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Activity Number: 473
Type: Contributed
Date/Time: Wednesday, August 1, 2007 : 2:00 PM to 3:50 PM
Sponsor: Business and Economics Statistics Section
Abstract - #309205
Title: Time-Varying Coefficient Model for Corporate Bond Credit Spread
Author(s): Yuejiao Ma*+
Companies: The Pennsylvania State University
Address: 720 North Allen Street, State College, PA, 16803,
Keywords: Time varying Coefficient Model ; Markov Chain Monte Carlo ; hierarchical model ; credit spreads
Abstract:

We propose to examine potential determinants of credit spreads on corporate bonds. We consider two approaches in our analysis. The approach we consider is to combine the time varying coefficient model and hierarchical model for the prices of corporate bonds in a continuous time setting, then estimate the model using the Markov Chain Monte Carlo method. Data used for this analysis include daily prices and yields for all straight bonds form May 28, 2002, to June 10, 2005.

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Revised September, 2007