2598357
dc.description.abstractThe 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 regionsnb_NO
dc.language.isoengnb_NO
dc.publisherWileynb_NO
dc.titleAn Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plansnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionacceptedVersionnb_NO
dc.source.pagenumber675-710nb_NO
dc.source.volume74nb_NO
dc.source.journalJournal of Financenb_NO
dc.source.issue2nb_NO
dc.identifier.doi10.1111/jofi.12750
dc.identifier.cristin1692756
cristin.unitcode158,1,0,0
cristin.unitnameInstitutt for finans
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode2


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