신용스프레드의 경기예측력에 관한 연구
The predictive power of credit spread on business cycle
- 주제(키워드) 신용스프레드 , 프로빗 , 고수익 채권 , 금융증폭이론
- 발행기관 서강대학교 일반대학원
- 지도교수 이한식
- 발행년도 2011
- 학위수여년월 2011. 2
- 학위명 석사
- 학과 및 전공 일반대학원 경제학과
- 실제URI http://www.dcollection.net/handler/sogang/000000046551
- 저작권 서강대학교의 논문은 저작권 보호를 받습니다.
초록/요약
This paper analyzes the predictive power of credit spread on business cycle, contrasting with the existing studies which mainly concern that of short- and long-term yield spread. In particular, it concerns the business predictability of high yield bond spread, which is based on the financial accelerator theory much studied recently and the result of empirical analysis shows that the high yield bond spread, which is defined as difference between the yields rate of BBB- corporate bond and government bond, has significant explanatory power for the business cycle.
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