<p>The purpose of this study is to examine what affects the changes in credit spreads. A</p><p>regression model was performed where the explanatory variables were; volatility,</p><p>SP&500 index, interest-rate level the slope of yield curve and the dependent</p><p>variable was credit spread for each of CSUSDA, CSUSDBBB, and CSUSDB. We</p><p>found a positive correlation between these independent variables (Volatility, S&P</p><p>500index) and a negative correlation between interest-rate level and credit spreads.</p><p>These results were consistent with our hypothesis. However, the link between the</p><p>slope of yield curve and credit spreads was positive and that was inconsistent with</p><p>our hypothesis and some previous studies. The conclusion of this paper was a</p><p>change in credit spread is related to the variables that we used in our model. And</p><p>these variables explained about 50 per cent of this change.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hj-964 |
| Date | January 2007 |
| Creators | al Hussaini, Ammar |
| Publisher | Jönköping University, JIBS, Business Administration |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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