The Relationship between Macro Environment、Yield Curve and Credit Spread of Corporation Bonds
Date Issued
2015
Date
2015
Author(s)
Lu, Yin-Cheih
Abstract
Since the financial crisis occurred in 2008, the issue amount of local corporation bonds grew as well, no matter is the economy recovered affect or investing quote stimulate, the trading value recovery to the standard of 2005,and also Gre Tai Center established the yield curve to assist investors for better transaction result. Common determinants of corporation bond transaction risks are including interest rate risks, long government bond interest rate and credit risks from issuer’s financial structure. According to the two factors of interest model of Longstaff and Schwartz (1995) and empirical result of Moody’s corporation bonds credit spread from Duffee (1998) , this thesis takes Taiwan Rating AAA+、AA+、AA-、AA corporation bonds as observed samples, to testify the development of the same matured corporation bonds credit spreads between different macro circumstances and the direction of corporation bonds credit spreads while the long government bond interest change.
Subjects
Credit Spread
Interest Rate Risk
Two-Factors Model
Recursive VAR
Type
thesis