Date of Award
Doctor of Business Administration (DBA)
Jack Welch College of Business
Dr. Kwamie Dunbar
Dr. Vasanta Chigrupati
Dr. Michael J. Gorman
In this study, we empirically investigate the impact of credit default swap rates on short-term interest rates. We find that CDS rates significantly impact short-term interest rates. The impact remains significant after controlling for inflation and unemployment. Applying co-integration test and vector error correction modeling, the study also finds a causal relationship between CDS rates and short-term interest rates. These relationships are confirmed through autoregressive conditional heteroscedasticity (ARCH), exponential generalized ARCH [EGARCH] and vector auto-regression (VAR) analyses. The empirical results have important implications in setting short-term interest rates. A regular revision of policy targeting to capture the continual changes in CDS rates is inferred.
C320, E520, E580, G210
Owusu-Amoako, J. (2017). Essays in financial economics. Jack Welch College of Business dissertation, Sacred Heart University, Fairfield CT.
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