信用利差期間結構之研究分析: 跳躍風險與資訊不確定性

Abstract

對於資訊不對稱和跳躍擴散模型，都可以對Merton(1974)和Black and Cox(1976)在短期信用利差為零的狀況有所解釋，不過資訊不對稱跟跳躍擴散模型除了在短期信用利差有所解釋外，兩者之間的差異性令人好奇。本篇論文除了探討兩種模型的差異，並且將跳躍風險與資訊不對稱結合在同一模型，研究其信用利差的變化。實證研究說明跳躍風險和資訊不對稱都對信用利差有顯著的解釋能力，並且發現資訊不對稱有反轉的特性，證實與跳躍風險不同。

Both the model of information asymmetry and jump diffusion model can explain the situation that short-term credit spreads would close to zero (Merton.1974 and Black and Cox.1976). The feature between the model of information asymmetry and jump diffusion deserve to be investigated. In this paper we research the difference between jump risk and information noise, combine this two risk factors to one model (Diffusion jump and noise model), and examine the credit spread in different situation. The empirical analysis indicate this two factors are good enough to explain credit spread in United States market from Jan.2003 to Dec.2012.