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研究生:林盈君
研究生(外文):Ying-Chun Lin
論文名稱:利率風險傳遞對歐洲跨境貿易的影響
論文名稱(外文):Interest Rate Risk Contagion and Trading Across Borders in Europe
指導教授:劉志良劉志良引用關係
指導教授(外文):Chih-Liang Liu
口試委員:黃金生陳彥行劉志良
口試委員(外文):Chin-Sheng HuangYan-Xing ChenChih-Liang Liu
口試日期:2014-05-06
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系
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:2014
畢業學年度:102
語文別:英文
論文頁數:40
中文關鍵詞:利率風險風險傳遞貿易匯率
外文關鍵詞:Interest Rate RiskRisk ContagionInternational TradeExchange Rate
相關次數:
  • 被引用被引用:0
  • 點閱點閱:187
  • 評分評分:
  • 下載下載:31
  • 收藏至我的研究室書目清單書目收藏:0
在過去的文獻,大部分都聚焦在利率風險和金融市場的關係,而對於利率風險與貿易市場的討論則較少著墨。因此,本研究以歐洲國家為對象,探討在考量美國信貸風險對歐洲國家的流動性貢獻程度下,利率風險傳遞與貿易市場的關聯,以及匯率的中介效果。其中,我們以修正後的CoVaR來衡量利率風險傳遞。研究結果顯示除了利率風險傳遞對貿易市場具有直接效果外,其也可經由匯率進而對貿易市場產生影響。
Existing literature rarely explore the link between interest rate risk and trade market. This paper contributes to the literatures by examining the relationship between interest rate risk contagion and international trade in European countries, further exploring the mediating effect of exchange rate. Using the modified CoVaR model to measure interest rate risk contagion from the US credit risk to the liquidity risk of European countries, the empirical results find that the interest rate risk contagion significantly affects international trade market, particularly when considering the role of exchange rate.
中文摘要 i
Abstract ii
Contents iii
List of Figures v
List of Tables v
1. Introduction 1
1.1 Research Background 1
1.2 Study Process 5
2. Related Literature 6
2.1 Risk Contagion Effects in Financial Market 6
2.2 The Relation between Interest Rate Risk and International Trade 7
3. Data and Methodology 9
3.1 Data 9
3.2 Variable Selection 15
3.2.1 Interest Rate Risk Contagion─ ∆CoVaR 15
3.3 Methodology 18
4. Empirical Results 20
4.1 The Relation between ΔCoVaR and EX 20
4.2 The Relation between EX and Trade Market 20
4.3 The Relation between ΔCoVaR and Trade Market 21
4.4 The Role of EX between ΔCoVaR and Trade Market 21
5. Conclusion 30
References 32
1. Akhigbe, A. and J. Madura, “Why Do Contagion Effects Vary among Bank Failures?” Journal of Banking & Finance, Vol. 25, pp. 657-680, 2001.
2. Adrian, T. and M. K. Brunnermeier, “COVAR” Working Paper, National Bureau of Economic Research, 2011.
3. Barkoulas, J. T., C. F. Baum and M. Caglayan, “Exchange Rate Effects on the Volume and Variability of Trade Flows” Journal of International Money and Finance, Vol. 21, pp. 481–496, 2002.
4. Baum, C. F. and M. Caglayan, “On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty” Journal of International Money and Finance, Vol. 29, pp. 79-93, 2010.
5. Cifuentes, R., G. Ferrucci and H. S. Shin, “Liquidity Risk and Contagion” Journal of the European Economic Association, Vol. 3, pp. 556–566, 2005.
6. Chen, S.-S., “Revisiting the Interest Rate–Exchange Rate Nexus: A Markov-Switching Approach” Journal of Development Economics, Vol. 79, pp. 208–224, 2006.
7. Furman, J. and J. E. Stiglitz, “Economic Crises: Evidence and Insights from East Asia” Brookings Papers on Economic Activity, Vol. 29, pp.1-136, 1998.
8. Frankel, J., S. L. Schmukler and L. Servén, “Global Transmission of Interest Rates: Monetary Independence and Currency Regime” Journal of International Money and Finance, Vol. 23, pp. 701-733, 2004.
9. Fang, W., Y. Lai and S. M. Miller, “Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence” Journal of International Money and Finance, Vol. 28, pp. 215-239, 2009.
10. di Giovanni, J. and J. C. Shambaugh, “The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime” Journal of International Economics, Vol. 74, pp. 341-361, 2008.
11. Iyer, R. and J.-L. Peydró, “Interbank Contagion at Work: Evidence from a Natural Experiment” Review of Financial Studies, Vol. 24, pp. 1337-1377, 2011.
12. López-Espinosa, G., A. Moreno, A. Rubia and L. Valderrama, “Short-Term Wholesale Funding and Systemic Risk: A Global CoVaR Approach” Journal of Banking & Finance, Vol. 36, pp. 3150-3162, 2012.
13. Mistrulli, P. E., “Assessing Financial Contagion in the Interbank Market: Maximum Entropy versus Observed Interbank Lending Patterns” Journal of Banking & Finance, Vol. 35, pp. 1114–1127, 2011.
14. Sercu, P. and C. Vanhulle, “Exchange Rate Volatility, International Trade, and the Value of Exporting Firms” Journal of Banking & Finance, Vol.16, pp. 155-182, 1992.
15. Yang, H.-F., C.-L. Liu and R. Y. Chou, “Interest Rate Risk Propagation: Evidence from the Credit Crunch” North American Journal of Economics and Finance, Forthcoming, 2014.
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