The euro interest rate swap market

Eli Remolona and Philip Wooldridge

BIS Quarterly Review, 2003

Abstract: The euro interest rate swap market is one of the largest and most liquid financial markets in the world. Indeed, the swap curve is emerging as the preeminent benchmark yield curve in euro financial markets, against which even some government bonds are now often referenced. However, owing to the current structure of the swap market, liquidity is not as robust to market stress as in the larger government securities and futures markets.

Date: 2003
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