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研究生： 黃心梅
論文名稱： The Co-movements of Bonds Spreads by Credit Ratings and Durations
指導教授： 胡聯國
林修葳
學位類別： 碩士
Master
系所名稱： 商學院 - 國際經營與貿易學系
Department of International Business
論文出版年： 2006
畢業學年度： 93
語文別： 英文
論文頁數： 40
相關次數： 點閱：91  下載：0 
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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

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