Date of Award
2014
Document Type
Thesis
Degree Name
Master of Science in Finance
Department
Business
First Advisor
Edward Morris
Second Advisor
Gaurango Banerjee
Third Advisor
James W. Boyd
Abstract
The spread1between non-investment grade corporate bonds and Treasury bonds have contracted nearly 16% since the depths of the credit crisis in 2008, buoyed by strong investor demand. In this study, I conduct an empirir.al analysis on the relationship between unconventional monetary policy instituted in 2008 and market participants reaching for yield (RFY) in the speculative grade corporate bond market. This study uses the BofA High Yield Master II Index to quantify the RFY phenomenon, and is regressed against a number of interest and independent variables over two separate time periods namely, Ql 2003: Q3 2008 and Q4 2008-Q3 2014. The results of the study show that the stimulus policies instituted by the Federal Reserve have explanatory ability in predicting the outcomes of the index over the Q4 2008-Q3 2014 time period. Moreover, the study finds that the stimulus polices are not the causal mechanism as the unexplained variables (constant) exhibit a significant value in all four models.
Recommended Citation
Willar, Michael, "Reaching the Yield in the Non-Investment Grade Corporate Bond Market" (2014). Theses. 1277.
https://digitalcommons.lindenwood.edu/theses/1277
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
