Modeling Credit Spreads-an Exploratory Study in China

摘要：

This paper empirically studies the micro and macro factors that influence the dynamic process of credit spreads and builds dynamic regression models for credit spread series of bond with different maturities. It is fonnd that short-term interest rate, the slope of default-free term structure, CPI, the curvature of default-free term structure and exchange rate are important for studying the change and volatility of credit spreads in China. With the maturity different, the effects are different too.Iuvestors and supervisors can forecast the change of credit risk by paying attention to these economic variables.

关键词： Corporate bond Credit spresds Dynamic processes Influences

作者: SUN Ke

作者单位: College of Economics,Jiaxing University,P.R.China,314001

会议类型: 国际会议

会议名称: The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 970-975

在线出版日期: 2008-05-18（万方平台首次上网日期，不代表论文的发表时间）