We develop and test a model in which swap spreads are determined by end users' demand for and constrained intermediaries' supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital and for bearing convergence risk—i.e., the risk spreads will widen due to a future demand-and-supply imbalance. We show that a proxy for the intermediated quantity of swaps—dealers' net position in Treasuries—flipped sign during the Global Financial Crisis when swap spreads turned negative and that this variable predicts the excess returns on swap spread trades. Exploiting our model's sign restrictions, we identify shifts in demand and supply and find that both contribute significantly to the volatility of swap spreads.

中文翻译：

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供需失衡风险和长期掉期利差

我们开发并测试了一个模型，其中掉期利差由最终用户对长期利率掉期的需求和中介机构的供应限制决定。掉期利差既反映了对使用稀缺中介资本的补偿，也反映了对承担收敛风险的补偿，即风险利差将因未来供需失衡而扩大。我们发现，在全球金融危机期间，当掉期利差变为负数时，掉期中间数量的代理——交易商在国债中的净头寸——翻转了符号，并且该变量预测了掉期利差交易的超额回报。利用模型的符号限制，我们识别了需求和供给的变化，并发现两者都对掉期利差的波动性产生了重大影响。