The purpose of this study is to examine what affects the changes in credit spreads. A regression model was performed where the explanatory variables were; volatility, SP&500 index, interest-rate level the slope of yield curve and the dependent variable was credit spread for each of CSUSDA, CSUSDBBB, and CSUSDB. We found a positive correlation between these independent variables (Volatility, S&P 500index) and a negative correlation between interest-rate level and credit spreads. These results were consistent with our hypothesis. However, the link between the slope of yield curve and credit spreads was positive and that was inconsistent with our hypothesis and some previous studies. The conclusion of this paper was a change in credit spread is related to the variables that we used in our model. And these variables explained about 50 per cent of this change.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hj-964 |
| Date | January 2007 |
| Creators | al Hussaini, Ammar |
| Publisher | Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi |
| 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 |
Page generated in 0.0017 seconds