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研究生:黃心梅
論文名稱:TheCo-movementsofBondsSpreadsbyCreditRatingsandDurations
指導教授:胡聯國胡聯國引用關係林修葳林修葳引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
畢業學年度:93
語文別:英文
論文頁數:40
中文關鍵詞:BondCredit SpreadCredit RatingDurationCo-movement
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This study adopts Markov-switching ARCH model proposed by Hamilton and Susmel (1994) to explore the behavior of credit spreads for different bond ratings. Specifically, this paper examines the properties of credit spreads and the co-movements of spreads among different durations and credit ratings. The consideration of the population makes the outcome more precise. The contribution of this study is to add to the investors a knowledge as to the credit spread behavior and help them understand the lower rating or longer maturity bonds by the observation of the investment-graded bonds while there are more risks and uncertainties conceal in these high yield bonds or D-rated bonds. The conclusion of this paper may help investors understand credit risk management and thus build appropriate portfolios.
CONTENTS
ACKNOWLEDGEMENT i
ABSTRACT ii
CONTENTS iii
1. INTRODUCTION 1
2. MODEL SPECIFICATION 7
3. DATA 10
4. EMPIRICAL RESULTS 13
4.1 Full Sample Results 13
4.2 Correlation Analysis 16
4.3 Co-movement Analysis via Various Volatility States 17
4.4 Smoothing Probability Analysis 21
5. CONCLUSION 24
REFERENCES 25
Table 1. Descriptive Statistics of Bond Credit Spreads 27
Table 2. Estimations of Parameters of SWARCH(2, 2) and ARCH(2) 29
Table 3. Correlation Coefficient of Change in Credit Spreads 31
Table 4. Correlation Coefficients under the Volatility State 32
Table 5. The Segment of The period of Volatility States 33
Figure 1. Plot of the credit spreads 34
Figure 2. Plot of Smoothing Probability 37
Figure 3. US Real GDP Growth Rate 40
Bierens H., Huang JZ., Kong W. 2003. An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects. Working Paper Series.
Collin-Dufresne P., Goldstein R.S, and Martin J.P. 2001. The Determinants of Credit Spread Changes. The Journal of Finance. 2177-2207.
Driessen J. 2005. Is Default Event Risk Priced in Corporate Bonds?. The Review of Financial Studies 18: 165-195.
Duffee G. 1998. The Relation Between Treasury Yields and Corporate Bond Yield Spread. Journal of Finance 53.
Duffie D., Singleton KJ. 2003. Credit Risk: Pricing, Measurement, and Management. Princeton University Press
Enders W. 1995. Applied Econometric Time Series. John Wiley & Sons, Inc.
Hand JRM, Holthausen RW. 1992. The Effect of Bond Rating Agency Announcements on Bond and Stock Pricing. Journal of Finance 47: 733-752.
Huang JZ., Huang M. 2003. How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?. Working paper.
Joutz F., Mansi S.A., Maxwell W.F. 2001. The Dynamics of Corporate Credit Spreads. Working paper.
Kang JK., Kim HS. 2004. Pricing Credit Spread Options under a Markov Chain Model with Stochastic Default Rate. The Journal of Futures Market 24: 631-648.
Lin H.W., Li M.Y. 2004. Examining the Multiple Volatilities and Co-movements asWell as Beta Coefficients of International Stock Markets. The 11th Global Finance Conference
Perraudin W, Taylor AP. 2004. On the Consistency of Ratings and Bond Market Yields. Journal of Banking & Finance 28: 2769-2788.
Steiner M, Heinke VG. 2001. Event Study Concerning International Bond Price Effects of Credit Rating Actions. International Journal of Finance and Economics 6: 139:157.
Scholtens B. 1999. On the Comovement of Bond Yield Spreads and Country Risk Ratings. The journal of fixed income 8: 99-103.
Thomas L.C., Allen D.E. Morkel-Kingsbury N. 2002. A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads. International review of financial analysis 11:311-329.
Wei JZ. 2000. A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads. Working paper.
West R., 1973. Bond Ratings, Bond Yield and Financial Regulation: Some Findings. Journal of Law and Economics 16: 159-168.
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