The Effect of Interest Rate on High Yield Bond-the Example of the US Bond Fund Market

• Main Authors: Ing-Bor Chen, 陳英博
• Other Authors: Meng-Han Chuan
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/30032694049704315092

碩士 === 淡江大學 === 全球華商經營管理數位學習碩士在職專班 === 98 === At the end of year 2008, global financial tsunami caused by subprime mortgage crisis has created unclear volatility on global market, central bank worldwide hope to stimulate economic development by lowering the interest rate. This research is aim to emphasize on price of high yield fixed-income bond fund, taking interest rate as transitional variable and employing Smooth Transition AutoRegression，STAR model to investigate the interacted relationship between the price of high yield fixed-income bond and four other factors: interest rate, price of good , currency exchange and default rate of high yield fixed-income bond, this results in structural change on market.. This studies shows that when the interest rate is far greater or far less than the threshold value, the default rate of high yield fixed income bond has negative relation toward the price of high yield fixed-income bond. This result provides efficient reference for investor on investment decision.