信用스프레드 決定要因에 대한 實證分析 : An Empirical Study on Determinants of Credit Spreads
- 발행기관 서강대학교 경제대학원
- 지도교수 사공용
- 발행년도 2007
- 학위수여년월 200702
- 학위명 석사
- 학과 및 전공 경제대학원
- 식별자(기타) 000000103748
- 본문언어 한국어
초록/요약
This paper examines short/long-run relationships between credit spreads of corporate bonds and risk-free interest rates. In the short-run, increase of risk-free interest rates is reported to narrow credit spreads, which is consistent with the Structural Model. However, this negative relationship does not seem to hold in the long-run. Increase of risk-free interest rates at different time lags appeared to widen credit spreads or to decrease the impact of short-run negative relationship. The result of the simple regression for credit spreads against risk-free interest rates did not shed much light as to the explanation of the dependent variable. Therefore a multiple regression was conducted, but its result, contrary to economic common senses, was not very satisfactory either. This study provides complex dynamics of credit spreads, which must be considered when pricing corporate bonds or constructing risk management tool.
more