Dissertation > Excellent graduate degree dissertation topics show

Factors Analysis Is Applied to the Study of Corporate Bonds’ Credit Spreads

Author: DingXueShan
Tutor: YangJunLong
School: Anhui University
Course: Quantitative Economics
Keywords: Bonds credit spreads multiple regression vector autoregression regression analysis
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 221
Quote: 0
Read: Download Dissertation

Abstract


Corporate bonds are the companies’commitment in a particular period in accordance with the terms of the bond provisions of payment of interest and maturity the principal of securities, which is the enterprises (or companies) to follow relevant laws and regulations issued. Issuance of bonds is an important means of direct financing. Our country securities law and company law made a distinction between corporate bonds and corporate bonds, but common practice abroad is no longer distinguish between the two used in this study. Credit spreads is defined as the difference of the same maturity date and the cash flow structure of corporate bonds and government bonds yield to maturity rate. Through the analysis of credit spreads, you can identify the various factors affecting the credit spread to the price of corporate bonds and make a judgment of default risk. Thus, the study to do a reference for the bond issue the holder of the enterprise, corporate bonds, corporate debt market regulators and credit rating agencies.This article used the latest statistics from January2006to February2012, and combined home and abroad for the theory of credit risk spreads. The article do an empirical research from two aspects of the enterprise itself and the macroeconomic situation by means of econometrics and statistics. The empirical analysis using multiple linear regression models and vector autoregression (VAR) model for statistical analysis. This article first study the possible influencing factors, and quantitative analysis the influence of each explanatory variable. The innovation of this paper is a macro and micro integrated analysis of two aspects of corporate bond credit spreads, the focus of macroeconomic research, consider the exchange rate, interbank interest rates and other factors, and come to analyze the findings. The paper analyzed the problems encountered in the empirical process from China’s bond market many of the inadequate and gave policy recommendations.This article describes the national bond market, to clarify the importance of credit spreads, and in-depth study of each factor. Firstly, the author introduces the domestic and international research to identify the main factors of the corporate bond credit spreads. Then, according to the results of the analysis, the author make a empirical study of the spread, which is the focus of this article. In the empirical research, the article uses exchange-traded corporate bonds and government bonds as a sample and analysis credit spreads from both micro and macro empirical. From the microscopic point of view, the author came to the point that the quick ratio and bond rating for the spread has an important impact. From a microscopic point of view, the market interest rate, long-term interest rates, price indices and exchange rates and credit spreads, have an important influence. At last, This paper reviews the empirical research process, given the end-result of empirical research. The author also thinks about the future development strategy of China’s bond market.

Related Dissertations

  1. Study of Influential Factors of Shanghai Social Workers’ Burnout and Their Countermeasures,D669
  2. Spectrum Variation of Vegetation in Yanzhou Coal Mine Area and Heavy Metal Stress Characteristic,X173
  3. Rural household income and spending on higher education Relations,G649.2
  4. Colorectal surgery surgical site infection Logistic regression analysis,R656.7
  5. \,B222.5
  6. Ketones 3D-QSPR study,O641
  7. Application of the Modern Surveying Data Processing Technology in Estimation of Energy Demand,P25
  8. Study of the Laws of the Rock Strata Movement Based on the Mine of Thick Topsoil and Deep Mining,TD325
  9. Research on Supply and Demand Fore-cast of Chinese Heavy Truck Market,F274
  10. An Empirical Analysis of RMB exchange rate impact on the CPI,F726;F224
  11. Synthesis of Ziconotide by Solid Phase Method Via Selective Oxidation,TQ463
  12. Analysis on Flexural-Torsional Buckling of Simply-Supported Tapered I-Section Beams,TU392.5
  13. The Empirical Relationship of Housing Prices and Educational Resources,F293.3
  14. Study on Risk Identification and Evaluation of Manufacturing Green Products R & D,F205;F224
  15. H Company’s Brain Drain Reason Analysis and Countermeasure Research,F272.92
  16. Based on Data Mining Technologies in Urban Water Supply Analysis and Decision,F299.24;F224
  17. Research on Pricing Convertible Bonds Based on the Complete Decomposition Method,F224
  18. Research on Price Forming Mechanism of Industrial Metals Futures in China,F426.3;F224
  19. The Port Logistics’ Contribution to Zhejiang’s Economic Development,F259.27
  20. The Clinical Research about Prognosis of Liver Failure,R575.3
  21. A Correlate Study on Personality and Metal Health Status of Methamphetamine Abusers,B848

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile