臺灣博碩士論文加值系統

本研究主要探討歐洲主權債信危機期間，PIIGS(葡萄牙、愛爾蘭、義大利、希臘、西班牙)主權信用違約交換對於主權債券關係之探討，樣本資料選取於DATASTREAM資料庫，資料期間涵蓋2007年至2010年的日資料，藉由時間序列的單根檢定、共整合檢定和向量誤差修正模型檢定主權信用違約交換利差與主權債券利差的長短期關係，並以因果檢定、衝擊反應函數及預測誤差的變異數分解觀察變數間長短期動態過程。
實證結果發現信用違約交換有較明顯之價格發現功能，信用違約交換與主權債券間在信用價差間交互傳導進行。

This research studies the information transmission between the European sovereign debt Spread and the sovereign credit default swaps （CDS）of the PIIGS（Portugal、Ireland、Italy、Greece、Spain）during the European sovereign debt crisis.
In the research we used the daily data covering the 2007~2010 period collected from the DATASTREAM database。 .
We first examined the long-term and short-term relations of the credit default swaps and the sovereign bonds with unit root tests、cointegration test，and Vector Error Correction Estimates 。
We then used the Granger Causality Tests、impulse response functions，and Forecast Error Variance Decomposition to observe the long-term and short-term active process of the Variances。
Empirical results show that credit default swaps have a more significant price discovery function 。It also shows that CDS and sovereign bonds proceed between the interaction of credit spreads。

章節目錄
第一章 緒論............................................…………….................................................……….1
第一節 研究背景及動機................................................................................………..1
第二節 研究目的................................................................................…………………….5
第三節 研究架構............................................................................................………....6
第二章 文獻探討.............................................................................................………………8
第一節 主權債券及信用違約交換相關文獻.............................................……..…8
第二節 信用價差影響因子相關文獻.........................................................……....14
第三章 研究方法及假說…………….................................................................…………..20
第一節 資料來源及變數定義..................................................….………….....…….20
第二節 單根檢定........................................................…………………………..……...20
第三節 最適落後期數的選取.........................................................................……..22
第四節 共整合關係.......................................................................…………………....23
第五節 VAR及VECM的發展.......................................................................………….25
第六節 因果關係檢定（Causality Test）……………………………………………27
第七節 衝擊反應分析(Impulse Response Analysis) .............................…………….28
第八節 預測誤差變異數分解 (Forecast Error Variance Decomposition) ….……..29
第四章 實證分析.......................................................................................………………....30
第五章 結論與建議............................................……………………………………………...59
參考文獻.........................................................…………………………………………………..61
附錄.............................................................……………………………………………………...66
歐洲主權債務危機時間表………………………………………………………………..66
歐洲五國CDS SPREAD與 BOND SPREAD 波動圖………………………………..70
歐洲五國CDS SPREAD與 BOND SPREAD 統計分析圖…………………………72




圖表目錄

表 1：歐元區及歐盟債務占GDP比例表………………………………..………………….2
表 2：三大信用評等機構目前對PIIGS主權信用評等表……………………………….3
圖 1：研究架構流程圖…………………………………….……………………………………7
圖 2：信用衍生性商品……………………………………………………………………….…8
圖 3：CDS在外流通量統計圖………………………………………………………………………….10
表 3：三大信評機構之評等等級……………………………………………………………18
表 4：歐洲五國CDS SPREAD與 BOND SPREAD 敘述性統計表 （1）…….…….30
表 5：歐洲五國CDS SPREAD與 BOND SPREAD 敘述性統計表 （2）…………..32
表 6：歐洲五國CDS SPREAD與 BOND SPREAD 相關係數矩陣…………………….34
表 7：歐洲五國CDS SPREAD與 BOND SPREAD 以ADF之單根檢定……………….36
表 8：歐洲五國CDS SPREAD與 BOND SPREAD 共整合關係檢定………………..38
表 9：歐洲五國CDS SPREAD與 BOND SPREAD VAR Lag Order Selection………….39
表 10：VECM Estimations.................................................................................................…..40
表 11：歐洲五國CDS SPREAD與 BOND SPREAD VEC Granger Causality Tests…....42
表 12：DPORTUGAL_SPREAD and DPORTUGAL_BSImpulse Response Analysis………44
圖 4：DPORTUGAL_SPREAD and DPORTUGAL_BSImpulse Response Analysis曲線走勢圖………………………………………………………………………………………………….…44
表 13：IRELAND_SPREAD and IRELAND_BS Impulse Response Analysis………………...46
圖 5：IRELAND_SPREAD and IRELAND_BS Impulse Response Analysis曲線走勢圖….46
表 14：ITALY_SPREAD and ITALY_BS Impulse Response Analysis…………………………..48
圖 6：ITALY_SPREAD and ITALY_BS Impulse Response Analysis………………………….48
表 15：GREECE_SPREAD and GREECE_BS Impulse Response Analysis………………..50
圖7：GREECE_SPREAD and GREECE_BS Impulse Response Analysis…………………..50
表 16：SPAIN_SPREAD and SPAIN_BS Impulse Response Analysis………………………..52
圖 8：SPAIN_SPREAD and SPAIN_BS Impulse Response Analysis 曲線走勢圖………..52
表 17：The Variance Decomposition of D(PORTUGAL_SPREAD) and D(PORTUGAL_BS).54
表 18：The Variance Decomposition of IRELAND _SPREAD and IRELAND _BS…………55
表 19：The Variance Decomposition of ITALY_SPREAD and ITALY_BS……………………56
表 20：The Variance Decomposition of GREECE_SPREAD and GREECE_BS……………57
表 21：The Variance Decomposition of SPAIN_SPREAD and SPAIN_BS…………………….58

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