信用利差期間結構之實證分析: 跳躍衝擊vs.資訊不確定性

Abstract

本篇論文的目的為在考慮資訊不完全的市場下，建立一個以雙邊指數型跳躍過程的信用風險模型去探討不對稱跳躍與不完全資訊對於信用利差之影響，並利用2006年到2008年美國市場公司債券的實證分析結果檢驗是否和理論相符。研究結果顯示跳躍和資訊揭露都會對信用利差造成影響，而且影響的程度是不一樣的:跳躍對短期影響較大,資訊揭露對短期和長期影響較大。當金融市場景氣低迷時，跳躍和資訊揭露對信用利差期間結構的影響比較符合理論結果。

The pure diffusion approach for a structural model with noisy information is generalized in this paper by including jumps in the firm-valuation processes. We examine how the combination of noisy information and the asymmetric jump impacts the term structure of credit spreads with different types of noisy information and various arrival rates of jumps. Whether the empirical results using US data from 2006 to 2008 are consistent with theoretical results was also investigated. The empirical results show that jumps affect short-term credit spreads, and that information uncertainty has an influence onshort-term and long-term credit spreads. When the financial market is depressed, the impacts of jumps and information uncertainty on the term structure of credit spreads are more consistent with our theoretical results.