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What factors are driving forces for credit spreads?
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2007 (English)Independent thesis Basic level (degree of Bachelor), 10 points / 15 hpStudent thesis
Abstract [en]

The purpose of this study is to examine what affects the changes in credit spreads. A

regression model was performed where the explanatory variables were; volatility,

SP&500 index, interest-rate level the slope of yield curve and the dependent

variable was credit spread for each of CSUSDA, CSUSDBBB, and CSUSDB. We

found a positive correlation between these independent variables (Volatility, S&P

500index) and a negative correlation between interest-rate level and credit spreads.

These results were consistent with our hypothesis. However, the link between the

slope of yield curve and credit spreads was positive and that was inconsistent with

our hypothesis and some previous studies. The conclusion of this paper was a

change in credit spread is related to the variables that we used in our model. And

these variables explained about 50 per cent of this change.

Place, publisher, year, edition, pages
2007. , p. 35
Keywords [en]
Market volatility, S&P 500 index, Interest rate level, the slope of the curve
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hj:diva-964OAI: oai:DiVA.org:hj-964DiVA, id: diva2:4721
Uppsok
samhälle/juridik
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Available from: 2007-09-19 Created: 2007-09-19

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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