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系統識別號 U0026-2007201322165700
論文名稱(中文) 影響亞洲主權債信用違約交換報酬率及風險之金融因素
論文名稱(英文) Financial Determinants of The Return and Risk for Asian Sovereign Credit Default Swaps
校院名稱 成功大學
系所名稱(中) 財務金融研究所在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 101
學期 2
出版年 102
研究生(中文) 徐綵涓
研究生(英文) Tsai-Chuan Hsu
學號 r87991033
學位類別 碩士
語文別 中文
論文頁數 54頁
口試委員 指導教授-王澤世
口試委員-陳嬿如
口試委員-林霖
口試委員-楊聲勇
中文關鍵字 信用違約交換  主權債  單根檢定  GARCH 模型 
英文關鍵字 Credit Default Swap  Sovereign bond  Unit root test  GARCH model 
學科別分類
中文摘要   信用衍生性商品自1992 年推出後,規模迅速成長,其中又以信用違約交換交易量最大,被廣泛運用於各式信用商品以移轉信用風險,甚至發展為投機商品,直至美國次貸危機發生,信用違約交換頓時成為市場關注的衍生性金融商品,在歐債危機爆發時,更成為衡量主權債信用風險的指標之一。由於過去文獻多著眼於探討主權債利差或信用評等,本研究則針對信用違約交換進行探討,採用GARCH 模型,納入亞洲六個樣本國家,各國九或十個變數進行實證,找出影響亞洲主權債信用違約交換報酬率及風險之金融因子,並發現對於亞洲主權債信用違約交換報酬率及風險最具影響力的金融因子為各國股價指數及希臘與德國CDS 價差,顯見市場對於一國情勢持有正面看法時,除了股市,亦反應在其主權債信用違約交換價格上,且當歐債危機升溫時,將連帶使得市場對亞洲國家主權債的風險意識提升。至於其餘變數,則在不同落後期對於不同國家主權債信用違約交換價格造成不同的影響,而各國主要銀行存放款利差則對亞洲國家主權債信用違約交換價格並無解釋能力,顯見國內資金寬鬆或緊縮,並不影響市場對於一國主權債信用風險的看法。
英文摘要 After the release of Credit Derivatives in 1992, the credit derivatives market has been growing rapidly and among which Credit Default Swap(CDS) is one of the most popular products. CDS are widely used to transfer the credit risk in all kinds of financial assets, especially as speculative instruments. As the U.S. subprimemortgage crisis and European sovereign debt crisis erupted, the role played by CDS has been emphasized even further than ever.
The literature in the past usually stressed on sovereign debt spreads or sovereign credit ratings, this paper emphasizes the risk and return of sovereign CDS. With the sample of six Asian markets, we use GARCH models to find the financial determinants of the return and risk for Asian sovereign CDS. Our results show that the most influential financial determinants are stock index and Greece-Germany CDS spread. It means that when a country is considered a positive overview, both stock index and sovereign CDS will reflect this situation, and when European debt crisis becomes more serious, the risk aversion of Asian sovereign debt will increase. In the case of the remaining variables, they play the different roles and are not exclusively determinants in different countries and lagged. As for loan-deposit Spread of prime bank in the country, it is not aneminent determinant for the return and risk of Asian sovereign CDS, shows that quantitative easing or tight monetary policy will not affect the perception of the risk of sovereign debt in a country.
論文目次 摘要 .............................. i
Abstract .......................... ii
誌謝 ............................... iii
目錄 ............................... iv
表目錄 ............................. v
圖目錄 ............................. vi
第一章 緒論 ......................... 1
第一節 研究背景 ...................... 1
第二節 研究目的 ...................... 7
第三節 研究架構 ...................... 7
第二章 文獻回顧 ...................... 8
第三章 研究方法 ...................... 12
第一節 樣本資料 ...................... 12
第二節 變數定義 ...................... 12
第三節 研究方法 ...................... 22
第四章 實證結果 ...................... 26
第一節 敘述性統計分析 ................. 26
第二節 單根檢定結果 ................... 34
第三節 簡單迴歸分析 ................... 36
第四節 GARCH 實證分析 ................ 40
第五章 結論與建議 ..................... 50
第一節 結論 .......................... 50
第二節 後續研究之建議 .................. 52
參考文獻 ............................ 53
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鄭行甫(2010),國家主權評等與主權信用違約交換,國立台灣大學管理學院財務金融學系碩士論文。
賴雨柔(2011),主權信用違約風險之研究,國立台灣大學管理學院財務金融學系碩士論文。
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