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系統識別號 U0026-1308201816183100
論文名稱(中文) 匯率與主權債信用違約交換價格的關係—以拉丁美洲為例
論文名稱(英文) The Relationship Between Exchange Rate and Sovereign Credit Default Swap—The Case of Latin America
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 106
學期 2
出版年 107
研究生(中文) 盛婕妤
研究生(英文) Chieh-Yu Sheng
學號 R87051493
學位類別 碩士
語文別 中文
論文頁數 26頁
口試委員 指導教授-王澤世
口試委員-楊朝旭
口試委員-林囿成
中文關鍵字 主權債  信用違約交換  匯率  波動率指數 
英文關鍵字 Sovereign debt  CDS  Exchange rate  VIX 
學科別分類
中文摘要 本篇研究檢視了拉丁美洲包括阿根廷、巴西、智利、哥倫比亞、墨西哥及祕魯六個國家的主權債信用違約交換價格與匯率間的資訊傳遞。
本文利用2007年12月至2017年11月間月資料以門檻迴歸模型及向量自身相關模型測試主權債信用違約交換價格及匯率之間的互動關係。結果顯示當市場波動率(VIX)較高,即市場不確定性較高的狀態下,大部分拉丁美洲國家前一期匯率貶值會造成本期的主權債信用違約交換價格上升。也就是說,匯率貶值造成主權債的信用風險增加,這是符合預期的,但是沒有發現主權債價格變動對匯率變動有顯著的影響。當我們以VIX指數視為外生變數時,匯率的變動和主權債信用違約交換的價格變動都會受到VIX指數的影響,也就是當VIX越大,這些拉丁美洲國家的匯率會貶值,而同時主權債信用違約交換的價格也會上升。在控制匯率和主權債信用違約交換價格本身的落後期為控制變數後,本研究發現只有巴西的資料顯示這兩者的變動有互相領先落後關係,也就是巴西的匯率變動和主權債信用違約交換價格的變動為一個反饋系統。最後在一般化的衝擊反應函數下發現,巴西的匯率和主權債信用違約交換價格的變動會受到前一期另一個變數的影響。
英文摘要 This study examines the information transmission between exchange rate and sovereign credit default swap (CDS) for six Latin America countries including Argentina, Brazil, Chile, Colombia, Mexico and Peru. Sample includes monthly data from 2007 December to 2017 November to investigate the lead/lag relationship between exchange rate and sovereign CDS with threshold regression model and vector autoregressive model.
The results of threshold regression model show that, when VIX index is used as the threshold variable, an increase in foreign exchange rate leads to an increase in sovereign CDS price in the next month when the VIX index is greater than the threshold value. This phenomenon is observed for most of the countries in our sample. However, the observation that a change in sovereign CDS price leads to a change in foreign exchange rate is rarely observed.
The analysis of vector autoregressive indicates that VIX index affects both exchange rate and sovereign CDS price. An increase in VIX index is associated with an increase in sovereign CDS price and currency depreciation. This finding also applies to all the countries. When the variables’ own lagged values are controlled, changes in one variable lead to changes in the other variable is observed for Brazil only. That is, changes in foreign exchanges rate and sovereign CDS price are a feedback system. This causality relationship is not observed for other countries.
論文目次 第一章 前言 1
第二章 文獻探討 4
第三章 研究方法 8
第一節 門檻迴歸模型 8
第二節 向量自身相關模型 9
第四章 實證結果 12
第一節 樣本資料分析 12
第二節 門檻迴歸模型估計 15
第三節 向量自身相關模型估計 19
第五章 結論與建議 23
第一節 研究結論 23
第二節 研究限制與建議 24
參考文獻 25
參考文獻 王澤世(2015)。債劵市場:理論與實務。台北:雙葉書廊。
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