Advances in Economics, Management and Political Sciences
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Proceedings of the 2023 International Conference on Management Research and Economic Development
Series Vol. 18 , 13 September 2023
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The Effect of Ambiguity and Asset Pricing on Credit Spreads
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Abstract
The purpose of this study is to analyze the impact of ambiguity on credit spreads, help investors to clarify the quantitative impact of ambiguity on the bond market, so that investors can make better use of ambiguity to make the most economic decisions in future investment activities.We obtain relevant data of maturing corporate bonds in China's bond market, measure the degree of ambiguity through bid-ask spread, explore the internal relationship between ambiguity and credit spreads through VAR model, and explore the impact of volatility of two variables, ambiguity and credit spreads, on each other through impulse analysis. We find that there is a negative correlation between ambiguity and credit spreads, and the unit change of ambiguity will bring huge fluctuations to credit spreads.
Keywords
ambiguity, asset pricing, credit spread, VaR model
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2023 International Conference on Management Research and Economic Development
- ISBN (Print)
- 978-1-915371-79-9
- ISBN (Online)
- 978-1-915371-80-5
- Published Date
- 13 September 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/18/20230069
- Copyright
- 13 September 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited