Download or read book The Effect of Fed Monetary Policy Regimes on the US Interest Rate Swap Spreads written by Ying Sophie Huang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the asymmetric impacts of various economic shocks on swap spreads under distinct Fed monetary policy regimes. The results indicate that (a) during periods of aggressive interest rate reductions, slope of the Treasury term structure accounts for a sizeable share of the swap spread variance although default shock is also a major player. (b) On the other hand, liquidity premium is the only contributor to the 2-year swap spread variance in monetary tightening cycles. (c) The impact of default risk varies across both monetary cycles and swap maturities. (d) The effect of interest rate volatility is generally more evident in loosening monetary regimes.