| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.advisor | Tu, Anthony H. | en_US |
| dc.contributor.author (作者) | 林志彥 | zh_TW |
| dc.contributor.author (作者) | Lin, Chih-Yen | en_US |
| dc.creator (作者) | 林志彥 | zh_TW |
| dc.creator (作者) | Lin, Chih-Yen | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-九月-2009 09:04:43 (UTC+8) | - |
| dc.date.available | 14-九月-2009 09:04:43 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 09:04:43 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0923570051 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31023 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 92357005 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 本研究目的在於探討投資等級債券信用價差是否存在外溢效果。信用價差是建構各種信用衍生性金融商品的基礎，惟目前學術界及業界都著眼在信用價差的拆解。信用價差可拆解成預期違約損失、稅的溢酬及信用風險溢酬。投資等級債券的信用價差來自於預期違約損失、稅的溢酬的部分較少，絕大多數來自於信用風險溢酬。信用風險溢酬係系統性影響信用價差的因素，此因素造成不同投資等級債券的信用價差間具有共整合的現象，進而引發外溢效果。然而並無人對於信用價差外溢效果作一深入探討。本研究利用目前學術界盛行的Panel模型的研究方法，對各種投資等級的債券的信用價差進行Panel Unit Root Tests、Panel Cointegration Tests及Panel Spillover Effect Tests，以求發現債券信用價差外溢效果存在與否的證據。 本文以iBoxx Index成份債券作為研究標的，利用Panel研究方法得到以下結論: 1.根據研究結果顯示，各種信評等級的債券的信用價差存在單根問題。 2.不同投資等級信評債券的信用價差擁有共整合關係。 3.不同投資等級信用評等的債券間信用價差外溢效果存在。且愈是相 鄰信評等級債券的外溢效果愈為顯著，例如BBB等級信用價差發生變動引發信評AAA等級信用價差變動的幅度便沒有AA等級信用價差變動引發AAA等級信用價差變動來得強烈。外溢效果係不對稱，當最高投資等級信評發生變動時，最低投資等級債券變動最為激烈;而最低投資等級信評發生波動時，最高投資等級債券發生變動的幅度就較小。 4.本研究支持不同債信評等的債券存在同向的外溢效果。 | zh_TW |
| dc.description.abstract (摘要) | This paper investigates the spillover effect in the investment grade bonds using the recently developed Panel Unit Root Tests, Panel Cointegrations Tests, Panel FMOLS and Panel DOLS techniques. Investment grade bonds’ credit spreads are found to be nonstationary and to be cointegrated in panels. This paper finds evidence of spillover effects. | en_US |
| dc.description.tableofcontents | 第壹章 緒論------------------------------------------1 第一節 研究動機-----------------------------------1 第二節 研究目的-----------------------------------2 第三節 研究範圍與限制-----------------------------3 第四節 研究架構-----------------------------------4 第貳章 信用價差之定義與來源--------------------------6 第一節 信用價差之定義-----------------------------6 第二節 信用價差之來源-----------------------------7 第參章 文獻探討--------------------------------------9 第一節 預期違約損失和稅的溢酬之影響---------------9 第二節 信用風險溢酬的影響------------------------11 第三節 外溢效果----------------------------------15 第肆章 研究方法-------------------------------------19 第一節 資料蒐集與定義----------------------------19 第二節 研究方法----------------------------------23 第三節 研究設計與模型的建立----------------------27 第伍章 實證結果分析---------------------------------54 第一節 Panel Unit Root Test之實證結果------------54 第二節 Panel Cointegration Test之實證結果--------57 第三節 Panel模型外溢效果之實證結果---------------61 第陸章 結論與建議-----------------------------------76 第一節 研究結論-----------------------------------76 第二節 後續研究建議-------------------------------77 參考文獻--------------------------------------------78 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923570051 | en_US |
| dc.subject (關鍵詞) | 信用價差 | zh_TW |
| dc.subject (關鍵詞) | Panel 單根檢定 | zh_TW |
| dc.subject (關鍵詞) | Panel 共整合檢定 | zh_TW |
| dc.subject (關鍵詞) | Panel 外溢效果檢定 | zh_TW |
| dc.subject (關鍵詞) | Panel 完整調整最小平方法 | zh_TW |
| dc.subject (關鍵詞) | Panel 動態最小平方法 | zh_TW |
| dc.subject (關鍵詞) | Panel 向量誤差修正模型 | zh_TW |
| dc.subject (關鍵詞) | credit spread | en_US |
| dc.subject (關鍵詞) | Panel Unit Root Tests | en_US |
| dc.subject (關鍵詞) | Panel Cointegration Test | en_US |
| dc.subject (關鍵詞) | Panel Spillover Effect Test | en_US |
| dc.subject (關鍵詞) | Panel FMOLS | en_US |
| dc.subject (關鍵詞) | Panel DOLS | en_US |
| dc.subject (關鍵詞) | Panel VECM | en_US |
| dc.title (題名) | 投資等級債券信用價差外溢效果之研究-以Panel模型分析 | zh_TW |
| dc.title (題名) | The Spillover Effect of Credit Spread on Investment Grade Bonds- The Panel Approach | en_US |
| dc.type (資料類型) | thesis | en |
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