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研究生:何培慈
研究生(外文):Ho, PeiTzu
論文名稱:信用違約交換與主權債券動態影響之研究
論文名稱(外文):The Dynamic Relation Between Credit Default Swaps And Sovereign Bond Markets
指導教授:王凱立王凱立引用關係
指導教授(外文):Wang, KaiLi
口試委員:楊踐為林月能王凱立郭一棟陳昭君
口試委員(外文):Yang, ChienWeiLin, YuehNengWang, KaiLiKuo, IDounChen, ChaoChun
口試日期:2012-06-29
學位類別:碩士
校院名稱:東海大學
系所名稱:財務金融學系
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:中文
論文頁數:44
中文關鍵詞:信用違約交換主權債券信用價差流動性價差ADCC-MGARCH向量自我迴歸模型
外文關鍵詞:Credit default swapsSovereign bondCredit spreadLiquidity spreadADCC-MGARCHVAR
相關次數:
  • 被引用被引用:3
  • 點閱點閱:230
  • 評分評分:
  • 下載下載:9
  • 收藏至我的研究室書目清單書目收藏:1
本文主要研究PIIGS─葡萄牙、義大利、愛爾蘭、希臘及西班牙五個國家。模型一以ADCC-MGARCH模型分析信用違約交換與主權債券市場間動態相關性,並探討在高投資人情緒及高恐慌情緒時,對信用違約交換及主權債券兩市場的影響;模型二使用向量自我迴歸模型來分析信用違約交換與主權債券市場間之信用與流動性價差的關係。
模型一實證結果顯示,信用違約交換與主權債券兩市場間具有雙向且為正的回饋關係,本文並發現信用違約交換不論在價格報酬或訊息傳導皆扮演重要外溢傳導的主導角色,而在投資人情緒樂觀下,主權債券殖利率對於信用違約交換價格呈現正向影響。另在模型二中,本文發現信用違約交換與主權債券間之交互傳導機制主要著重在信用價差間的交互傳導進行,提供投資人在兩商品的投資或套利決策的參考;本文也發現投資人情緒對於主權債券信用價差及信用違約交換信用價差皆呈現正向顯著影響。
This paper analyzes the dynamic interrelation between sovereign bond and their associated credit default swaps (CDS) among PIIGS by the ADCC-MGARCH model, and by that time the investors’ emotion are in a high mood and in panic, the impact on the markets, and researches the relationships of credit and liquidity spread between CDS and sovereign bond markets by the VAR methodology.
The results as following: There is a positive feedback relationship between CDS and bond markets. And CDS plays an important role in price-return and information spillover. As investors are optimistic, the yield rate has a positive influence on CDS’ price. The major interaction mechanism between CDS and sovereign bond is credit spreads’ interactive delivery, as a reference to provide investors to make decisions. And the investors’ emotion play a positive role in CDS and bonds credit spreads.
目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與架構 7
第二章 文獻回顧 8
第一節 信用違約交換、債券市場間之相關文獻 8
第二節 投資人情緖文獻發展 10
第三章 研究方法 12
第一節 實證模型 12
第四章 實證分析 20
第一節 資料來源與資料描述 20
第二節 實證結果分析 26
第五章 結論 38
參考文獻 40
附錄一 44

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