A model of credit spreads variations, based on macroeconomic and market variables, has been developed and presented in this paper. Credit spreads of speculative and investment grade bonds have been investigated, leading us to a linear relationship between their quarterly variations. Thanks to their risk contribution we clearly identify government bond rates and a financial conditions index as the most significant variables. Hence, based on macroeconomic views on the market in 2017, we perform some predictions on future variations on spreads based on this model, displaying the flattening of high yield credit spreads and the widening of investment grade spreads in the long run. In addition, a cointegration relationship between spreads, rates and the ISM has been found, meaning that there exists a mean-reverting process representing the spread between credit spreads and a linear combination of these factors. As a consequence, thanks to this process we can conclude about the potential immediate tightening of credit spreads. / Vi studerar en modell för variationer i kreditspreadar, baserad på makroekonomiska och marknadsvariabler, undersökningen av kreditspreadar av spekulativa och investment grade (dvs BBB klassade) obligationer gav upphov till ett linjärt förhållande mellan deras kvartalsvisa variationer. Tack vare deras riskbidrag identifierar vi tydligt Statsobligationsräntor och ett finansiellt förhållningsindex som de viktigaste variablerna. Därför baseras på en makroekonomiska syn på marknaden år 2017 utför vi vissa prediktioner om framtida variationer i spreadarna.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-207189 |
| Date | January 2017 |
| Creators | Brahimi, Marouane |
| Publisher | KTH, Matematisk statistik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-MAT-E ; 2017:18 |
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