Wang, Yiwo. 2011. The
Effects Of Government Sponsored Enterprise (Gse) Status On The Pricing Of Bonds
Issued By The Federal Farm Credit Banks Funding Corporation (Ffcb).
Doctoral Dissertation, Cornell University.
This thesis develops a
framework to price the implicit government guarantee embedded in the bonds
issued by the Farm Credit System. It shows that the value of the implicit
government guarantee for a specific bond is dependent on the yield spread, the
risk-free interest rate, the maturity and the future value of the bond price.
It also reconfirms Merton's theory (1974) that yield spreads are influenced by
variances of the firm (volatility square), maturity and quasi debt to
collateral value ratio (d-ratio). Furthermore, the hypothetical bond yields for
the Farm Credit System bonds without GSE status are calculated based on the
Black-Scholes Model.
No comments:
Post a Comment