دانلود رایگان مقاله انگلیسی مدل سازی توزیع اعتبار با نوسان پذیری زمانی، چولگی و کشیدگی - اشپرینگر 2018

Abstract

This paper seeks to identify the macroeconomic and financial factors that drive credit spreads on bond indices in the US credit market. To overcome the idiosyncratic nature of credit spread data reflected in time varying volatility, skewness and thick tails, it proposes asymmetric GARCH models with alternative probability density functions. The results show that credit spread changes are mainly explained by the interest rate and interest rate volatility, the slope of the yield curve, stock market returns and volatility, the state of liquidity in the corporate bond market and, a heretofore overlooked variable, the foreign exchange rate. They also confirm that the asymmetric GARCH models and Student-t distributions are systematically superior to the conventional GARCH model and the normal distribution in in-sample and out-of-sample testing.

Summary and conclusion

Based on the structural approach to assessing risky debt, we propose asymmetric GARCH models with a Student-t distribution to examine the impact of a broad set of financial variables on US Dollar corporate yield spreads. The GARCH effect addresses the time varying volatility, while the asymmetry addresses the skewness and the Student-t distribution deals with the thick tails that are observed in the credit spread data. The results show that the asymmetric GARCH models with Student-t distributions are superior to the conventional GARCH model and Gaussian distribution in both the in-sample and out-of-sample testing. Our model includes seven explanatory variables: the risk free interest rate, interest rate volatility, the slope of the yield curve, the stock market return, bond market liquidity and the real effective exchange rate. All the explanatory variables included in our model have significant coefficients with the expected signs in almost all estimates. The effect of these factors varies with respect to rating and maturity.