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系統識別號 U0026-2612201213015000
論文名稱(中文) 英國壽險公司的資產結構,衍生性金融商品和評等的聯立方程模組分析
論文名稱(英文) The simultaneous equations model of capital structure, derivatives and credit rating for UK insurers
校院名稱 成功大學
系所名稱(中) 國際企業研究所碩博士班
系所名稱(英) Institute of International Business
學年度 101
學期 1
出版年 101
研究生(中文) 黃再鴻
研究生(英文) Tsai-Hung Huang
學號 R66991044
學位類別 碩士
語文別 英文
論文頁數 37頁
口試委員 指導教授-劉佳玲
口試委員-許永明
口試委員-張紹基
口試委員-劉宗其
口試委員-康信鴻
中文關鍵字 信用評等  資產結構  衍生性金融商品  聯立方程模組 
英文關鍵字 Credit rating  Leverage  Derivative use  Simultaneous equations model 
學科別分類
中文摘要 公司的信用評等對於資本決策有遠大的影響。本篇文章主要是藉由英國壽險公司,來探討公司的資金決策與信用評等之間的關連。我們利用聯立方程組模型與二階段迴歸分析來研究公司的信評變數:信用評等,資本決策變數:資本結構和衍生性金融商品使用,此三變數之間的相互關係,藉此降低內生性並得知其實際相互影響。
在信用評等方程式中,我發現財務槓桿越高的公司越容易有較低的評等,與之前文獻一致,而使用越多衍生性金融商品的公司,則被發現能有較高的評比,這也支持了衍生性金融商品能降低風險的假說。在槓桿方程式中,我們則發現高評等的公司越會傾向越高的財務槓桿。最後,在衍生性金融商品方程式中,高信評的公司較傾向使用衍生性金融商品,而高槓桿的公司則被發現使用較少的衍生性金融商品。
英文摘要 The credit rating levels can have significant impact on insurers’ capital decision-making. In this paper, I investigate the relationship of rating levels and capital decision-making variables, leverage and derivative use for UK life insurers. Thus I construct the three equations, rating, leverage and derivative use equation, and utilize the simultaneous equations model to run 2SLS to eliminate the endogeneity problem and try to see the true impact for those variables.
In the rating equation, I find that highly leveraged firms will have lower rating like previous literatures, while firms with high derivative use will get higher rating which suggests derivative can reduce the risk firms have. On the other hand, on leverage equation, higher rating firms are found to have higher leverage. Finally, in derivative use equation, higher rating firms are more likely to utilize derivative to prevent rating downgrade, while highly leveraged firms are reported to use less derivative.
論文目次 Chapter1. Introduction 1
Chapter2. Literature Review and Hypothesis 5
2.1 Credit rating and leverage 5
2.1.1 The effect of credit rating on leverage 5
2.1.2 The effect of leverage on credit rating 6
2.2 Credit rating and derivative use 7
2.2.1 The effect of credit rating on derivative use 7
2.2.2 The effect of derivative use on credit rating 8
2.3 leverage and derivative use 9
2.3.1 The effect of leverage on derivative use 9
2.3.2 The effect of derivative use on leverage 10
Chapter3. The Methodology and Framework 11
3.1 Methodology 11
3.2 Data 12
3.3 Dependent variable 12
3.4 Control variable 13
Chapter4. Empirical Results 21
4.1 Description Statistics 21
4.2 Multivariate Results 23
4.2.1 Results for rating equation 23
4.2.2 Results for leverage equation 27
4.2.3 Results for derivative use equation 29
Chapter5. Conclusion 31
Reference 33
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