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題名 違約利差(信用指標)與產出之關係
The Relationship Between Default Spread (Credit Indicator) and Output
作者 彭啟鳴
貢獻者 饒秀華<br>徐士勛
彭啟鳴
關鍵詞 違約利差
信用指標
預測誤差
日期 2016
上傳時間 14-Nov-2016 16:21:03 (UTC+8)
摘要 經濟預測一直是學界所非常重視的問題，舉凡失業率、消費者物價指數、貨幣供給量等等，都存在著某種程度的預測力。而本篇研究所探討的預測指標為違約利差。這個指標自1983年被Bernanke所提出來後，諸多學者在此概念下對其定義做改造，像是商業本票與國庫券間的利率差、Baa評級債券與國庫券之利率差、高殖利率債券與國庫券之利率差都屬於違約利差的一種。而我們這篇使用twA評級六個月期債券與六個月期國庫券之利率差和六個月期商業本票與六個月期國庫券間利率差去預測經濟成長率，我們發現此預測力並不彰顯。探究其原因可能是twA評級六個月期債券與六個月期國庫券之利率差變數不只包含了與經濟活動有關的違約風險部分，還包含了流動性風險、預付風險、稅務貼水、營運系統性風險等等。而商業本票與國庫券間利率無預測力的原因可能是金融替代品的增加、投資者對市場感知不正確或國庫券供需量可能會因政策施行(非景氣相關之政策)而變動所造成。最後我們將所有台灣的預測變數的預測值做簡單平均，再算出平均平方誤差。我們發現預測能力相較於自我迴歸模型來得差，但這相比於其他單一變數預測式所估計出來的預測誤差來得穩定。本研究中未能像Stock and Watson般使用上百條式子再做加權，因此這可能會是加權平均在台灣市場的例子中，預測能力輸給自我迴歸模型的主因。
參考文獻 英文文獻
[1] Bernanke, Ben S. 1983. “Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression,” American Economic Review 73:3, pp. 257-276

[2] Bernanke, Ben S. 1990. “On the Predictive Power of Interest Rates and Interest Rate Spreads,” New England Economic Review November: December pp. 51-68.

[3] Duca, John V. 1999. “What Credit Market Indicators Tell Us,” Fed. Reserve Bank Dallas Economics & Finance Review 1999:Q3, pp. 2-13.

[4] Elton, Edwin J., Martin K. Gruber, Deepak Agrawal, and Christopher Mann, 2001, Explaining the rate spread on corporate bonds, The Journal of Finance 56, 247–277.

[5]Emery, Kenneth M. 1996. “The Information Content of the Paper–Bill Spread,” Journal of Economics and Business 48, pp. 1–10.

[6] Friedman, Benjamin M. and Kenneth N. Kuttner. 1992. “Money, Income, Prices and Interest Rates,” American Economic Review 82:June, pp. 472–92.

[7] Friedman, Benjamin M. and Kenneth N. Kuttner. 1993a. “Why Does the Paper-Bill Spread Predict Real Economic Activity?” in Business Cycles, In-dicators, and Forecasting. James H. Stock and Mark W. Watson, eds. Chicago: U. Chicago Press.

[8]Friedman, Benjamin M. and Kenneth N. Kuttner. 1993b.“Economic Activity and the Short-term Credit Markets: An Analysis of Prices and Quantities,” Brookings Papers on Economic Activity 1993:2, pp. 193–266.

[9] Friedman, Benjamin M. and Kenneth N. Kuttner. 1998. “Indicator Properties of the Paper-Bill Spread: Lessons from Recent Experience,” Review of Economics and Statistics 80, pp. 34–44.

[10] Hui Chen, Rui Cui, Zhiguo He, and Konstantin Milbradt. 2015. “Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle.” Working Paper, url: http://www.mit.edu/ huichen/bondliquidity.pdf, 2014a

[11] Hafer, Rik W. and Ali M. Kutan. 1992. “Money, Interest Rates and Output: Another Look,” Southern Illinois U. Edwardsville econ. dept. work. paper 92-0303.

[12 ] Longsta, F., S. Mithal, and E. Neis, 2005, Corporate yield spreads: Default risk or liquidity?New evidence from the credit default swap market," The Journal of Finance, 60, 2213-2253

[13] Stock, James H. and Mark W. Watson. 1989. “New Indexes of Coincident and Leading Economic Indicators,” in NBER Macroeconomics Annual 1989. O.J. Blanchard and S. Fischer, eds., pp. 352–94.

[14] Stock, James H. and Mark W. Watson. 2003. “Forecasting output and inflation: the role of asset prices.” Journal of Economic Perspectives 41: 788–829.

[15] Stock, James H. and Mark W. Watson. 2004. “Combination Forecasts of Output Growth in a Seven-Country Data Set.” Journal of Forecasting J. Forecast. 23, 405–430

[16] Thoma, Mark A. and Jo Anna Gray. 1994. “On Leading Indicators: Is There a Leading Contender?” manuscript, U. Oregon.

中文文獻
[1] 徐士勛(2005) 以擴散指標為基礎之總體經濟預測。政大經濟學系典藏期刊論文。

[2] 呂偉傑(2006) 股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研究。未出版之碩士論文，私立朝陽科技大學，財務金融學系。

[3] 孫效孔、林蒼祥、聶建中(2008) 信用利差之分解及其對風險分散之意義。證券市場發展季刊總號第78期

[4]陳宜廷、徐士勛、劉瑞文、莊額嘉(2011) 經濟成長率預測之評估與更新。政大經濟學系典藏期刊論文。
描述 碩士
國立政治大學
經濟學系
102258020
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1022580201
資料類型 thesis
dc.contributor.advisor 饒秀華<br>徐士勛zh_TW
dc.contributor.author (Authors) 彭啟鳴zh_TW
dc.creator (作者) 彭啟鳴zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 14-Nov-2016 16:21:03 (UTC+8)-
dc.date.available 14-Nov-2016 16:21:03 (UTC+8)-
dc.date.issued (上傳時間) 14-Nov-2016 16:21:03 (UTC+8)-
dc.identifier (Other Identifiers) G1022580201en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/104007-
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) 102258020zh_TW
dc.description.abstract (摘要) 經濟預測一直是學界所非常重視的問題，舉凡失業率、消費者物價指數、貨幣供給量等等，都存在著某種程度的預測力。而本篇研究所探討的預測指標為違約利差。這個指標自1983年被Bernanke所提出來後，諸多學者在此概念下對其定義做改造，像是商業本票與國庫券間的利率差、Baa評級債券與國庫券之利率差、高殖利率債券與國庫券之利率差都屬於違約利差的一種。而我們這篇使用twA評級六個月期債券與六個月期國庫券之利率差和六個月期商業本票與六個月期國庫券間利率差去預測經濟成長率，我們發現此預測力並不彰顯。探究其原因可能是twA評級六個月期債券與六個月期國庫券之利率差變數不只包含了與經濟活動有關的違約風險部分，還包含了流動性風險、預付風險、稅務貼水、營運系統性風險等等。而商業本票與國庫券間利率無預測力的原因可能是金融替代品的增加、投資者對市場感知不正確或國庫券供需量可能會因政策施行(非景氣相關之政策)而變動所造成。最後我們將所有台灣的預測變數的預測值做簡單平均，再算出平均平方誤差。我們發現預測能力相較於自我迴歸模型來得差，但這相比於其他單一變數預測式所估計出來的預測誤差來得穩定。本研究中未能像Stock and Watson般使用上百條式子再做加權，因此這可能會是加權平均在台灣市場的例子中，預測能力輸給自我迴歸模型的主因。zh_TW
dc.description.tableofcontents 一、 緒論 3
二、 參考文獻
i、 英文理論部分 4
ii、 英文實證部分 13
iii、 中文文獻 20
三、 研究方法
i、 樣本內預測 21
ii、 樣本外預測 24
四、 變數選取與資料 26
五、 變數與資料介紹 28
六、 研究結果
i、 樣本外預測 30
ii、 樣本內預測 33
七、 結論 36
八、參考文獻 46

圖表
表1 28
表2 31
表3 39
表4 41

圖1 35
圖2 43		zh_TW
dc.format.extent 1054803 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1022580201en_US
dc.subject (關鍵詞) 違約利差zh_TW
dc.subject (關鍵詞) 信用指標zh_TW
dc.subject (關鍵詞) 預測誤差zh_TW
dc.title (題名) 違約利差(信用指標)與產出之關係zh_TW
dc.title (題名) The Relationship Between Default Spread (Credit Indicator) and Outputen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 英文文獻
[1] Bernanke, Ben S. 1983. “Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression,” American Economic Review 73:3, pp. 257-276

[2] Bernanke, Ben S. 1990. “On the Predictive Power of Interest Rates and Interest Rate Spreads,” New England Economic Review November: December pp. 51-68.

[3] Duca, John V. 1999. “What Credit Market Indicators Tell Us,” Fed. Reserve Bank Dallas Economics & Finance Review 1999:Q3, pp. 2-13.

[4] Elton, Edwin J., Martin K. Gruber, Deepak Agrawal, and Christopher Mann, 2001, Explaining the rate spread on corporate bonds, The Journal of Finance 56, 247–277.

[5]Emery, Kenneth M. 1996. “The Information Content of the Paper–Bill Spread,” Journal of Economics and Business 48, pp. 1–10.

[6] Friedman, Benjamin M. and Kenneth N. Kuttner. 1992. “Money, Income, Prices and Interest Rates,” American Economic Review 82:June, pp. 472–92.

[7] Friedman, Benjamin M. and Kenneth N. Kuttner. 1993a. “Why Does the Paper-Bill Spread Predict Real Economic Activity?” in Business Cycles, In-dicators, and Forecasting. James H. Stock and Mark W. Watson, eds. Chicago: U. Chicago Press.

[8]Friedman, Benjamin M. and Kenneth N. Kuttner. 1993b.“Economic Activity and the Short-term Credit Markets: An Analysis of Prices and Quantities,” Brookings Papers on Economic Activity 1993:2, pp. 193–266.

[9] Friedman, Benjamin M. and Kenneth N. Kuttner. 1998. “Indicator Properties of the Paper-Bill Spread: Lessons from Recent Experience,” Review of Economics and Statistics 80, pp. 34–44.

[10] Hui Chen, Rui Cui, Zhiguo He, and Konstantin Milbradt. 2015. “Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle.” Working Paper, url: http://www.mit.edu/ huichen/bondliquidity.pdf, 2014a

[11] Hafer, Rik W. and Ali M. Kutan. 1992. “Money, Interest Rates and Output: Another Look,” Southern Illinois U. Edwardsville econ. dept. work. paper 92-0303.

[12 ] Longsta, F., S. Mithal, and E. Neis, 2005, Corporate yield spreads: Default risk or liquidity?New evidence from the credit default swap market," The Journal of Finance, 60, 2213-2253

[13] Stock, James H. and Mark W. Watson. 1989. “New Indexes of Coincident and Leading Economic Indicators,” in NBER Macroeconomics Annual 1989. O.J. Blanchard and S. Fischer, eds., pp. 352–94.

[14] Stock, James H. and Mark W. Watson. 2003. “Forecasting output and inflation: the role of asset prices.” Journal of Economic Perspectives 41: 788–829.

[15] Stock, James H. and Mark W. Watson. 2004. “Combination Forecasts of Output Growth in a Seven-Country Data Set.” Journal of Forecasting J. Forecast. 23, 405–430

[16] Thoma, Mark A. and Jo Anna Gray. 1994. “On Leading Indicators: Is There a Leading Contender?” manuscript, U. Oregon.

中文文獻
[1] 徐士勛(2005) 以擴散指標為基礎之總體經濟預測。政大經濟學系典藏期刊論文。

[2] 呂偉傑(2006) 股價、景氣狀態與貨幣政策─台灣證券交易所發行量加權指數實證研究。未出版之碩士論文，私立朝陽科技大學，財務金融學系。

[3] 孫效孔、林蒼祥、聶建中(2008) 信用利差之分解及其對風險分散之意義。證券市場發展季刊總號第78期

[4]陳宜廷、徐士勛、劉瑞文、莊額嘉(2011) 經濟成長率預測之評估與更新。政大經濟學系典藏期刊論文。		zh_TW