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    Please use this identifier to cite or link to this item: http://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

    Nieh, Camille
    Keywords: 信用價差
    credit spread
    default correlation
    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
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091351033
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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