Cardiff University The US Corporate Bond Yield Analysis Project Worksheet
Use the given daily data on US corporate：
Analyse and discuss the co-movement among 5 corporate bond yields (AAA-rated, A- Rated, BBB-rated, B-rated and
CCC-rated) during 1997-2017. How did co-movement change over time? And why?
Hint:
Divide the sample period into 5-sub periods: 1997-2000, 2001-2006;2007-2009 (Global Financial Crisis); 2010-2014
(Euro Debt Crisis); 2014 to 2017.
Note:
1. answer should contain analyses. Consider using graphs, numerical results (e.g.
descriptive statistics, correlation coefficients, regression results), and inferences from literature
2. Contains an introduction, main body and related literature, and conclusion.
