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Dissertations / Theses on the topic 'Government bond yield spreads'

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Published: 4 June 2021
Last updated: 2 February 2022

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1

LO, CONTE RICCARDO. "Government Bond Yield Spreads." Doctoral thesis, Università Cattolica del Sacro Cuore, 2009. http://hdl.handle.net/10280/639.

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Il presente lavoro raccoglie 4 contributi sul tema dei differenziali sui tassi di interesse esistenti tra i membri dell'unione monetaria europea.<br>I investigate the determinants of sovereign yield spreads in EMU.
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Abreu, Francisco Trigueiros Sampaio Farto e. "Government bond yield spreads in EMU countries: the story of an ephemeral convergence." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11530.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics<br>The inception of the European Monetary Union appeared to have accomplished the yields’ convergence goal of Maastricht. Suddenly however, spreads against Germany started escalating towards the values of the early nineties. Through the usage of a fixed-effects Arellano-Bond dynamic panel estimation, this thesis tries to discern the role of liquidity and fiscal fundamentals in determining yield differentials for ten EMU countries. While markets t
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Rosa, João Daniel Esteves. "Determinants of the Portuguese government bond yield spread." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11711.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>This paper seeks to find out the determinants of the 10 year Portuguese government bond yield spread for the period between the January of 2010 and December of 2012. Fundamental factors (debt ratio and government balance in % of GDP) and contagion effects are the main drivers behind the surge of the yield spread during the first two years of the sample. Liquidity risk (measured by the bid-ask spread) and the size of the banking system are also
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Wilkinson, Carter J. "Do Public Pensions Affect City Borrowing Costs? The Impact of Local Government Pension Contributions on Municipal Debt Yield Spreads." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/973.

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This paper utilizes a sample of 6,185 locally-issued, general obligation municipal bonds to examine the relationship between a city’s cumulative pension contributions and its cost of borrowing. Following the Great Recession unfunded public pension liabilities have soared to record highs, which, in theory, represent additional credit risks and may hinder local governments’ ability to service their outstanding debt. After controlling for bond characteristics, bond ratings, and issuer characteristics, the empirical analysis finds a statistically significant correlation between pension costs and b
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Shevchuk, Yuliya. "The determinants of sovereign bond yield spreads in the EMU." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18804.

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Mestrado em Economia Monetária e Financeira<br>Um conjunto de dados de painel de países da área do euro foi utilizado para avaliar os determinantes dos spreads de rentabilidade de títulos soberanos do primeiro trimestre de 1995 ao último trimestre de 2017. No período anterior à crise financeira, os spreads foram determinados principalmente pela dívida esperada em relação ao PIB, fator de risco de crédito e crescimento econômico. Com a erupção da crise financeira, a análise sugere que os mercados começaram a levar em consideração mais fundamentos para determinar o preço dos spreads, como risco
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Ågren, Gustaf, and Isak Roth. "Yield Spreads and Covenants : is there a negative relationship?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-255975.

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Research concerning covenants has at large not examined what quantifiable relationship covenants have with yield spreads. We shed light on this topic as we evaluate Swedish bond indentures. By examining the relationship between covenants and yield spread, our results indicate whether covenants effectively mitigate the bondholder-stockholder conflict. The results from our OLS-model indicate that the poison put option and covenants restricting dividends and mergers have a positive relationship with the yield spread, and that the negative pledge has a negative relationship with the yield spread.
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Víťazka, Peter. "CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-165972.

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The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost
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Kalantari, Arian. "Government yield spread determinants in the eurozone and the effect of the European debt crisis." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-264178.

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The inception of the economic and monetary union (EMU) in January 1999 created new conditions for government debt. By eliminating currency exchange rate risk between the member states, the hope was to achieve a more sustainable and integrated government debt market in the euro area. Even though we witnessed relative stability for several years, the financial turmoil starting in 2008 and more so the European government debt crisis starting in late 2009 led to higher and more volatile yield differentials between the member states. This thesis explores the European government bond market to find
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Bethke, Sebastian [Verfasser], Alexander [Gutachter] Kempf, and Thomas [Gutachter] Hartmann-Wendels. "Essays on the Determinants of Corporate Bond Yield Spreads / Sebastian Bethke ; Gutachter: Alexander Kempf, Thomas Hartmann-Wendels." Köln : Universitäts- und Stadtbibliothek Köln, 2016. http://d-nb.info/1124132465/34.

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Renne, Jean-Paul. "Regime switching in bond yield and spread dynamics." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090038/document.

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Cette thèse développe différents modèles à changements de régimes de la structure par terme des taux d'intérêt. Un cadre général de modélisation des taux associés à différents émetteurs y est présenté (chapitre 2). Ce cadre est exploité afin d’analyser les taux d’État de dix pays de la zone euro entre 1999 et 2012 (chapitre 3). Un régime de crise permet d’expliquer l’accroissement de la volatilité des taux pendant la crise financière. Cette étude montre en outre que la liquidité des titres est déterminante pour leur valorisation. Le cadre de modélisation est complété afin d’étudier le lien de
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Balima, Weneyam Hippolyte. "Essays on economic policies and economy of financial markets in developing and emerging countries." Thesis, Université Clermont Auvergne‎ (2017-2020), 2017. http://www.theses.fr/2017CLFAD024/document.

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Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. A
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Machac, Erik, and Renato Cucurnia. "The attraction of foreign government bonds from the perspective of swedish investors." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1285.

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<p>Even though today´s world unwinds on the increasing way of the globalisation, investors are aware of the possibilities the international markets offer and distance is not an issue any more, they are still governed by the “home bias factor“. This phenomenon implies that investors tend to prefer investing in domestic securities rather than entering the global market. Swedish investors are not the exception and the issue of the attraction of foreign fixed income securities is highlighted even more when we have found out there is lack of academic research about the topic from the perspective of
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Izadi, Selma. "Two Essays in Finance and Economics: “Investment Opportunities in Commodity and Stock Markets for G7 Countries” And “Global and Local Factors Affecting Sovereign Yield Spreads”." ScholarWorks@UNO, 2015. http://scholarworks.uno.edu/td/2087.

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In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative d
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Comenda, José Diogo Sampaio. "Government borrowing costs and fiscal developments." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20692.

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Mestrado em Economia Monetária e Financeira<br>Neste artigo, analiso os determinantes do rendimento dos títulos soberanos a 10 anos em relação à Alemanha para um painel de 10 países da área do euro para um período entre 1999 e 2019. Além das variáveis habituais, como o vix, taxa de câmbio efetiva real, saldo orçamental esperado, dívida esperada em relação ao PIB e crescimento do PIB, estudei o impacto das regras fiscais e das medidas de política monetária do BCE, nomeadamente o LTRO, SMP e PSPP. Este trabalho permite concluir que, quando testado individualmente, um aumento dos spreads de compr
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Ferreira, Simone Cristina de Macedo. "Spillovers across PIIGS bonds." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4978.

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Master in Finance<br>In this project we test for evidence of contagion between the bond financial markets of the so-called PIIGS countries: Portugal, Ireland, Italy, Greece and Spain, since 2005 till the end of 2011. Despite the fact we look into all yield spread maturities, the focus will be on 5 year yield spread and credit-default-swap (CDS) spreads for 5 year senior debt. The reason why, is because 5 year CDS maturity is the most relevant and tradable (Wit, J. 2006), in the market and also to allow for comparison with yields. We find return spillovers through both an event study and the V
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Machač, Erik. "Atraktivita českých státních dluhopisů pro zahraniční investory." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-15437.

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Thesis deals with the attraction of Czech government bonds from the perspective of foreign investors in relation with the current economic development in CEE region, and further in the rest of the world. Analysis is targeted to issue of the Czech government bonds in turn of 2009 and 2010. After the analysis and description of foreign investors representing huge part of the entire demand for the Czech government bonds on the domestic and foreign markets the paper further covers individual pros and cons of the instrument. The empirical analysis is conducted as the comparison of the yields and ri
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Hříbalová, Pavlína. "Testování Fed modelu." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73882.

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Diploma Thesis focuses on Fed Model testing and its credibility on market data. The research is based on Gordon Model and Capital Asset Pricing Model (CAPM), it explains, what the basic features of the Fed Model are and describes its derivation from Gordon Model. The Thesis shows possible Fed Model limitation. It uses the US market, Great Britain and Germany 1979 -- 2011 data to demonstrate validity of the model. Eventually possible reasons of Fed Model development in period 2002 -- 2011 are presented.
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Silva, Teresa Gaspar. "The effect of quantitative easing programmes on long-term government bonds." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14611.

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Mestrado em Economia Monetária e Financeira<br>O objectivo desta dissertação é apresentar os programas de Quantitative Easing levados a cabo nos Estados Unidos da América, Reino Unido, Zona Euro e no Japão durante a Crise Financeira de 2007-2009 e avaliar o seu impacto na variação das taxas de juro de longo prazo para títulos do Governo, usando dados mensais e trimestrais. A analise empírica consiste em quatro equações para cada frequência temporal usando um estimador OLS. No caso dos USA, foi encontrado suporte de que as politicas de QE diminuem a taxa de juro de longo prazo para títulos do G
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Sawadogo, Pegdéwendé Nestor. "Fiscal policy and financing for development in developing countries." Thesis, Université Clermont Auvergne‎ (2017-2020), 2020. http://www.theses.fr/2020CLFAD007.

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Cette thèse se pose la question de savoir comment la politique budgétaire pourrait être utilisée à des fins de financement du développement. Elle identifie et explore les canaux par lesquels les pays en développement peuvent efficacement mobiliser les ressources (internes et externes) pour le financement du développement. Pour cela, nous conduisons des recherches axées sur les politiques économiques (en utilisant des outils statistiques et économétriques appropriés) et nous formulons des recommandations de politiques économiques aux pays en développement. La première partie de cette thèse s’in
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Chia-ChienWeng and 翁嘉謙. "Discussion on the U.S. government bond yield spreads to forecast U.S. economic growth before and after the subprime mortgage crisis." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/8ay3r9.

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碩士<br>國立成功大學<br>財務金融研究所<br>102<br>This study is based on vector autoregression model to explore the interaction between the U.S. short-term and long-term government bond yield spreads and the economic growth before and after subprime mortgage crisis via Granger causality Tests、Forecast Error Variance Decomposition and Impulse Response Analysis. The results are found as follow: First, the Granger causality test found that before the subprime mortgage crisis, there is a leading relationship between the short-term and long-term bond yield spreads and the economic growth. But after the subprim
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Hsuan-CheLin and 林玄哲. "The Interactive Relationship between S&;P500 Stock Index , Gold Prices ,Oil Prices ,Volatility Index, Interest Rate and U.S. government bond yield spreads." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/61603405575167558056.

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碩士<br>國立成功大學<br>財務金融研究所碩士在職專班<br>102<br>First, the Johansen cointegration test helps find that there exists a relationship of long-run stable equilibrium among oil prices ,volatility Index,3-month libor and U.S. government bond yield spreads. Second, from the Granger causality test, we find that unidirectional causality runs from 3-month libor to gold prices and oil prices. Third, according to the impulse response, S＆P500 stock price index has been more easily affected continuously by itself and less influenced by other variables. In addi¬tion, gold prices as well as oil prices have been mor
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Kuo, I.-Neng, and 郭奕礽. "Industry Risk and Corporate Bond Yield Spreads." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/09942334849162406732.

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碩士<br>國立交通大學<br>財務金融研究所<br>101<br>Previous studies in literature indicate that a firm’s exposure to industry downturns is an important factor for line of credit, loans pricing and recovery rate. The purpose of this paper is to examine whether industry risk is significant in explaining bond yield spreads. We use three industry risk measures in our analysis. The first industry measure is the unlevered industry beta. The two tail risk measures are incorporated to account for the higher correlation of firms in the industry downturn: the correlations between the firm and industry returns conditiona
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Cheung, Po-kin, and 張柏堅. "CEO inside debt and corporate bond yield spreads." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/24181349762912706057.

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碩士<br>國立中央大學<br>財務金融學系<br>102<br>In this paper, we examined the relation between the holding of the CEO debt- like compensation and bond yield spreads using a sample of the U.S from 2006 to 2011. It is widely recognized that the more debt-like compensation for CEO, the more conservative he is. The interest of the CEO is similar to creditors. Therefore, Creditors are willing to give him a lower yield. The result of this paper mostly consists with the previous assumptions that debt-like compensations have negative effect on bond yield spreads. We also found out debt-like compensations have no ef
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Lu, Yu-Ching, and 路淯晴. "Peer Firms’ Leverage Affects Corporate Bond Yield Spreads." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/75365969649718523369.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>103<br>This study investigates the relationship between peer firms’ leverage and corporate bond yield spreads. We employ the average of the peer firms’ stock return shocks as a proxy of change of the peer firms’ capital structures. This approach is developed in Leary and Roberts (2014). The empirical results of this study show that the change of peer firms’ capital structure does affect a firm’s bond yield spread. Moreover, we find that firms with smaller market cap are sensitive to the peer firms’ stock return shock. We also explore that this peer effect is much st
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Wang, Yu-chieh, and 王郁傑. "Solvency and Rating on Corporate Bond Yield Spreads." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/44480929024311952828.

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碩士<br>國立臺灣科技大學<br>財務金融研究所<br>102<br>Due to the rapid development of global credit markets, trading volume of bonds and derivatives have been increased year by year since 1990s. How to manage credit risk, like solvency, has become an important issue in practical. This study extends the literature of Chen, Liao et al. (2011) by using interest coverage and financial leverage ratio as proxies of solvency, to explore the effects of solvency and bond rating on corporate bond yield spreads. First, this study uses bond rating as continuous variables, dummy variables and rating group, then analyzes whe
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Huang, Hsiao-Chun, and 黃筱君. "Macroeconomic Sensitivity, Supply Chain Characteristics, and Bond Yield Spreads." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/94070084164486243432.

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碩士<br>輔仁大學<br>金融研究所<br>98<br>As addressed by many literatures, a firm’s credit risk is deeply fluctuated by macroeconomic shocks, and yet few of them remark the importance of contagion effects among supply chain counterparties. The main contributions of this study are to employ macroeconomic sensitivity volatility of the firm as a measure to interpret the credit risk among supply chain counterparties. This study examines the degrees of macroeconomic sensitivity volatility effects of a firm and its supply chain counterparties on the firm’s credit risk by employing U.S. 10,022 bond observations
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Hsieh, Yu-Ling, and 謝育玲. "Information Asymmetry, Supply Chain Characteristics and Bond Yield Spreads." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/58448678988069784811.

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碩士<br>臺灣大學<br>財務金融學研究所<br>98<br>This thesis is a revised version of the working paper (by Chen, Liao, Kuo, and Hsieh, 2009) submitted to 2010 FMA (Financial Management Association) conference. The domino effects among firms occurred in the recent financial tsunami reveal that credit risks are transmitted through supply chain which connects the variations of inventory flows, cash flows and information flows among counterparties. Literature documents information flow is the most key driver to enhance supply chain value. Among the first studies, this research explores the relation between informa
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Kuo, Hui-Ju, and 郭慧如. "Uncertainty in Information Asymmetry and Corporate Bond Yield Spreads." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/19636103665714658508.

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博士<br>國立臺灣大學<br>財務金融學研究所<br>103<br>The study examines how uncertainty in information asymmetry influences corporate bond yield spreads using American data from 1997 to 2010, and considers the effects of term structure and macroeconomic conditions on that. Empirical results show that the effect of uncertainty in information asymmetry significantly explains corporate bond yield spreads when controlling for variables well known in the literature. Bonds with higher uncertainty in information asymmetry tend to have higher yield spreads. In addition, this uncertainty in information asymmetry effect
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Ping-Hung, Chien, and 錢秉弘. "Types of Institutional Ownership and Corporate Bond Yield Spreads." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/19716757632023756443.

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碩士<br>輔仁大學<br>金融研究所<br>98<br>In this study we attempt to investigate types of institutional investors on the bond yield spreads. The difference between corporate bond yields spreads widely explained evidences as the compensation for default risks in prior literature. However, according to the prior literature credit risk cannot explain all corporate bond yields. Interest between institutional investors and bondholders are inconsistent, the bondholders ask more agency cost premium. However, interest between institutional investors and bondholders are consistent, the bondholders ask low agency c
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Retterath, Katrin. "Corporate governance and its effect on bond yield spreads." Master's thesis, 2019. http://hdl.handle.net/10362/69928.

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This paper investigates, whether including more corporate governance provisions or adding takeover defenses at annual shareholder meetings has a material impact on bond yield spreads. The analysis focuses on close call votes at annual shareholder meetings and uses a regression discontinuity design. This provides a clean estimate that accounts for the market expectations which form prior to the voting event and can therefore deliver more accurate estimates. I found that the bond yield spread increases by 0.29 percentage points if a governance proposal is passed but decreases by -1.77 percentage
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Kai, Yi-Wei, and 蓋一偉. "The Impact of CEO Characteristics on Corporate Bond Yield Spreads." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/44367199641698851284.

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碩士<br>輔仁大學<br>金融研究所<br>98<br>This study examined the impact of CEO characteristics on corporate bond yield spreads. The purpose of this study is to determine the relationship between CEO characteristics and corporate performance , and what impact these characteristics have on the corporate bond yield premium demanded by investors. By examining the three variables including the share ratio, qualifications, and terms of office of CEOs, the study determines whether CEO decision-making process serves the interest of the company, in which case the risk for corporate bonds investors will be reduced.
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Chen, Ya-Hui, and 陳雅慧. "The Effects of Corporate Governance on Corporate Bond Yield Spreads." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/99259587363649664524.

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碩士<br>國立清華大學<br>計量財務金融學系<br>97<br>The quality of corporate governance is essential for enterprises’ sustainable management. However, there are only a few documents probe into the relationship between corporate governance and corporate bond yield spreads. The research utilizes two proxies, Governance Index and Entrenchment Index, to explore bondholders’ reactions to the firms which face different levels of possibility of being taken over, and further recognizes the amount of cash in companies and the quantity of free cash flows in low growth companies. We use 2076 sums of non-convertible corpor
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Wu, Yi-Chieh. "The Effect of Information Uncertainty on Corporate Bond Yield Spreads." 2008. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2506200817485400.

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Huang, Hung-Yi, and 黃弘毅. "Stock Liquidity and Corporate Bond Yield Spreads: Theory and Evidence." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/f787jr.

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博士<br>國立中央大學<br>財務金融學系<br>103<br>This dissertation examines the impacts of individual stock liquidity on corporate bond yield spreads in the U.S. market. By extending the endogenous-default model of He and Xiong (2012) to include stock liquidity in the calculation of the bond value, we show that a drop in stock liquidity will increase the firm’s credit risk by increasing the firm’s default boundary, leading to an increase of the credit spread. Our model is consistent with the sharp increase of credit risk premiums and is observed the “yield spread spike” phenomenon in corporate bond markets du
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Chen, Shih-Hang, and 陳世航. "Suppliers’ and Customers’ Takeover Probability and Corporate Bond Yield Spreads." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/48591819431631641278.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>103<br>This study investigates the effects of suppliers’/ customers’ takeover probability on firm’s bond yield spreads by employing the data of American corporate bond from 2001 to 2011. The empirical results show that the suppliers’ takeover probability effects significantly explain a firm’s bond yield spreads. In addition, this result is robust when controlling for other well-known firm specific variables. However, the result of customer side is not always significant although the relationships between firm’s bond yield spread and customers’ takeover probability a
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YANG, CHENG-WEN, and 楊成文. "Operational Risk and Internal Supervisory in Corporate Bond Yield Spreads." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/8ms83p.

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碩士<br>國立暨南國際大學<br>財務金融學系<br>107<br>The study investigated the impact of operational risk and internal supervisory in corporate bond yield spreads by employing Taiwan bond market data from 2008 to 2017. This study found that when the operational risk increases, the creditor will demand higher risk premiums for the bond issuer. In terms of internal supervision, the empirical results show that the default risk was increased by the higher percentage shareholding and pledge of the directors and supervisors cause internal supervision effect decrease and reinforced the agency problem, it may increase
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Wu, Yi-Chieh, and 吳宜潔. "The Effect of Information Uncertainty on Corporate Bond Yield Spreads." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/92902112931449884067.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>96<br>Motivated by the theoretical results of Duffie and Lando (2001), we extend the empirical analysis of Yu (2005) to test the effects of information uncertainty on corporate bond yield spreads. Empirically investigating the data from year 2001 to 2006, we find the uncertain information has significant positive impacts on corporate bond yield spreads after controlling determinant variables stated in literature. That is to say, the investors will penalize for uncertain information by charging a higher risk premium. Additionally, after taking information uncertai
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Chen, Wei-Lun, and 陳偉綸. "The Effects of Total Factor Productivity Risk on Corporate Bond Yield Spreads." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/89750332314331809869.

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碩士<br>輔仁大學<br>金融研究所<br>98<br>This paper investigates the effects of total factor productivity (TFP hereafter) risk on corporate credit risks based on the viewpoints of Kahn (1987) and Duffie and Lando (2001) by employing 5,530 American bond observations from year 1997 through 2007. Empirical results of this study show that TFP volatility significantly and positively relates to bond yield spreads when controlling for well-known variables, such as leverage, equity volatility, maturity, coupon, issuance amount, and rating. Moreover, this study also finds that TFP significantly and negatively rela
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Liao, Chung-Yu, and 廖崇佑. "The Effects of Supply Chain Relationship Uncertainties on Corporate Bond Yield Spreads." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/15191268609772271090.

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碩士<br>輔仁大學<br>金融與國際企業學系金融碩士班<br>99<br>To our best knowledge, this study firstly explores the effects of supply chain relationship uncertainties on corporate credit risk by American bond market data from year 2000 to 2008. Empirical results show that the uncertainties of supply chain relationship (among firms, suppliers and customers) have significant and positive influence on corporate bond yield spreads. When controlling other well-known bond determinant variables, the uncertainty of firm-customer relationship still significantly and positively relate to bond yield spreads, whereas the effect
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Chen, Yu-Yu, and 陳又瑜. "Investor Attention, Investor Sentiment, Stock Return Volatility, and Corporate Bond Yield Spreads." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/367ujg.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>106<br>This study investigates the relationship between investor attention, firm-level investor sentiment, equity volatility, and corporate bond yield spreads. We employ a novel and direct measure of abnormal institutional investor attention proposed by Ben-Rephael, Da, and Israelsen (2017) and use Google search volume index as a proxy of individual investor attention. The empirical results show that (1) Individual attention has positively influence on firm-level investor sentiment, whereas institutional attention influences investor sentiment negatively. (2) Both m
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Luo, J., Xiaoxia Ye, and M. Hu. "Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market." 2016. http://hdl.handle.net/10454/11743.

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yes<br>In this paper, using China’s risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China’s credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates as well as risk premia and the stock index, and these results are somewhat attributed to
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LIN, Chia-Sheng, and 林嘉生. "Estimating Yield Curves from Taiwan Government Bond Data." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/12983533559030854779.

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碩士<br>國立臺灣大學<br>財務金融學系<br>86<br>This paper is to estimate yield curves from Taiwan government bond data. Fist, the paper compares the performance of two adjustment methods: the the zero coupon method and the duration method. Moreover, the paper uses best adjustment method to estimate yield curves with four yield curve functions and compares the performance of four yield curve functions.
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Chiu, Te-An, and 邱德安. "The Other Information Risk Effect of Ohlson’s Model on Corporate Bond Yield Spreads." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/23472341505597068073.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>99<br>This study evaluates the impact of the “other information” generated by Ohlson’s model on firm credit risk as captured by bond yield spreads. The empirical results of this research show that the other information, which represents the all value-relevant information in the future, has significant and negative effects on corporate bond yield spreads after controlling for well-known variables such as leverage, equity volatility, credit rating and information asymmetry. In addition, this work also finds that the other information volatility significantly and posit
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Chao, Mei-Chen, and 趙梅貞. "Study For Taiwan’s Government Bond Yield and Macroeconomic Variable." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/afg5bw.

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碩士<br>銘傳大學<br>經濟學系碩士在職專班<br>95<br>Oil plays an important role in our daily life and economic activities, its price fluctuation casts immeasurable influence onto the boom and bust cycle, and the prosperity of the economy as whole. In the past few years, oil price surge frequently tops off the previous high’s. This not only registers new record, but also its upswing period lasts longer than previously observed. This research is to explore impacts onto Taiwan’s bond market from the perspectives of crude oil price fluctuation and macroeconomic variables during the most conspicuous period in the
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Huang, Tz-Chen, and 黃姿禎. "Forecasting Government Bond Yield Using Various Artificial Neural Networks." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/75499133542910822518.

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碩士<br>明志科技大學<br>工程管理研究所<br>94<br>Numerous studies have shown that artificial neural networks which have good performance can be one of the very useful tools in financial prediction. However, the field is still short of government bond yield forecasting, and even there are a few published papers in this area, these conventional forecasting models only rely on BPN. Unfortunately, BPN have some potential problems which includes slow training speed, long processing time, and possible local minimum. In practice, it may lead to poor forecasting ability and have incorrect result. The purpose of this
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Wu, I.-Hsuan, and 吳翊瑄. "Idiosyncratic Shocks of Peer Firms of Suppliers and Customers and Corporate Bond Yield Spreads." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/46101815438986111430.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>104<br>The study investigates how the idiosyncratic risks of peer firms of suppliers/ customers affect corporate bond yield spreads. We use the average stock return shocks of the peer firms as a proxy of the change of the peer firm’s capital structures, which is developed by Leary and Roberts(2014). The results show that both the idiosyncratic risks of peer firms of suppliers and customers negatively affect a firm’s credit spread. In addition, more important customers have more significant effects while more important suppliers do not have this kind of effect compar
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Huang, Zih-Rong, and 黃姿蓉. "The Correlation of German Government Bond Yield and Text Mining." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/hhsa86.

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碩士<br>國立清華大學<br>財務金融碩士在職專班<br>106<br>Bonds are considered as one of the mid-tern or long-term investment options for financial commodities. Scholars constantly explore the causes of bond prices or bond yields in different perspectives because of the large among of the US Treasury in the financial market. However, they cannot find a proper model which can be fully interpreted the casual relationship of bond prices and macroeconomic factors. As a result, this study attempts to analyze the Europe bond market which is different from the US bonds through text mining. It takes the Germany govern
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Hsu, Tsung Wei, and 徐宗偉. "The Liquidity Determinants of New-Issue Spreads and yield curve for Corporate Bond on Taiwan." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/68649927442482429008.

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碩士<br>輔仁大學<br>金融研究所<br>96<br>This paper mainly uses the quardratic polyonomial function and duration adjustment method to estimate the yield curve. The corporate new-issue spread is then calculated by subtracting the treasury yield from the corporate new issue yield. We study several variable (including financial and liquidity) that ever used in the literature to see if they have effect on the yield spread. Multivariate regressions with financial variables (such as firm asset, firm leverage, stock return volatility, and credit rating) and liquid variables (such as bond-issued amount, bond-is
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Chi, Cheng-Ming, and 紀政銘. "The Effects of ESOs on Corporate Bond Yield Spreads: From the Agency and Information Asymmetry Perspectives." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/81986723787296607814.

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碩士<br>輔仁大學<br>金融研究所<br>98<br>This study examines the effects of Employee Stock Option (ESOs) on bond yield spreads from agency and information asymmetry perspectives by 12,215 American bond observations from 1994 to 2008. This study finds that the overall ESOs effects on bond yield spreads are significantly negative during the period of ex-post new SFAS 123R (all companies have to report the ESOs compensation as expense) while those are insignificantly during the period of ex-ante new SFAS 123R when controlling for well-known bond yield determinant variables. The above results are robust even
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YUAN, LI-MEI, and 袁麗梅. "Applying Machine Learning to forecast Taiwan Government 10-year Bond Yield." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/764j54.

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碩士<br>國立臺灣科技大學<br>財務金融研究所<br>106<br>The purpose of this study is to use machine learning to predict Taiwan’s 10-year Government Bond yield, using Macroeconomic Indices and information of major financial markets as input data to build predictive models. The predictive model can assist bond traders in making trading decisions through the use of powerful algorithms to spot patterns in the data and forecast bond yield, and predict future interest rate rise or fall at a certain point in time. In recent years, random forest algorithm has been widely used in the field of data science and machine lear
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