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Credit Spread Dynamics and Default Correlation

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.

Identiferoai:union.ndltd.org:CHENGCHI/G0091351033
Creators聶怡婷, Nieh, Camille
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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