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研究生:林佳蓉
研究生(外文):Chia-JungLin
論文名稱:主權債券利差與其他可交易金融商品之價格之間的資訊傳遞─以拉丁美洲為例
論文名稱(外文):Information transmission between sovereign debt spread and prices of other tradable financial instruments─The case of Latin America
指導教授:王澤世王澤世引用關係
指導教授(外文):Tze-Shr Wang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:59
中文關鍵詞:主權債券利差新興市場向量誤差修正模型VIX 指數
外文關鍵詞:Sovereign Debt SpreadEmerging MarketVector Error Correction ModelVIX
相關次數:
  • 被引用被引用:1
  • 點閱點閱:186
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本篇論文討論阿根廷,巴西,智利,墨西哥以及委內瑞拉等拉丁美洲國家的主權債券利差與其他可交易商品之價格之間的關係。本篇論文運用Johansen和Julius於1990年發表的共整合,及向量誤差修正模型,Granger於1969年發表的因果檢定,衝擊反應函數以及預測誤差之變異分解分析等方法來做上述研究。本篇論文以 EMBI Global指數來衡量主權債券利差,其他可交易商品之價格則選擇匯率、貸款利差、國內長期以及短期政府債券殖利率、波動率指數(VIX)以及泰德價差(TED spread)來表示。
本研究結果指出可交易商品價格之變數對主權債券利差有影響力。在拉丁美洲國家,除了國內短期公債殖利率之外的其他變數的實證研究皆符合我們的假說:匯率對主權債券利差有負面的影響;貸款利差、國內長期政府債券殖利率、波動率指數以及泰德價差等變數皆對主權債券利差有正面影響。上述的研究結果可以與其他許多的實證研究相呼應。

This paper discuss the relationship between sovereign debt spread and prices of other tradable financial instruments for some Latin America countries — Argentina, Brazil, Chile, Mexico and Venezuela. We employ Johansen and Julius (1990) Cointegration, Vector Error Correction (VECM), Granger Causality Test (1969), impulse response function analysis and forecast error variance decomposition analysis to discuss. Sovereign debt spread is measured by EMBI Global index. Prices of other tradable financial instruments includes exchange rate, lending spread, domestic long-term and short-term government bond yield, VIX and TED spread.
The research results indicate that all the variables have an effect on the sovereign bond spread. For Latin America countries, the result of each variable except short-term government bond yield is consistent with our assumption: Exchange rate has negative impact on bond spread for all country. Lending spread, long-term government bond yield, VIX and TED spread respectively has positive impact on sovereign bond spread. The results mentioned above are also consistent with many other studies.

Content
Chapter One Introduction 1
Chapter Two Literature Review 5
2.1 The relationship between bond spread and exchange rate 7
2.2 The relationship between bond spread and lending spread 9
2.3 The relationship between bond spread and domestic government interest rate 10
2.4 The relationship between bond spread and volatility index 12
2.5 The relationship between bond spread and TED 14
Chapter Three Methodologies 16
3.1 Unit Root Test 17
3.2 Johansen and Julius Cointegration and Vector Error Correction Model 18
3.3 Granger Causality 22
3.4 Impulse Response Function 23
3.5 Forecast Error Variance Decomposition 24
Chapter Four Data Description and Empirical Results 27
4.1 Data Collection and Description 27
4.2 Empirical Results 34
Chapter Five Conclusion 53
Reference 55


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