臺灣博碩士論文加值系統

本研究目的在於探討投資等級債券信用價差是否存在外溢效果。信用價差是建構各種信用衍生性金融商品的基礎，惟目前學術界及業界都著眼在信用價差的拆解。信用價差可拆解成預期違約損失、稅的溢酬及信用風險溢酬。投資等級債券的信用價差來自於預期違約損失、稅的溢酬的部分較少，絕大多數來自於信用風險溢酬。信用風險溢酬係系統性影響信用價差的因素，此因素造成不同投資等級債券的信用價差間具有共整合的現象，進而引發外溢效果。然而並無人對於信用價差外溢效果作一深入探討。本研究利用目前學術界盛行的Panel模型的研究方法，對各種投資等級的債券的信用價差進行Panel Unit Root Tests、Panel Cointegration Tests及Panel Spillover Effect Tests，以求發現債券信用價差外溢效果存在與否的證據。

本文以iBoxx Index成份債券作為研究標的，利用Panel研究方法得到以下結論:
1.根據研究結果顯示，各種信評等級的債券的信用價差存在單根問題。
2.不同投資等級信評債券的信用價差擁有共整合關係。
3.不同投資等級信用評等的債券間信用價差外溢效果存在。且愈是相 鄰信評等級債券的外溢效果愈為顯著，例如BBB等級信用價差發生變動引發信評AAA等級信用價差變動的幅度便沒有AA等級信用價差變動引發AAA等級信用價差變動來得強烈。外溢效果係不對稱，當最高投資等級信評發生變動時，最低投資等級債券變動最為激烈;而最低投資等級信評發生波動時，最高投資等級債券發生變動的幅度就較小。
4.本研究支持不同債信評等的債券存在同向的外溢效果。

This paper investigates the spillover effect in the investment grade bonds using the recently developed Panel Unit Root Tests, Panel Cointegrations Tests, Panel FMOLS and Panel DOLS techniques. Investment grade bonds’ credit spreads are found to be nonstationary and to be cointegrated in panels. This paper finds evidence of spillover effects.

第壹章 緒論------------------------------------------1
第一節 研究動機-----------------------------------1
第二節 研究目的-----------------------------------2
第三節 研究範圍與限制-----------------------------3
第四節 研究架構-----------------------------------4
第貳章 信用價差之定義與來源--------------------------6
第一節 信用價差之定義-----------------------------6
第二節 信用價差之來源-----------------------------7
第參章 文獻探討--------------------------------------9
第一節 預期違約損失和稅的溢酬之影響---------------9
第二節 信用風險溢酬的影響------------------------11
第三節 外溢效果----------------------------------15
第肆章 研究方法-------------------------------------19
第一節 資料蒐集與定義----------------------------19
第二節 研究方法----------------------------------23
第三節 研究設計與模型的建立----------------------27
第伍章 實證結果分析---------------------------------54
第一節 Panel Unit Root Test之實證結果------------54
第二節 Panel Cointegration Test之實證結果--------57
第三節 Panel模型外溢效果之實證結果---------------61
第陸章 結論與建議-----------------------------------76
第一節 研究結論-----------------------------------76
第二節 後續研究建議-------------------------------77
參考文獻--------------------------------------------78

Breitung, J., (2000), “The Local Power of Some Unit Root Tests for Panel Data,” Advances in Econometrics, 15, 161–178.

Choi, I., (2001), “Unit Root Tests for Panel Data,” Journal of International Money and Finance, 20:249–272.

Christopoulos, Dimitris K. and Efthymios G. Tsionas, (2004), “Financial Development and Economic Growth: Evidence from Panel Unit Root and Cointegration Tests”, Journal of Development Economics, 73, 55-74

Coe, D. and E. Helpman, (1995), “International R&D Spillovers”, European Economic Review, 39, 859-887.

Collin-Dufresne, Pierre, Robert S. Goldstein, and J. Spencer Martin, (2001), “The Determinants of Credit Spread Changes”, Journal of Finance 56, 2177-2207.

Delianedis, Gordon, and Robert Geske, (2001), “The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors”, Working paper, UCLA.

Duffie, Darrell, and Kenneth J. Singleton, (1999), “ Modeling Term Structures of Defaultable Bonds”, Review of Financial Studies 12, 687-720.

Dungey, M., Vancel L. Martin and Adrian R. Pagan, (2000), “A Multivariate Latent Factor Decomposition of Internationa Bond Yield Spreads”, Journal of Applied Econometrics, 15, 697-715.

Elton, Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann, (2001),”Explaining the Rate Spread on Corporate Bonds”, The Journal of Finance 56, 247-277.

Fisher, R. A., (1932), Statistical Methods for Research Workers, 4th Edition, Edinburgh: Oliver & Boyd.

Fleissig, Adrian R. and Jack Strauss, (2000), “Panel Unit Root Tests of Purchasing Power Parity for Price Indices”, Journal of International Money and Finance, 19, 489-506.

Fridson, M.S., and J.G. Jonsson, (1995), “Spread versus Treasuries and the Riskiness of High-Yield Bonds”, The Journal of Fixed Income, 5, 79-88.

Frank K. Reilly and David J. Wright, (2001), “Unique Risk-Return Characteristics of High-Yield Bond”, Journal of Fixed Income, September, 65-81.

Gande, A. and David C. Parsley, (2005), “News Spillovers in the Sovereign Debt Market”, Journal of Financial Economics, 75, 691-734.

Groen, Jan J.J. and Frank Kleibergen, (2003), “Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models”, Journal of Business & Economic Statistics, 21, 295-318

Hadri, Kaddour, (2000), “Testing for Stationarity in Heterogeneous Panel Data,” The Econometric Journal, 3, 148–161.

Helwege, J., and P. Kleiman, (1997), “Understanding High-Yield Bond Default Rates”, The Journal of Fixed Income, 5, 79-88.

Hernandez, L.F. and R.O. Valdes, (2001), “What Drives Contagion: Trade, Neighborhood, or Financial Links?”, Unpublished Working Paper, 01/29, International Monetary Fund, Washington, D.C.

Holtz-Eakin, D., Newey, W.K. and H. Rosen, (1998), “Estimating Vector Autoregressions with Panel Data”, Econometrica, 56, 1371-1395.

Hsiao, C., (2003), Analysis of Panel Data, Cambridge: Cambridge University Press.

Huang, Jing-zhi, and Ming Huang, (2003), “How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?”, Working paper, Penn State University.

Huang Jing-Zhi and Weipeng Kong, (2003), “Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes”, Journal of Derivatives, Fall, 30-44.

Im, K. S., Pesaran, M. H., and Y. Shin, (2003), “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, 115, 53–74.

Jarrow, R., and S. Turnbull, (2000), “The Intersection of Market Risk and Credit Risk”, Journal of Banking and Finance, 24, 271-299.

Lang, L.H.P. and R.M. Stulz, (1992), “Contagion and Competitive Intra-Industry Effects of Bankruptcy Announcements”, Journal of Financial Economics, 32(1), 45-60.

Kaminsky, G.L., and C.M. Reinhart, (2000), “On Crises, Contagion, and Confusion”, Journal of International Economics, 51(1), 145-168.

Kaminsky, G.L., and C.M. Reinhart, (2001), “Bank Lending and Contagion: Evidence from the Asian Crises”, Regional and Global Capital Flows: Macroeconomic Causes and Consequences, vol. 10, Chicago: University of Chicago Press for NBER.

Kaminsky, G.L., and C.M. Reinhart, (2002), “Financial Markets under Stress”, Journal of Development Economics, 69(2), 451-470.

Kaminsky, G.L., and S.L. Schmukler, (2002), “Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?”, World Bank Economic Review, 16, 171-195.

Kao, Chihwa, Min-Hsien Chiang and Bangtian Chen, (1999), “International R&D Spillover: An Application of Estimation and Inference in Panel Cointegration”, Oxford Bulletin of Economics and Statistics, 691-709.

Kao, C., (1999), “Spurious Regression and Residual-Based Tests for Cointegration in Panel Data”, Journal of Econometrics, 90, 1-44.

Kao, C. and Chiang, M.-H., (2000), “On the Estimation and Inference of a Cointegrated Regression in Panel Data”, Advances in Econometrics, 15, 179-222.

Kao, D.L., (2000), “Estimating and Pricing Credit Risk: An Overview”, Financial Analysts Journal, July/August, 50-66.

Kim, Hongkee; Oh, Keun-Yeob; Jeong, Chan-Woo, (2005), “Panel Cointegration Results on International Capital Mobility in Asian Economies”, Journal of International Money and Finance, 1, 71-82.

Levin, A., Lin, C. F., and C. Chu, (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108, 1–24.

Maddala, G. S. and S. Wu , (1999), “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631–52.

Micu, M., Eli M. Remolona, and Philip D. Wooldridge, (2004), “The Price Impact of Rating Announcements:Evidence from the Credit Default Swap Market”, BIS Quarterly Reivew, 55-65.

Newey, W. and K. West, (1987), “A Simple Positive Semi-Definite, Heteroscadasticity and Autocorrelation Consistent Covariance Matrix”, Econometrica, 50, 708-8.

Nieh, Chien-Chung and Cheng-Few Lee, (2001), “Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries”, The Quarterly Review of Economics and Finance, 41, 477-490

Park, J.Y. & P.C.B. Phillips, (1988), “Statistical Inference in Regressions with Integrated Processes”, part 1, Econometric Theory 4, 468-497.

Pedroni, Peter, (1996), “Fully Modified OLS for Heterogeneous Cointegrated Panels and the Case of Purchasing Power Parity”, Indian University Working Papers in Economics, No.96-020.

Pedroni, Peter, (1999), “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors”, Oxford Bulletin of Economics and Statistics 61, 653-670.

Pedroni, Peter, (2000), “Fully Modified OLS for Heterogeneous Cointegrated Panels”, Advances in Econometrics, 15, 93-130.

Pedroni, Peter, (2004), "Panel Cointegration; Asymptotic and Finite
Sample Properties of Pooled Time Series Tests with an Application to
the PPP Hypothesis," Econometric Theory, 20, 597-625.

Pedrosa, M and R. Roll, (1998), “Systematic Risk in Corporate Bond Credit Spreads”, Journal of Fixed Income, December, 7-26.

Phillips, P.C.B. & S. Durlauf, (1986), “Multiple Time Series Regression with Integrated Processes”, Review of Econometrica 53, 473-495.

Phillips, P.C.B. and P. Perron, (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335–346.

Phillips, P.C.B. and H. Moon, (1999), “Linear Regress Limit Theory for Nonstationary Panel Data”, Econometrica, 67, 1057-1111.

Shen, Chung-Hua, (2000), “Banking and Currency Crises: Are They Really Twin?”, Working Paper, Chengchi University.

Stouffer, S.A., Suchman, E.A., DeVinney, L.C., Star, S.A., Williams, R.M. Jr, (1949), The American Soldier, I. Princeton University Press, Princeton, NJ.

Van Horne, J., (2001), Financial Market Rates and Flows, 6th ed. Englewood Cliffs, NJ:Prentice-Hall.