Date of Award


Degree Type

Doctoral Dissertation

Degree Name

Doctor of Business Administration (DBA)


Jack Welch College of Business


Submitted in partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance, Sacred Heart University, Jack Welch College of Business.

Dissertation Supervisor

Dr. Kwamie Dunbar

Committee Member

Dr. Vasanta Chigrupati

Committee Member

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.

JEL Classification

C320, E520, E580, G210

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.



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