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系統識別號 U0026-1007201320173000
論文名稱(中文) 主權債信用違約交換報酬與風險之共同財務因素-以亞洲市場為例
論文名稱(英文) Common financial factors of Asian sovereign debt CDS return and risk
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) 邱圓舒
研究生(英文) Yuan-Shu Chiu
學號 R16001116
學位類別 碩士
語文別 英文
論文頁數 61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  新興市場  信用違約交換  自我相關條件異質變異模型  波動率指數  泰德利差  美國公司債利差 
英文關鍵字 Sovereign debt  emerging market  CDS  GARCH  VIX  TED spread  Default yield spread 
學科別分類
中文摘要 本篇研究檢視了金融危機與希臘主權債危機對六個亞洲國家在雷曼兄弟破產案發生前後的資訊傳遞。本文利用了2004年到2010年間週資料以面板研究及自我相關條件異質變異模型去測試在主權債信用違約交換及其他全球財務變數之間的資訊傳遞。
結果顯示金融危機及希臘主權債危機對亞洲國家主權債信用違約交換市場有顯著的影響。大部分之全球財務變數如:波動率指數、標準普爾500指數、十年期美國公債殖利率、美國公司債利差等都可以幫助預測亞洲主權債信用違約交換。相較於雷曼兄弟破產前,在雷曼兄弟破產案發生後亞洲國家主權債信用違約交換報酬對於希臘與德國信用違約交換利差變得更為敏感。
英文摘要 This paper tests for the information transmission of the financial and Greek sovereign debt crises to six Asian countries before and after the bankruptcy of Lehman Brothers. We use weekly data form 2004 to 2010 to investigate the patterns of information transmission between sovereign debt credit default swap (CDS) and other global financial variables with panel regression and GARCH models.
Results show that there are strong impacts of U.S. financial crisis and Greek sovereign debt crisis on Asian sovereign CDS markets. Most of these global variables such as VIX, S&P 500 stock index, 10-year U.S. Treasury rate, and U.S. corporate default yield spread can help predict Asian sovereign CDS spreads. Following the collapse of Lehman Brothers in the U.S., Asian CDS spread return has become more sensitive to changes in Greek CDS spreads relative to German CDS spreads compared to the pre-Lehman sub period.
論文目次 摘要 I
Abstract II
誌謝 III
Content IV
List of Tables VI
List of Figures VII
Chapter1. Introduction 1
1.1 Research Background 2
1.1.1 Credit default swap 2
1.1.2 The Market for Sovereign Credit Default Swaps 6
1.2 Research Motivation 8
Chapter2. Literature Reviews 13
2.1 The transmission of financial crisis 13
2.2 The relationship between CDS price and global factors 14
Chapter3. Methodology 23
3.1 Panel study for global factors 23
3.2 GARCH Model 25
Chapter4. Data Description and Empirical Results 31
4.1 Data Description 31
4.1.1 CDS Data Collection and Description 31
4.1.2 Global Factors Data Collection and Description 35
4.1.3 Analysis of Data 39
4.2 Empirical Results 43
4.2.1 Panel study 43
4.2.2 Univariate Regression 44
4.2.3 GARCH Model 47
Chapter5. Conclusion 55
References 57
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