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題名 探討主權信用評級對公債利差之持續性影響
Exploring the Persistent Effects of Sovereign Credit Ratings on Government Bond Spreads
作者 楊少幃
Yang, Shao-Wei
貢獻者 林朕陞<br>洪福聲
Lin, Chen-Sheng<br>Hung, Fu-Sheng
楊少幃
Yang, Shao-Wei
關鍵詞 主權信用評級
公債殖利率利差
完全修正最小平方法
Sovereign Credit Ratings
Government Bond Yield Spreads
FMOLS
日期 2024
上傳時間 5-Aug-2024 13:37:55 (UTC+8)
摘要 過往文獻在探討主權信用評級變動對公債殖利率利差的影響時，大多利用事件研究法進行較短時間窗口內的效果，卻忽略了信用評級變動的長期影響。基於此，本研究旨在探討主權信用評級變動對公債殖利率利差是否存在持續性的影響，並在Afonso et al. (2012) 的基礎上從兩個面向進行延伸。首先，本研究加入總體經濟變數加以控制，能更加準確地估計主權信用評級的效果；其次，本研究將樣本依據國家發展程度分為成熟國家與新興國家，以進一步觀察主權信用評級對公債利差的影響在不同發展程度的國家是否會呈現不同的效果。具體而言，本文選取了12個國家在2005年至2023年的季資料進行研究，這12個國家可分為7個成熟國家，包括英國、法國、義大利、西班牙、荷蘭、日本與南韓，以及5個新興國家，包括秘魯、匈牙利、中國、印尼與泰國。 由於本文涵蓋多國資料且跨國數據通常緊密關聯，因此存在跨個體相依性 (cross-sectional dependence)，且實證變數具有單根性質。準此，本文參考Costantini et al. (2014) 的研究方法，先通過共整合檢定確認本文的追蹤資料符合共整合特性，而後使用完全修正最小平方法 (fully modified ordinary least squares, FMOLS) 進行長期關係的估計。本文的實證結果得出兩個重要結論，首先是在控制總體經濟變數後，降評對公債利差的持續性影響會減弱，僅在兩個季度內具有顯著性。其次，本文發現成熟國家和新興國家在面對主權信用評級變動時的市場反應存在差異性，成熟國家的投資者對降評反應的持續時間較長，而新興國家的投資者則無明顯持續性反應，這顯示投資者在面對不同發展程度國家的公債時會產生相異的反應，該發現有助於投資者在不同發展程度國家遭遇降評時，能夠充分瞭解公債殖利率的相對變化並做出更好的資產組合調整與風險控管。
Previous literature has often used event study methodology to examine the impact of sovereign credit rating changes on government bond yield spreads, focusing on short-term effects and neglecting the long-term impact of these changes. Based on this, this study aims to investigate whether changes in sovereign credit ratings have persistent impacts on government bond yield spreads, extending the work of Afonso et al. (2012) in two ways. First, we control for macroeconomic variables to more accurately estimate the effect of sovereign credit ratings. Second, we divide the sample into developed and emerging countries to observe whether the impact of sovereign credit ratings on bond spreads differs between these groups. Specifically, this paper selects quarterly data from 12 countries spanning from 2005 to 2023. These 12 countries are categorized into 7 developed countries, including the United Kingdom, France, Italy, Spain, the Netherlands, Japan, and South Korea, and 5 emerging countries, including Peru, Hungary, China, Indonesia, and Thailand. Given the multi-country data and the typical cross-sectional dependence in international datasets, and the non-stationary nature of the variables, we follow Costantini et al. (2014) to conduct a cointegration test to confirm the cointegration properties of our panel data. We then use fully modified ordinary least squares (FMOLS) for long-term relationship estimation. Our empirical results yield two key conclusions: first, controlling for macroeconomic variables weakens the persistent impact of rating downgrades on bond spreads, with significance only within two quarters. Second, we find that market reactions to changes in sovereign credit ratings differ between developed and emerging countries. Investors in developed countries exhibit a longer duration of reaction to downgrades, whereas investors in emerging countries do not show a significant persistent response. This finding aids investors in comprehensively understanding the relative changes in government bond yields when countries with different development levels experience downgrades, enabling them to make better portfolio adjustments and risk management decisions.
參考文獻 1. Afonso, A., D. Furceri, and P. Gomes (2012), “Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data,” Journal of International Money and Finance, 31(3), 606–638. 2. Alesina, A., M. De Broeck, A. Prati, and G. Tabellini (1992), “Default Risk on Government Debt in OECD Countries,” Economic Policy, 7(15), 427–463. 3. Arghyrou, M. G., and A. Kontonikas (2012), “The EMU Sovereign-Debt Crisis: Fundamentals, Expectations and Contagion,” Journal of International Financial Markets, Institutions and Money, 22(4), 658–677. 4. Arora, V., and M. Cerisola (2001), “How Does US Monetary Policy Influence Sovereign Spreads in Emerging Markets?” IMF Staff papers, 48(3), 474–498. 5. Aßmann, C., and J. Boysen-Hogrefe (2012), “Determinants of Government Bond Spreads in The Euro Area: In Good Times as in Bad,’’ Empirica, 39(3), 341–356. 6. Beber, A., M. W. Brandt, and K. A. Kavajecz (2009), “Flight-to-Quality or Flight-to-Liquidity? Evidence from The Euro-Area Bond Market,” Review of Financial Studies, 22(3), 925–957. 7. Black, F. (1976), “Studies of Stock Price Volatility Changes,” Proceeding of the 1976 Meetings of the Business and Economics Statistics Section American Statistical Association, 177–181. 8. Breitung, J., and W. Meyer (1994), “Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated?” Applied economics, 26(4), 353–361. 9. Bustillo, I., D. Perrotti, and H. Velloso (2019), “Sovereign Credit Ratings in Latin America and the Caribbean,” Economía, 20(1), 155–196. 10. Cantor, R., and F. Packer (1996), “Determinants and Impact of Sovereign Credit Ratings,” Economic Policy Review, 2(2),76–91. 11. Cassel, G. (1918), “Abnormal Deviations in International Exchanges,” Economic Journal, 28(112), 413–415. 12. Cassel, G. (1922), “Money and Foreign Exchange after 1914,” Macmillian. 13. Codogno, L., C. Favero, and A. Missale (2003), “Yield Spreads on EMU Government Bonds,” Economic policy, 18(37), 503–532. 14. Costantini, M., M. Fragetta, and G. Melina (2014), “Determinants of Sovereign Bond Yield Spreads in the EMU: An Optimal Currency Area Perspective,” European Economic Review, 70(C), 337–349. 15. Csonto, M. B., and M. I. V. Ivaschenko (2013), “Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments,” IMF Working Paper, 13(164). 16. De Haan, J., and F. Amtenbrink (2011), “Credit Rating Agencies,” DNB Working Papers No. 278, Netherlands Central Bank, Research Department. 17. Deb, P., M. Manning, G. Murphy, A Penalver, and A. Toth (2011), “Whither the Credit Ratings Industry?” Bank of England Financial Stability Paper, 9, 3–22. 18. Edwards, S. (1984). “LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80,” American Economic Review, 74(4), 726–734. 19. Eichengreen, B., and A. Mody (1998), “What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?” In Capital Flows and the Emerging Economies: Theory, Evidence and Controversies, ed. Sebastian Edwards, 107–134, Chicago and London: The University of Chicago Press. 20. Engle, R. F., and C. W. Granger (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55(2), 251–276. 21. Favero, C., M. Pagano, and E. L. Von Thadden (2010), “How Does Liquidity Affect Government Bond Yields?” Journal of Financial and Quantitative Analysis, 45(1), 107–134. 22. Ferreira, M. A., and P. M. Gama (2007), “Does Sovereign Debt Ratings News Spill over to International Stock Markets?” Journal of Banking & Finance, 31(10), 3162–3182. 23. Gande, A., and D. C. Parsley (2005), “News Spillovers in the Sovereign Debt Market,” Journal of Financial Economics, 75(3), 691–734. 24. Giordano, L., N. Linciano, and P. Soccorso (2012), “The Determinants of Government Yield Spreads in the Euro Area,” CONSOB Working Papers, No. 71. 25. Gomez-Puig, M. (2006). “Size Matters for Liquidity: Evidence from EMU Sovereign Yield Spreads.” Economics Letters, 90(2), 156-162. 26. Griffin, P. A., and A. Z. Sanvicente (1982), “Common Stock Returns and Rating Changes: A Methodological Comparison,” The Journal of Finance, 37(1), 103–119. 27. Hallerberg, M., and G. B. Wolff (2008), “Fiscal Institutions, Fiscal Policy and Sovereign Risk Premia in EMU,” Public Choice, 136(3), 379–396. 28. Hausmann, R., S. Dell’Erba, and U. Panizza, (2013), “Debt levels, debt composition, and sovereign spreads in emerging and advanced economies.” CID Working Paper Series. 29. Hettenhouse, G., and W. Sartoris (1976), “An Analysis of the Informational Value of Bond Rating Changes,” Quarterly Review of Economics and Business, 16(2), 65–78. 30. Im, K. S., M. H. Pesaran, and Y. Shin (2003), “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, 115(1), 53–74. 31. Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, 59(6), 1551–1580. 32. Johansen, S. (1995), “Identifying Restrictions of Linear Equations with Applications to Simultaneous Equations and Cointegration,” Journal of Econometrics, 69(1), 111–132. 33. Codogno, D., Z. Umar, and P. Lemonidi (2020), “On the Effect of Credit Rating Announcements on Sovereign Bonds: International Evidence,” International Economics, 163(C), 58–71. 34. Klepsch, C., and T. Wollmershäuser (2011), “Yield Spreads on EMU Government Bonds—How the Financial Crisis Has Helped Investors to Rediscover Risk,” Intereconomics, 46(3), 169–176. 35. Levin, A., C. F. Lin, and C. S. J. Chu (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108(1), 1-24. 36. Li, Jian, and Haiyue Yu. (2022) “Investor concentration, liquidity and bond price dynamics.” Liquidity and Bond Price Dynamics. 37. Maddala, G. S., and S. Wu (1999), “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test,” Oxford Bulletin of Economics and Statistics, 61(S1), 631–652. 38. Mauro, P., N. Sussman, and Y. Yafeh (2002), “Emerging Market Spreads: Then versus Now,” Quarterly Journal of Economics, 117(2), 695–733. 39. Min, H. G. (1998), “Determinants of Emerging Market Bond Spread: Do Economic Fundamentals Matter?” Policy Research Working Paper, World Bank, No. 1899. 40. Özmen, E., and Ö. D. Yaşar (2016), “Emerging Market Sovereign Bond Spreads, Credit Ratings and Global Financial Crisis,” Economic Modelling, 100(59), 93–101. 41. Pagano, M., and P. Volpin (2010), “Credit Ratings Failures and Policy Options,” Economic Policy, 25(62), 401–431. 42. Pesaran, M. H. (2007), “A Simple Panel Unit Root Test in the Presence of Cross‐Section Dependence,” Journal of Applied Econometrics, 22(2), 265–312. 43. Phillips, P. C., and B. E. Hansen (1990), “Statistical Inference in Instrumental Variables Regression with I(1) processes,” Review of Economic Studies, 57(1), 99–125. 44. Quah, D. (1994), “Exploiting Cross-section Variation for Unit Root Inference in Dynamic data,” Economics Letters, 44(1-2), 9–19. 45. Saadaoui, A., A. Elammari, and M. Kriaa (2022), “Credit Rating Announcement and Bond Liquidity: The Case of Emerging Bond Markets,” Journal of Economics, Finance and Administrative Science, 27(53), 86–104. 46. Vu, H., R. Alsakka, and O. ap Gwilym (2015), “The Credit Signals That Matter Most for Sovereign Bond Spreads with Split Rating,” Journal of International Money and Finance, 53(C), 174–191. 47. Weinstein, M. I. (1977), “The Effect of a Rating Change Announcement on Bond Price,” Journal of Financial Economics, 5(3), 329–350.
描述 碩士
國立政治大學
經濟學系
111258030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111258030
資料類型 thesis
dc.contributor.advisor 林朕陞<br>洪福聲zh_TW
dc.contributor.advisor Lin, Chen-Sheng<br>Hung, Fu-Shengen_US
dc.contributor.author (Authors) 楊少幃zh_TW
dc.contributor.author (Authors) Yang, Shao-Weien_US
dc.creator (作者) 楊少幃zh_TW
dc.creator (作者) Yang, Shao-Weien_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:37:55 (UTC+8)-
dc.date.available 5-Aug-2024 13:37:55 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:37:55 (UTC+8)-
dc.identifier (Other Identifiers) G0111258030en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152706-
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) 111258030zh_TW
dc.description.abstract (摘要) 過往文獻在探討主權信用評級變動對公債殖利率利差的影響時，大多利用事件研究法進行較短時間窗口內的效果，卻忽略了信用評級變動的長期影響。基於此，本研究旨在探討主權信用評級變動對公債殖利率利差是否存在持續性的影響，並在Afonso et al. (2012) 的基礎上從兩個面向進行延伸。首先，本研究加入總體經濟變數加以控制，能更加準確地估計主權信用評級的效果；其次，本研究將樣本依據國家發展程度分為成熟國家與新興國家，以進一步觀察主權信用評級對公債利差的影響在不同發展程度的國家是否會呈現不同的效果。具體而言，本文選取了12個國家在2005年至2023年的季資料進行研究，這12個國家可分為7個成熟國家，包括英國、法國、義大利、西班牙、荷蘭、日本與南韓，以及5個新興國家，包括秘魯、匈牙利、中國、印尼與泰國。 由於本文涵蓋多國資料且跨國數據通常緊密關聯，因此存在跨個體相依性 (cross-sectional dependence)，且實證變數具有單根性質。準此，本文參考Costantini et al. (2014) 的研究方法，先通過共整合檢定確認本文的追蹤資料符合共整合特性，而後使用完全修正最小平方法 (fully modified ordinary least squares, FMOLS) 進行長期關係的估計。本文的實證結果得出兩個重要結論，首先是在控制總體經濟變數後，降評對公債利差的持續性影響會減弱，僅在兩個季度內具有顯著性。其次，本文發現成熟國家和新興國家在面對主權信用評級變動時的市場反應存在差異性，成熟國家的投資者對降評反應的持續時間較長，而新興國家的投資者則無明顯持續性反應，這顯示投資者在面對不同發展程度國家的公債時會產生相異的反應，該發現有助於投資者在不同發展程度國家遭遇降評時，能夠充分瞭解公債殖利率的相對變化並做出更好的資產組合調整與風險控管。zh_TW
dc.description.abstract (摘要) Previous literature has often used event study methodology to examine the impact of sovereign credit rating changes on government bond yield spreads, focusing on short-term effects and neglecting the long-term impact of these changes. Based on this, this study aims to investigate whether changes in sovereign credit ratings have persistent impacts on government bond yield spreads, extending the work of Afonso et al. (2012) in two ways. First, we control for macroeconomic variables to more accurately estimate the effect of sovereign credit ratings. Second, we divide the sample into developed and emerging countries to observe whether the impact of sovereign credit ratings on bond spreads differs between these groups. Specifically, this paper selects quarterly data from 12 countries spanning from 2005 to 2023. These 12 countries are categorized into 7 developed countries, including the United Kingdom, France, Italy, Spain, the Netherlands, Japan, and South Korea, and 5 emerging countries, including Peru, Hungary, China, Indonesia, and Thailand. Given the multi-country data and the typical cross-sectional dependence in international datasets, and the non-stationary nature of the variables, we follow Costantini et al. (2014) to conduct a cointegration test to confirm the cointegration properties of our panel data. We then use fully modified ordinary least squares (FMOLS) for long-term relationship estimation. Our empirical results yield two key conclusions: first, controlling for macroeconomic variables weakens the persistent impact of rating downgrades on bond spreads, with significance only within two quarters. Second, we find that market reactions to changes in sovereign credit ratings differ between developed and emerging countries. Investors in developed countries exhibit a longer duration of reaction to downgrades, whereas investors in emerging countries do not show a significant persistent response. This finding aids investors in comprehensively understanding the relative changes in government bond yields when countries with different development levels experience downgrades, enabling them to make better portfolio adjustments and risk management decisions.en_US
dc.description.tableofcontents 第一章 緒論 5 第一節 研究動機與背景 5 第二節 研究目標 7 第三節 研究架構 8 第二章 文獻回顧 9 第一節 信用評級對利差影響之文獻回顧 9 第二節 其他影響公債利差因素之相關文獻回顧 11 第三章 研究方法 17 第一節 追蹤資料之單根檢定 17 第二節 追蹤資料之共整合檢定 20 第三節 完全修正普通最小平方法 21 第四章 實證結果與分析 24 第一節 國家樣本資料說明 24 第二節 解釋變數說明與預期之影響 25 第三節 敘述統計量介紹 31 第四節 CIPS單根檢定 33 第五節 Johansen共整合檢定 34 第六節 實證結果與分析 35 第七節 穩健性分析 42 第五章 結論 47 參考文獻 50 附錄A 55zh_TW
dc.format.extent 1599129 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111258030en_US
dc.subject (關鍵詞) 主權信用評級zh_TW
dc.subject (關鍵詞) 公債殖利率利差zh_TW
dc.subject (關鍵詞) 完全修正最小平方法zh_TW
dc.subject (關鍵詞) Sovereign Credit Ratingsen_US
dc.subject (關鍵詞) Government Bond Yield Spreadsen_US
dc.subject (關鍵詞) FMOLSen_US
dc.title (題名) 探討主權信用評級對公債利差之持續性影響zh_TW
dc.title (題名) Exploring the Persistent Effects of Sovereign Credit Ratings on Government Bond Spreadsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Afonso, A., D. Furceri, and P. Gomes (2012), “Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data,” Journal of International Money and Finance, 31(3), 606–638. 2. Alesina, A., M. De Broeck, A. Prati, and G. Tabellini (1992), “Default Risk on Government Debt in OECD Countries,” Economic Policy, 7(15), 427–463. 3. Arghyrou, M. G., and A. Kontonikas (2012), “The EMU Sovereign-Debt Crisis: Fundamentals, Expectations and Contagion,” Journal of International Financial Markets, Institutions and Money, 22(4), 658–677. 4. Arora, V., and M. Cerisola (2001), “How Does US Monetary Policy Influence Sovereign Spreads in Emerging Markets?” IMF Staff papers, 48(3), 474–498. 5. Aßmann, C., and J. Boysen-Hogrefe (2012), “Determinants of Government Bond Spreads in The Euro Area: In Good Times as in Bad,’’ Empirica, 39(3), 341–356. 6. Beber, A., M. W. Brandt, and K. A. Kavajecz (2009), “Flight-to-Quality or Flight-to-Liquidity? Evidence from The Euro-Area Bond Market,” Review of Financial Studies, 22(3), 925–957. 7. Black, F. (1976), “Studies of Stock Price Volatility Changes,” Proceeding of the 1976 Meetings of the Business and Economics Statistics Section American Statistical Association, 177–181. 8. Breitung, J., and W. Meyer (1994), “Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated?” Applied economics, 26(4), 353–361. 9. Bustillo, I., D. Perrotti, and H. Velloso (2019), “Sovereign Credit Ratings in Latin America and the Caribbean,” Economía, 20(1), 155–196. 10. Cantor, R., and F. Packer (1996), “Determinants and Impact of Sovereign Credit Ratings,” Economic Policy Review, 2(2),76–91. 11. Cassel, G. (1918), “Abnormal Deviations in International Exchanges,” Economic Journal, 28(112), 413–415. 12. Cassel, G. (1922), “Money and Foreign Exchange after 1914,” Macmillian. 13. Codogno, L., C. Favero, and A. Missale (2003), “Yield Spreads on EMU Government Bonds,” Economic policy, 18(37), 503–532. 14. Costantini, M., M. Fragetta, and G. Melina (2014), “Determinants of Sovereign Bond Yield Spreads in the EMU: An Optimal Currency Area Perspective,” European Economic Review, 70(C), 337–349. 15. Csonto, M. B., and M. I. V. Ivaschenko (2013), “Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments,” IMF Working Paper, 13(164). 16. De Haan, J., and F. Amtenbrink (2011), “Credit Rating Agencies,” DNB Working Papers No. 278, Netherlands Central Bank, Research Department. 17. Deb, P., M. Manning, G. Murphy, A Penalver, and A. Toth (2011), “Whither the Credit Ratings Industry?” Bank of England Financial Stability Paper, 9, 3–22. 18. Edwards, S. (1984). “LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80,” American Economic Review, 74(4), 726–734. 19. Eichengreen, B., and A. Mody (1998), “What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?” In Capital Flows and the Emerging Economies: Theory, Evidence and Controversies, ed. Sebastian Edwards, 107–134, Chicago and London: The University of Chicago Press. 20. Engle, R. F., and C. W. Granger (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55(2), 251–276. 21. Favero, C., M. Pagano, and E. L. Von Thadden (2010), “How Does Liquidity Affect Government Bond Yields?” Journal of Financial and Quantitative Analysis, 45(1), 107–134. 22. Ferreira, M. A., and P. M. Gama (2007), “Does Sovereign Debt Ratings News Spill over to International Stock Markets?” Journal of Banking & Finance, 31(10), 3162–3182. 23. Gande, A., and D. C. Parsley (2005), “News Spillovers in the Sovereign Debt Market,” Journal of Financial Economics, 75(3), 691–734. 24. Giordano, L., N. Linciano, and P. Soccorso (2012), “The Determinants of Government Yield Spreads in the Euro Area,” CONSOB Working Papers, No. 71. 25. Gomez-Puig, M. (2006). “Size Matters for Liquidity: Evidence from EMU Sovereign Yield Spreads.” Economics Letters, 90(2), 156-162. 26. Griffin, P. A., and A. Z. Sanvicente (1982), “Common Stock Returns and Rating Changes: A Methodological Comparison,” The Journal of Finance, 37(1), 103–119. 27. Hallerberg, M., and G. B. Wolff (2008), “Fiscal Institutions, Fiscal Policy and Sovereign Risk Premia in EMU,” Public Choice, 136(3), 379–396. 28. Hausmann, R., S. Dell’Erba, and U. Panizza, (2013), “Debt levels, debt composition, and sovereign spreads in emerging and advanced economies.” CID Working Paper Series. 29. Hettenhouse, G., and W. Sartoris (1976), “An Analysis of the Informational Value of Bond Rating Changes,” Quarterly Review of Economics and Business, 16(2), 65–78. 30. Im, K. S., M. H. Pesaran, and Y. 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