Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/98640
題名: 以階層式因子模型探討主權信用違約交換
A hierarchical factor analysis of Sovereign CDS
作者: 陳宗棋
貢獻者: 徐士勛
陳宗棋
關鍵詞: 階層因子模型
主成分分析
主權信用違約交換
變異數分解
日期: 2016
上傳時間: 1-Jul-2016
摘要: 本文應用階層式因子模型探討全球主權信用違約交換報酬率波動的來源, 我們使用 2008 – 2016 年全球 7 個區域 67 個國家的主權信用違約交換日資料做分析。 實證結果顯示: 全球主權信用違約交換報酬率的波動平均 20.9% 可由全球因子解釋; 平均 23.54% 可由區域因子解釋; 平均 55.56% 可由特徵成分解釋, 此顯示主權信用違約交換市場間存在一定程度的連動性。 另外,我們更透過遞迴估計法與滾動式窗估計法描繪主權信用違約交換報酬率波動來源的動態行為, 結果發現在歐債危機期間, 全球因子平均解釋比例有上升的趨勢, 顯示歐債危機可能影響全球主權信用違約交換市場。
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描述: 碩士
國立政治大學
經濟學系
103258002
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103258002
資料類型: thesis
Appears in Collections:學位論文

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