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系統識別號 U0026-1007201313301600
論文名稱(中文) 新興市場債券利差與信用違約交換之間的資訊傳遞-以亞洲市場為例
論文名稱(英文) Information Transmission between Asian Sovereign Debt Spread and Sovereign CDS Spread
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 101
學期 2
出版年 102
研究生(中文) 李宜真
研究生(英文) Yi-Zhen Li
學號 R16001077
學位類別 碩士
語文別 英文
論文頁數 55頁
口試委員 指導教授-王澤世
口試委員-林軒竹
口試委員-林霖
口試委員-楊聲勇
中文關鍵字 主權債信用違約交換  新興市場債券指數  誤差修正模型 
英文關鍵字 sovereign Credit default spread  Emerging market bond index  Vector Error Correction model 
學科別分類
中文摘要 本篇研究主要利用誤差修正模型探討四個亞洲國家包括:中國、印尼、馬來西亞以及菲律賓,其主權債利差與其信用違約交換價格之間之關係。研究發現債券利差與信用違約交換短期雖然會有所偏差但長期而言仍會趨向均衡。這與先前文獻研究的結果一致。更進一步來說,對中國及印尼而言,結果指出信用違約交換價格會領先債券利差,也就是信用違約交換價格相對於債券利差而言含有領先的資訊。而對馬來西亞以及菲律賓而言,信用違約交換價格與債券利差兩者間存有反饋機制。
就外生變數而言,VIX以及違約價差被發現會正向且顯著的影響信用違約交換價格以及債券利差;而S&P500以及美國十年期債券殖利率會負向且顯著的影響信用違約交換價格及債券利差,這些結果與我們預期的一致。
本篇研究指出信用違約交換及債券利差間的資訊傳遞是顯著的,且像VIX,美國公司債違約價差,美國十年債券利率,美國股票市場將會影響亞洲國家的信用違約交換價格以及債券利差。
英文摘要 This paper examines the relationship between sovereign CDS price and EMBI bond spread in four Asian countries including china, Indonesia, Malaysia, and Philippine with vector error-correction models. We find that sovereign CDS and EMBI bond spreads move together in the long run, although deviate in the short run. These results are consistent with the literature. Furthermore, for China and Indonesia, we find that the movement of sovereign CDS spread leads that of EMBI bond spread, indicating that CDS spread contains leading information relative to bond spread. However, for Malaysia and Philippine, there exist feedback systems.
For control variables, VIX and the default yield are found to affect CDS and EMBI bond spread positively. S&P500 and 10-year U.S. Treasury yield negatively affect CDS price and EMBI bond spread. These are consistent with our findings.
Our study suggests that information transmission between sovereign CDS and bond spread are prominent, and the global factors such as VIX, U.S. corporate default yield spread, U.S. Treasury rate, and U.S. stock market will affect the price of these Asian CDS price as well as bond spread.
論文目次 Abstract I
摘要 II
誌謝 III
Content IV
List of Tables VI
List of Figures VII
Chapter I Introduction 1
Chapter II Literature Review 7
2.1 The Relationship between Bond Market and Credit Default Swap (CDS) 7
2.1.1 The Relationship in Corporate Sector 8
2.1.2 The Relationship in Sovereign Sector 9
2.2 Compositions and Influence Factors of Credit Spread 11
2.2.1Credit Default Swap (CDS) Composition Factor 11
2.2.2Bond Spread Composition Factor 12
Chapter III Methodology 15
3.1.1Unit-Root Test 15
3.1.2 Cointegration Test 16
3.1.3 Vector Error Correction Model 19
3.1.4 Granger Causality test 20
3.1.5 Impulse Response Function 20
3.1.6 Forecast Error Variance Decomposition 22
Chapter IV Empirical Results 23
4.1 Data Collection and Descriptive 23
4.2 Empirical results 33
4.2.1 Unit root tests 33
4.2.2 Cointegration Tests 34
4.2.3 VECM Empirical Results 35
4.2.4 Granger Causality 41
4.2.5 Impulse Response 42
4.2.6 Variance Decomposition 46
Chapter V Conclusion 51
References 53
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