政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36591

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36591

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109951/140892 (78%)
Visitors : 46201062 Online Users : 547

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/36591

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36591

Title:	Credit Spread Dynamics and Default Correlation
Authors:	聶怡婷 Nieh, Camille
Contributors:	胡聯國林修葳聶怡婷 Nieh, Camille
Keywords:	信用價差違約相關 credit spread default correlation SWARCH
Date:	2003
Issue Date:	2009-09-18 18:55:31 (UTC+8)
Abstract:	本篇論文主為信用價差之時間序列研究，及其和違約相關性之間之互動關係研究。發現信用價差之水準值及波動性，都具有兩個明顯不同的狀態期間，另發現信用價差和違約相關系數之間存在正向關係，且信用價差之高低波動狀態和景氣呈現反向變動。 In this paper, I empirically investigate the dynamics of credit spread with regime switching analysis. The finding exhibits evidence of two distinctive volatility as well as mean regimes for credit spread changes. Moreover, I document (1) that the volatility of credit spread positively corresponds to default correlation and (2) that lower (higher) volatility regimes corresponds to boom (bust) state of economy.
Reference:	Bierens, Herman, Huang, Jing-zhi and Kong, Weipgen, 2003, An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects, Working Paper Series Franklin, Allen and Gale, Douglas, 2000, Financial Contagion, Journal of Political Economy, Vol 108, 1-33 Hamilton JD, and Susmel, Raul 1994, Autoregressive Conditional Heteroskedasticity and Changes in Regime, Journal of Econometrics, 64, 307-333 Hansen, B. E., 1992, The Likelihood Ratio Test Under Nonstandard Conditions-Testing the Markov Switching Model of GNP, Journal of Applied Econometrics, Vol. 7, S61-S82 Garcia, Rene, 1998, Asymptotic Null Distribution of The Likelihood Ratio Test In Markov Switching Model, International Economic Review, Vol. 39, No. 3, 763-788 Kiyotaki, Nobuhiro and John Moore, 1997, Credit Chains, Working Paper Series Redrosa, Monica and Roll, Richard 1998, Systematic Risk in Corporate Bond Credit Spreads, Journal of Fixed Income, December, 7-26 Van Horne, James C., 1997, Financial Marketing Rates and Flows, Prentice Hall, Fifth Edition
Description:	碩士國立政治大學國際經營與貿易研究所 g91351033 92
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0091351033
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

Files in This Item:

File	Size	Format
index.html	0Kb	HTML2	478	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback