Negative Swap Spreads and Limited Arbitrage

Urban Jermann

NBER Working Paper No. 25422
Issued in January 2019

---- Acknowledgments ----

Comments from seminar and conference participants at Wharton, NYU Stern, Michigan Ross, the Federal Reserve Board, the NBER Asset Pricing Summer Institute, Minnesota Carlson and the University of Chicago, as well as from Itamar Drechsler, Marti Subrahmanyam, Min Wei, Hiroatsu Tanaka, Andrea Eisfeldt, Francis Longstaff, Frederico Belo and Tim Landvoigt are gratefully acknowledged. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.

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