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Discussion Paper
Credit risk in interest rate swaps
Belton, Terrence M. (1987)
Research Papers in Banking and Financial Economics , Paper 101

Journal Article
Measuring credit risk in interest rate swaps
Simons, Katerina (1989-11)
New England Economic Review , Issue Nov , Pages 29-38

Journal Article
Interest rate swaps: risk and regulation
Whittaker, J. Gregg (1987-03)
Economic Review , Volume 72 , Issue Mar , Pages 3-13

Journal Article
The Federal Reserve's foreign exchange swap lines
Klagge, Nicholas; Fleming, Michael J. (2010-04)
The financial crisis that began in August 2007 disrupted U.S. dollar funding markets not only in the United States but also overseas. To address funding pressures internationally, the Federal Reserve introduced a system of reciprocal currency arrangements, or "swap lines," with other central banks. The swap line program, which ended early this year, enhanced the ability of these central banks to provide U.S. dollar funding to financial institutions in their jurisdictions.
Current Issues in Economics and Finance , Volume 16 , Issue Apr

Working Paper
Monetary policy and the yield curve
Bomfim, Antúlio N. (2003)
This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001. Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and maturity, and identifies changes in the current and expected stance of monetary policy as primary movers of the yield curve.
Finance and Economics Discussion Series , Paper 2003-15

Journal Article
F.Y.I. going off the balance sheet
Murphy, Amelia A.; Johnson, Sylvester (1987-09)
Economic Review , Issue Sep , Pages 23-35

Conference Paper
Regulation of asset sales, futures and interest rate swaps
Lenchner, Joseph S. (1986)
Proceedings , Paper 123

Report
Trading risk and volatility in interest rate swap spreads
Kambhu, John (2004)
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which speculators take positions on a bet that asset prices will converge to normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback that can amplify shocks in asset prices. In our analysis, we see empirical evidence of both stabilizing and ...
Staff Reports , Paper 178

Speech
Reflections on the TALF and the Federal Reserve's role as liquidity provider
Sack, Brian P. (2010)
Remarks at the New York Association for Business Economics, New York City.
Speech , Paper 26

Journal Article
Dollar problems
Keran, Michael W. (1973)
FRBSF Economic Letter

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