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系統識別號 U0026-2301201818224100
論文名稱(中文) 無拋補利率評價假說與主權債信用違約交換之風險貼水-以拉丁美洲為例
論文名稱(英文) The Uncovered Interest Parity and Sovereign CDS Premiums-the case of Latin America countries
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 106
學期 1
出版年 107
研究生(中文) 楊子依
研究生(英文) Tz-Yi Yang
學號 R86054139
學位類別 碩士
語文別 英文
論文頁數 53頁
口試委員 指導教授-王澤世
口試委員-劉裕宏
口試委員-林囿成
中文關鍵字 美國10年期公債殖利率  違約利差  法瑪迴歸  國家主權信用違約交換  門檻模型  無拋補利率評價假說  恐慌指數 
英文關鍵字 10-year U.S. Treasury yield  default yield spread  Fama regression  sovereign CDS premium  threshold regression  uncovered interest parity  VIX 
學科別分類
中文摘要 利差交易為投資者借入利率較低的貨幣,並買入利率較高的貨幣,在外匯上賺取利差,通常在經濟成長階段,投資者擁有超額報酬,但當景氣反轉時,會產生超額損失。因此,透過假設在經濟成長階段時違約風險會有超額報酬,但當景氣反轉時,則使超額損失增加,我們發現從2008年9月到2016年9月,拉丁美洲五國-阿根廷、巴西、智利、哥倫比亞和墨西哥的國家主權信用違約交換之風險貼水對超額報酬為負顯著相關,其與景氣反轉時的假設相符,同時我們也利用門檻模型,發現結論與前面一致。
再來,我們運用「法瑪迴歸」,透過線性和非線性迴歸,先找出匯率差和利率差之間的關係,再透過違約風險和全球因子逐步的加入,發現國家主權信用違約交換之風險貼水對匯率差的係數皆為正顯著,同時利率差的係數也隨著解釋變數的加入逐步接近1。
英文摘要 Carry trade strategy is that an investor sells a relative low-yield currency and buy a high-yield currency in different countries. Often, in the boom period this strategy creates positive excess returns, whereas it generates losses in the crisis period. At the first, we show the sovereign credit default swap (CDS) premiums are negative significantly to the excess returns in Argentina, Brazil, Chile, Colombia and Mexico from September 2008 to September 2016, which meets our hypothesis that default risk may increase the carry-trade losses during the crises. Also, relying on the threshold regression, we show that the sovereign CDS premiums worsen the losses as before.
Secondly, we run the “Fama regression” linking the exchange-rate change to the interest-rate differential in linear and nonlinear regressions. Then we introduce the default risk and global factors into these equations step by step. The evidences have pointed out that the coefficients of the sovereign CDS premium are positive significantly to explain the exchange-rate change, as well as the coefficients of interest rate differential are close to one.
論文目次 摘要 I
Abstract II
List of Tables III
List of Figures IV
Chapter 1. Introduction 1
1.1 Research Background 1
1.2 Research Motivation 2
Chapter 2. Literature Review 5
Chapter 3. Methodology 10
3.1 Linear Estimation 10
3.2 Threshold Regression 11
3.3 Fama Regression 12
3.3.1 The Standard Fama Regression 12
3.3.2 The Standard Fama Regression with Threshold 12
3.3.3 The Fama Regression Augmented with Default Risk 13
3.3.4 Threshold regression in the “Augmented” Fama Regression 14
Chapter 4. Data Description and Empirical Results 15
4.1 Data Description 15
4.1.1 Excess Return 15
4.1.2 Country Specific Factor – Sovereign CDS Premium 18
4.1.3 Global Factors 19
4.2 Empirical Results 22
4.2.1 Linear Estimation Across Periods 22
4.2.2 Threshold Regression 27
4.3 Fama Regression 29
4.3.1 The Standard Fama Regression. 29
4.3.2 The Standard Fama Regression with Threshold 30
4.3.4 The Fama Regression Augmented with Default Risk 34
4.3.5 Threshold in the “Augmented” Fama Regression 34
Chapter 5. Robustness Check 42
5.1 Choice of the Global Factor 42
5.2 Estimations by Panels of Countries 42
Chapter 6. Conclusion 49
References 51
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