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Förklarande faktorer bakom statsobligationsspread mellan USA och Tyskland
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2014 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Explanatory Factors of GovernmentBond Spread between U.S. and Germany (English)
Abstract [sv]

Det här kandidatexamensarbetet inom matematisk statistik och industriell ekonomi undersöker förklarande faktorer bakom ränteskillnad, så kallad spread, mellan amerikanska och tyska statsobligationer. De obligationer som undersöks har en löptid på fem respektive tio år. Den huvudsakliga analysen görs genom multipel linjär regression. Regressionsmodellering av statsobligationsspread är vanligt förekommande i bankvärlden och det här kandidatexamensarbetet kan utgöra en grund för vidare modellering och förbättring av befintliga modeller. Problemformuleringen och arbetsupplägget har utformats i samarbete med en svensk bank, som inte nämns vid namn på grund av sekretesskäl.

Kandidatexamensarbetet består av två huvuddelar. Den första delen inom industriell ekonomi, där det undersöks vilka makroekonomiska faktorer som är relevanta. Dessa faktorer utgör även den statistiska kontexten, varför den första delens vikt inte ska underskattas. I den andra delen, inom matematisk statistik, undersöks de framtagna faktorerna genom multipel linjär regression och relaterade statistiska tester. Resultaten indikerar att skillnaden i styrränta mellan länderna är den mest signifikanta variabeln, och utgör en bra grund för att i stora drag beskriva statsobligationsspread. För de senaste fem åren påvisas en viss skillnad, då styrräntan ensam inte förklarar obligationsspread lika bra och andra faktorer istället får större vikt i modellen.

Abstract [en]

 

This bachelor’s thesis in Mathematical Statistics and Industrial Economics aims to determine explanatory variables of yield spread between U.S. and German government bonds. The bonds used in this thesis have maturities of five and ten years. To accomplish the task at hand, a multiple linear regression model is used. Regression models are commonly used to describe government bond spread, and this bachelor’s thesis aims to create a basis for further modeling and contribute to improvement of existing models. The problem formulation and course of action have been developed in cooperation with a Swedish bank, not named for reasons of confidentiality. Two main parts constitute this bachelor’s thesis. The Industrial Economics part investigates which macroeconomic factors are of interest in order to create the model. The economics are (in this case) the statistical context, which emphasizes the importance of this part. For the mathematical part of the thesis, a multiple linear regression and related statistical tests are performed on the chosen variables. The results of these tests indicate that the policy rate spread between the countries is the most significant variable, and in itself describes the government bond spread quite well. However, the policy rate does not seem to describe the bond spread as well regarding the last five years. This gives a hint that the importance of the variable policy spread is diminishing, while the importance of other factors is increasing.

Place, publisher, year, edition, pages
2014.
Series
TRITA-MAT-K, 2014:08
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-146737OAI: oai:DiVA.org:kth-146737DiVA: diva2:725053
Subject / course
Applied Mathematical Analysis
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2014-06-14 Created: 2014-06-14 Last updated: 2014-06-14Bibliographically approved

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