| dc.contributor.advisor | 胡聯國<br>林修葳 | zh_TW |
| dc.contributor.author (Authors) | 聶怡婷 | zh_TW |
| dc.contributor.author (Authors) | Nieh, Camille | en_US |
| dc.creator (作者) | 聶怡婷 | zh_TW |
| dc.creator (作者) | Nieh, Camille | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 18:55:31 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 18:55:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 18:55:31 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091351033 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36591 | - |
| 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) | g91351033 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 本篇論文主為信用價差之時間序列研究，及其和違約相關性之間之互動關係研究。發現信用價差之水準值及波動性，都具有兩個明顯不同的狀態期間，另發現信用價差和違約相關系數之間存在正向關係，且信用價差之高低波動狀態和景氣呈現反向變動。 | zh_TW |
| dc.description.abstract (摘要) | In this paper, I empirically investigate the dynamics of credit spread with regime switching analysis. The finding exhibits evidence of two distinctive volatility as well as mean regimes for credit spread changes. Moreover, I document (1) that the volatility of credit spread positively corresponds to default correlation and (2) that lower (higher) volatility regimes corresponds to boom (bust) state of economy. | en_US |
| dc.description.tableofcontents | ABSTRACT ………………………………………………………………3 I.INTRODUCTION …………………………………………………… 4 II.DATA ……………………………………………………………… 8 III.EMPIRICAL RESULTS 1.Volatility of Credit Spread Dynamics ……………………9 2.Relationship Between Volatility of Credit Spread and Default Correlation …………………………………………12 3.Implications ………………………………………………… 17 IV.CONCLUSION ………………………………………………………19 REFERENCE …………………………………………………………… 28 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091351033 | en_US |
| dc.subject (關鍵詞) | 信用價差 | zh_TW |
| dc.subject (關鍵詞) | 違約相關 | zh_TW |
| dc.subject (關鍵詞) | credit spread | en_US |
| dc.subject (關鍵詞) | default correlation | en_US |
| dc.subject (關鍵詞) | SWARCH | en_US |
| dc.title (題名) | Credit Spread Dynamics and Default Correlation | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Bierens, Herman, Huang, Jing-zhi and Kong, Weipgen, 2003, An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects, Working Paper Series | zh_TW |
| dc.relation.reference (參考文獻) | Franklin, Allen and Gale, Douglas, 2000, Financial Contagion, Journal of Political Economy, Vol 108, 1-33 | zh_TW |
| dc.relation.reference (參考文獻) | Hamilton JD, and Susmel, Raul 1994, Autoregressive Conditional Heteroskedasticity and Changes in Regime, Journal of Econometrics, 64, 307-333 | zh_TW |
| dc.relation.reference (參考文獻) | Hansen, B. E., 1992, The Likelihood Ratio Test Under Nonstandard Conditions-Testing the Markov Switching Model of GNP, Journal of Applied Econometrics, Vol. 7, S61-S82 | zh_TW |
| dc.relation.reference (參考文獻) | Garcia, Rene, 1998, Asymptotic Null Distribution of The Likelihood Ratio Test In Markov Switching Model, International Economic Review, Vol. 39, No. 3, 763-788 | zh_TW |
| dc.relation.reference (參考文獻) | Kiyotaki, Nobuhiro and John Moore, 1997, Credit Chains, Working Paper Series | zh_TW |
| dc.relation.reference (參考文獻) | Redrosa, Monica and Roll, Richard 1998, Systematic Risk in Corporate Bond Credit Spreads, Journal of Fixed Income, December, 7-26 | zh_TW |
| dc.relation.reference (參考文獻) | Van Horne, James C., 1997, Financial Marketing Rates and Flows, Prentice Hall, Fifth Edition | zh_TW |
