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| 研究生： |
黃嘉東 Whang, Jia Tung |
|---|---|
| 論文名稱： |
歐洲已開發市場之信用違約交換與信用價差動態關係與變化影響因子 Dynamic relation of credit default swap and bond credit spread on developed European sovereign bonds |
| 指導教授： |
岳夢蘭
Yueh, Meng Lan |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2010 |
| 畢業學年度： | 98 |
| 語文別： | 中文 |
| 論文頁數： | 63 |
| 中文關鍵詞： | 信用違約交換 、債券信用價差 、信用價差 、VECM 、價格發現 、歐洲已開發市場 、主權債券 |
| 外文關鍵詞： | CDS, bond credit spread, credit spread, VECM, price discovery, developed European markets, sovereign bond |
| 相關次數： | 點閱：291 下載：84 |
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本研究探討歐洲已開發市場之主權信用違約交換與主權債券和無風險利率之債券信用價差之間的動態關係以及價格發現現象。此外亦分析可能影響歐洲已開發市場主權信用違約交換與債券信用價差變動之因子。
實證結果發現信用違約交換有較明顯之價格發現功能，且信用違約交換與債券信用價差間之基準差與信用風險呈現正向關係。而歐洲主權債券因其性質特殊，其使用德國政府公債作無風險利率反而較歐元交換利率為佳。此外我們發現利率變化與股市皆為影響歐洲主權信用價差之因子，而波動率之影響不明顯，原因也可能是歐洲主權債券過去低風險而成為資金避險標的之特殊性質。
The thesis examines the dynamic relation between CDS and bond spread on developed European sovereign bonds. We also investigate which variables will affect the changes of CDS and bond spreads.
We found that price discovery occurs on CDS more often, and the basis between CDS and bond spread has a positive relationship with credit risk. Due to the special characteristic of developed European sovereign bonds, the German sovereign bond yield is a better benchmark for risk-free rate than the Euro swap rate. Also we found that the change of rates and the return on stock market affect the European sovereign credit spread, but the effect of volatility on credit spread is limited. The reason should be the low-risk nature of these bonds in the past, which made them “safe” products for capitals to park.
第一章 緒論........................................................1
第一節 研究背景.............................................1
第二節 研究動機與簡介.......................................4
第三節 研究架構.............................................6
第二章 文獻回顧....................................................7
第一節 信用違約交換與債券市場之關係.........................7
第二節 信用價差之組成與影響因子............................10
第三章 資料說明與研究方法.........................................14
第一節 動態關係與VECM模型.................................14
第二節 迴歸分析............................................21
第四章 實證分析...................................................28
第一節 信用違約交換價差與債券信用價差之動態關係............28
第二節 迴歸模型分析信用價差之影響因子......................35
第五章 結論.......................................................43
第一節 結論...............................................43
第二節 建議...............................................45
參考文獻...........................................................46
附錄...............................................................48
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沈大白、凌志銘，「信用違約交換評價之實證研究─TCRI信用評等資訊之應用」，金融風險管理季刊，民95，第二卷，第二期，47-74。
