Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
การศึกษาความสัมพันธ์ของความผันผวนของราคาน้ำมันกับส่วนต่างอัตราผลตอบแทนของตราสารหนี้ กรณีศึกษาประเทศไทย
Year (A.D.)
2023
Document Type
Independent Study
First Advisor
Ruttachai Seelajaroen
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2023.349
Abstract
This paper studies the relationship between oil price volatility and corporate bond credit spread. The sample is selected from bonds offered by listed companies in energy and utility sector (categorized by the Thai Bond Market Association) whose profit directly relates to the oil price movement. The studied period is 10 years which covers January 2013 – December 2023. The period covers both upturn and downturn of oil price movement. For the oil price volatility proxy, this paper uses end of month data of OVX index and conditional variance of Brent return estimated with GARCH (1,1) model. After, controlling for other factors and testing for the suitable estimator, the fitted model was run with fixed effect estimator. The fixed effect occurs in the model is from bond series. The results from both oil price volatility measurements show that oil price volatility significantly influences corporate bond credit spread. However, the influences of credit rating and time-to-maturity on the relationship between oil price volatility and corporate bond credit spread are statistically significant but not robust. The directions of the relationship are the same for both oil price volatility measurements. The longer time-to-maturity and the worse credit rating enhance the impact of oil price volatility on the credit spread. The relationships are significant with OVX index as oil price volatility measurement, but they are not significant with conditional variance of Brent return as oil price volatility measurement.
Other Abstract (Other language abstract of ETD)
-
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Thatchaichawalit, Natasha, "Oil price volatility and bond credit spread: evidence from Thailand" (2023). Chulalongkorn University Theses and Dissertations (Chula ETD). 11186.
https://digital.car.chula.ac.th/chulaetd/11186