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Title: The Effects Of Government Sponsored Enterprise (Gse) Status On The Pricing Of Bonds Issued By The Federal Farm Credit Banks Funding Corporation (Ffcb)
Authors: Wang, Yiwo
Issue Date: 31-Aug-2011
Abstract: 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.
Committee Chair: Turvey, Calum G.
Committee Member: Liu, Edith X.
Discipline: Agricultural Economics
Degree Name: M.S. of Agricultural Economics
Degree Level: Master of Science
Degree Grantor: Cornell University
No Access Until: 2016-12-30
Appears in Collections:Cornell Theses and Dissertations

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