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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 15:23:41 (UTC+8) 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。 參考文獻 徐詩涵 (1995), 歐洲主權債務危機及其蔓延: 以信用違約交換市場為例, 交通大學經營管理研究所學位論文.Alter, Adrian and Beyer, Andreas (2014), The dynamics of spillover effects during the European sovereign debt turmoil, Journal of Banking and Finance,42(1), 134–153.Bai, J. and S. Ng (2002), Determining the number of factors in approximate factor models, Econometrica, 70(1), 191–221.Bai, J. (2003), Inferential theory for factor models of large dimensions, Econometrica, 71(1), 135–172.Beck, Guenter W, Hubrich, Kirstin, and Marcellino, Massimiliano (2009), Regional inflation dynamics within and across euro area countries and a comparison with the United States, Economic Policy, (57), 143–184.Blanco, Roberto, Brennan, Simon, and Marsh, Ian W. (2005), An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps, Journal of Finance, 60(5), 1–277.Bostanci, Görkem and Yilmaz, Kamil(2015), How Connected is the Global Sovereign Credit Risk Network? (August 21, 2015).Breitung, Jrg and Eickmeier, Sandra(2016), Analyzing International Business and Financial Cycles using MultiLevel Factor Models: A Comparison of Alternative Approaches, Dynamic Factor Models (Advances in Econometrics), Volume 35, Emerald Group Publishing Limited, 177 - 214.C.Broto, G.Pérez-Quirós(2014),Disentangling contagion among sovereign CDS spreads during the European debt crisis, Journal of Empirical Finance, 32, 165–179.Gyntelberg, Jacob, Hrdahl, Peter, Ters, Kristyna, and Urban, Jrg (2013), Intraday Dynamics of Euro Area Sovereign CDS and Bonds, BIS Working Paper, No.423.Hirata, Hideaki, Kose, M. Ayhan, and Otrok, Christopher Mark (2013), Regionalization vs. Globalization, SSRN Electronic Journal.Kalbaska, A. and Gatkowski, M. (2012), Eurozone sovereign contagion: Evidence from the CDS market (2005-2010), Journal of Economic Behavior and Organization, 83(3), 657–673.Kose, M. A., C. Otrok, and C. Whiteman (2003), International business cycles: World, region, and country-specific factors, American Economic Review, 93(4), 1216–1239.Norden, Lars and Weber, Martin (2009), The co-movement of credit default swap, bond and stock markets: An empirical analysis, European Financial Management, 15(3), 529–562.Stock, J. H., and Watson, M. W. (1999), Macroeconomic Forecasting Using Diffusion Indexes, Journal of Business and Economic statistics, 20(0), 147–162.Wang, P (2010), Large Dimensional Factor Models with a Multi-Level Factor Structure Identification, Estimation and Inference, Working paper.Zhang, Gaiyan (2009), Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Adverse Credit Events, International Review of Accounting, Banking and Finance, 1.Zhu, Haibin (2006), An empirical comparison of credit spreads between the bond market and the credit default swap market, Journal of Financial ServicesResearch, 29(3), 211–235. 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 dc.contributor.advisor 徐士勛 zh_TW dc.contributor.author (Authors) 陳宗棋 zh_TW dc.creator (作者) 陳宗棋 zh_TW dc.date (日期) 2016 en_US dc.date.accessioned 1-Jul-2016 15:23:41 (UTC+8) - dc.date.available 1-Jul-2016 15:23:41 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2016 15:23:41 (UTC+8) - dc.identifier (Other Identifiers) G0103258002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98640 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 103258002 zh_TW dc.description.abstract (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。 zh_TW dc.description.tableofcontents 1 緒論 11.1 研究動機與目的 11.2 研究架構 22 文線回顧 42.1 信用違約交換介紹 42.2 信用違約交換相關文獻 62.3 因子模型 83 實證模型 103.1 二階層因子模型 104 研究方法 124.1 單根檢定 124.2 因子個數選擇 134.3 兩階段主成分分析 144.4 連續最小平方法 144.5 變異數分解 165 實證結果 185.1 資料來源 185.2 敘述統計分析 185.3 ADF 單根檢定結果 195.4 資料處理 205.5 因子個數選擇結果 205.6 變異數分解靜態分析 215.7 變異數分解動態分析 235.7.1 遞迴估計法 235.7.2 滾動視窗估計法 256 結論 31參考文獻 33附錄 3636 zh_TW dc.format.extent 1650716 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103258002 en_US dc.subject (關鍵詞) 階層因子模型 zh_TW dc.subject (關鍵詞) 主成分分析 zh_TW dc.subject (關鍵詞) 主權信用違約交換 zh_TW dc.subject (關鍵詞) 變異數分解 zh_TW dc.title (題名) 以階層式因子模型探討主權信用違約交換 zh_TW dc.title (題名) A hierarchical factor analysis of Sovereign CDS en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 徐詩涵 (1995), 歐洲主權債務危機及其蔓延: 以信用違約交換市場為例, 交通大學經營管理研究所學位論文.Alter, Adrian and Beyer, Andreas (2014), The dynamics of spillover effects during the European sovereign debt turmoil, Journal of Banking and Finance,42(1), 134–153.Bai, J. and S. Ng (2002), Determining the number of factors in approximate factor models, Econometrica, 70(1), 191–221.Bai, J. (2003), Inferential theory for factor models of large dimensions, Econometrica, 71(1), 135–172.Beck, Guenter W, Hubrich, Kirstin, and Marcellino, Massimiliano (2009), Regional inflation dynamics within and across euro area countries and a comparison with the United States, Economic Policy, (57), 143–184.Blanco, Roberto, Brennan, Simon, and Marsh, Ian W. (2005), An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps, Journal of Finance, 60(5), 1–277.Bostanci, Görkem and Yilmaz, Kamil(2015), How Connected is the Global Sovereign Credit Risk Network? (August 21, 2015).Breitung, Jrg and Eickmeier, Sandra(2016), Analyzing International Business and Financial Cycles using MultiLevel Factor Models: A Comparison of Alternative Approaches, Dynamic Factor Models (Advances in Econometrics), Volume 35, Emerald Group Publishing Limited, 177 - 214.C.Broto, G.Pérez-Quirós(2014),Disentangling contagion among sovereign CDS spreads during the European debt crisis, Journal of Empirical Finance, 32, 165–179.Gyntelberg, Jacob, Hrdahl, Peter, Ters, Kristyna, and Urban, Jrg (2013), Intraday Dynamics of Euro Area Sovereign CDS and Bonds, BIS Working Paper, No.423.Hirata, Hideaki, Kose, M. Ayhan, and Otrok, Christopher Mark (2013), Regionalization vs. Globalization, SSRN Electronic Journal.Kalbaska, A. and Gatkowski, M. (2012), Eurozone sovereign contagion: Evidence from the CDS market (2005-2010), Journal of Economic Behavior and Organization, 83(3), 657–673.Kose, M. A., C. Otrok, and C. Whiteman (2003), International business cycles: World, region, and country-specific factors, American Economic Review, 93(4), 1216–1239.Norden, Lars and Weber, Martin (2009), The co-movement of credit default swap, bond and stock markets: An empirical analysis, European Financial Management, 15(3), 529–562.Stock, J. H., and Watson, M. W. (1999), Macroeconomic Forecasting Using Diffusion Indexes, Journal of Business and Economic statistics, 20(0), 147–162.Wang, P (2010), Large Dimensional Factor Models with a Multi-Level Factor Structure Identification, Estimation and Inference, Working paper.Zhang, Gaiyan (2009), Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Adverse Credit Events, International Review of Accounting, Banking and Finance, 1.Zhu, Haibin (2006), An empirical comparison of credit spreads between the bond market and the credit default swap market, Journal of Financial ServicesResearch, 29(3), 211–235. zh_TW
