Determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds
Name
890374300-MIT.pdf
Description
Full printable version
Size
1.63 MB
Format
Adobe PDF
Checksum (MD5)
2957d695fafc72dc130c0d5faeac6421
Author(s)
Jo, Sungmin
Advisor(s)
Deborah Lucas.
Date Issued
2014
Publisher
Massachusetts Institute of Technology
Abstract
This study investigates determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main determinants of Asian corporate bond spreads. Principal component analysis also demonstrates that only a few variables account for the variation in Asian corporate bond spreads. Moreover, global factors have the greatest impact on credit spreads in the financial sector and the smallest impact on credit spreads in the utility sector. Finally, my results show that Asian corporate credit spreads respond more substantially to the U.S. monetary easing than to the U.S. monetary tightening, and they also react more strongly to widening U.S. credit spreads than to narrowing U.S. credit spreads.
Description
Thesis: M.B.A., Massachusetts Institute of Technology, Sloan School of Management, 2014.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 34-35).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
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