| dc.contributor.advisor | 胡聯國<br>林修葳 | zh_TW |
| dc.contributor.author (Authors) | 黃心梅 | zh_TW |
| dc.creator (作者) | 黃心梅 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 11-Sep-2009 17:09:29 (UTC+8) | - |
| dc.date.available | 11-Sep-2009 17:09:29 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Sep-2009 17:09:29 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913510361 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30065 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 91351036 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | This study adopts Markov-switching ARCH model proposed by Hamilton and Susmel (1994) to explore the behavior of credit spreads for different bond ratings. Specifically, this paper examines the properties of credit spreads and the co-movements of spreads among different durations and credit ratings. The consideration of the population makes the outcome more precise. The contribution of this study is to add to the investors a knowledge as to the credit spread behavior and help them understand the lower rating or longer maturity bonds by the observation of the investment-graded bonds while there are more risks and uncertainties conceal in these high yield bonds or D-rated bonds. The conclusion of this paper may help investors understand credit risk management and thus build appropriate portfolios. | zh_TW |
| dc.description.tableofcontents | CONTENTS ACKNOWLEDGEMENT i ABSTRACT ii CONTENTS iii 1. INTRODUCTION 1 2. MODEL SPECIFICATION 7 3. DATA 10 4. EMPIRICAL RESULTS 13 4.1 Full Sample Results 13 4.2 Correlation Analysis 16 4.3 Co-movement Analysis via Various Volatility States 17 4.4 Smoothing Probability Analysis 21 5. CONCLUSION 24 REFERENCES 25 Table 1. Descriptive Statistics of Bond Credit Spreads 27 Table 2. Estimations of Parameters of SWARCH(2, 2) and ARCH(2) 29 Table 3. Correlation Coefficient of Change in Credit Spreads 31 Table 4. Correlation Coefficients under the Volatility State 32 Table 5. The Segment of The period of Volatility States 33 Figure 1. Plot of the credit spreads 34 Figure 2. Plot of Smoothing Probability 37 Figure 3. US Real GDP Growth Rate 40 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913510361 | en_US |
| dc.subject (關鍵詞) | Bond | en_US |
| dc.subject (關鍵詞) | Credit Spread | en_US |
| dc.subject (關鍵詞) | Credit Rating | en_US |
| dc.subject (關鍵詞) | Duration | en_US |
| dc.subject (關鍵詞) | Co-movement | en_US |
| dc.title (題名) | The Co-movements of Bonds Spreads by Credit Ratings and Durations | zh_TW |
| dc.type (資料類型) | thesis | en |
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