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    题名: Credit Spread Dynamics and Default Correlation
    作者: 聶怡婷
    Nieh, Camille
    贡献者: 胡聯國
    林修葳
    聶怡婷
    Nieh, Camille
    关键词: 信用價差
    違約相關
    credit spread
    default correlation
    SWARCH
    日期: 2003
    上传时间: 2009-09-18 18:55:31 (UTC+8)
    摘要: 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.
    參考文獻: 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
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    g91351033
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0091351033
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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