| dc.contributor.advisor | 岳夢蘭 | zh_TW |
| dc.contributor.advisor | Yueh, Meng Lan | en_US |
| dc.contributor.author (Authors) | 黃嘉東 | zh_TW |
| dc.contributor.author (Authors) | Whang, Jia Tung | en_US |
| dc.creator (作者) | 黃嘉東 | zh_TW |
| dc.creator (作者) | Whang, Jia Tung | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 15:46:19 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 15:46:19 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 15:46:19 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097357018 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49645 | - |
| 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) | 97357018 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本研究探討歐洲已開發市場之主權信用違約交換與主權債券和無風險利率之債券信用價差之間的動態關係以及價格發現現象。此外亦分析可能影響歐洲已開發市場主權信用違約交換與債券信用價差變動之因子。實證結果發現信用違約交換有較明顯之價格發現功能，且信用違約交換與債券信用價差間之基準差與信用風險呈現正向關係。而歐洲主權債券因其性質特殊，其使用德國政府公債作無風險利率反而較歐元交換利率為佳。此外我們發現利率變化與股市皆為影響歐洲主權信用價差之因子，而波動率之影響不明顯，原因也可能是歐洲主權債券過去低風險而成為資金避險標的之特殊性質。 | zh_TW |
| dc.description.abstract (摘要) | The thesis examines the dynamic relation between CDS and bond spread on developed European sovereign bonds. We also investigate which variables will affect the changes of CDS and bond spreads.We found that price discovery occurs on CDS more often, and the basis between CDS and bond spread has a positive relationship with credit risk. Due to the special characteristic of developed European sovereign bonds, the German sovereign bond yield is a better benchmark for risk-free rate than the Euro swap rate. Also we found that the change of rates and the return on stock market affect the European sovereign credit spread, but the effect of volatility on credit spread is limited. The reason should be the low-risk nature of these bonds in the past, which made them “safe” products for capitals to park. | en_US |
| dc.description.tableofcontents | 第一章 緒論........................................................1第一節 研究背景.............................................1第二節 研究動機與簡介.......................................4第三節 研究架構.............................................6第二章 文獻回顧....................................................7第一節 信用違約交換與債券市場之關係.........................7第二節 信用價差之組成與影響因子............................10第三章 資料說明與研究方法.........................................14第一節 動態關係與VECM模型.................................14第二節 迴歸分析............................................21第四章 實證分析...................................................28第一節 信用違約交換價差與債券信用價差之動態關係............28第二節 迴歸模型分析信用價差之影響因子......................35第五章 結論.......................................................43第一節 結論...............................................43第二節 建議...............................................45參考文獻...........................................................46附錄...............................................................48 | zh_TW |
| dc.format.extent | 1577206 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097357018 | en_US |
| dc.subject (關鍵詞) | 信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 債券信用價差 | zh_TW |
| dc.subject (關鍵詞) | 信用價差 | zh_TW |
| dc.subject (關鍵詞) | VECM | zh_TW |
| dc.subject (關鍵詞) | 價格發現 | zh_TW |
| dc.subject (關鍵詞) | 歐洲已開發市場 | zh_TW |
| dc.subject (關鍵詞) | 主權債券 | zh_TW |
| dc.subject (關鍵詞) | CDS | en_US |
| dc.subject (關鍵詞) | bond credit spread | en_US |
| dc.subject (關鍵詞) | credit spread | en_US |
| dc.subject (關鍵詞) | VECM | en_US |
| dc.subject (關鍵詞) | price discovery | en_US |
| dc.subject (關鍵詞) | developed European markets | en_US |
| dc.subject (關鍵詞) | sovereign bond | en_US |
| dc.title (題名) | 歐洲已開發市場之信用違約交換與信用價差動態關係與變化影響因子 | zh_TW |
| dc.title (題名) | Dynamic relation of credit default swap and bond credit spread on developed European sovereign bonds | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Aktug, E., G. Vasconcellos, and Y. Bae , 2008, “The Dynamics of Sovereign Credit Default Swap and Bond Markets: Empirical Evidence from the 2001-2007 Period”, Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Ammer, J., and F. Cai, 2008, “Sovereign CDS and Bond Pricing Dynamics in Emerging Markets Does the Cheapest-to-Deliver Option Matter”, Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Blanco, R., S. Brennan, and I. W. Marsh, 2005, “An Empirical Analysis of the Dynamic Relationship Between Investment Grade Bonds and Credit Default Swaps”, Journal of Finance, Vol. 60, No. 5, Pages 2255-2281. | zh_TW |
| dc.relation.reference (參考文獻) | Boss, M., M. Scheicher, 2002, “The Determinants of Credit Spread Changes in the Euro Area“, BIS papers. | zh_TW |
| dc.relation.reference (參考文獻) | Chan-Lau, Jorge A., and Yoon S. Kim, 2004, “Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets”, IMF Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Codogno, L., C. Favero, A. Missale, 2003, “Yield Spreads on EMU Government Bonds”, Economic Policy, Vol. 18, No. 37, Pages 503-532. | zh_TW |
| dc.relation.reference (參考文獻) | Collin-Dufresne, Pierre, Robert S. Goldstein, and J. Spencer Martin, 2001, “The Determinants of Credit Spread Changes”, Journal of Finance, Vol. 56, No. 6, Pages 2177-2207. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, D., 1999, “Credit Swap Valuation”, Financial Analysts Journal, Vol. 55, Pages 73-87. | zh_TW |
| dc.relation.reference (參考文獻) | European Central Bank, 2004, “The Euro Bond Market Study”. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J. C., and A. White, 2000, “Valuing Credit Default Swaps I: No Counterparty Default Risk”, Journal of Derivatives, Vol. 8, Pages 29-40. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J., M. Predescu, and A. White, 2004, “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”, Journal of Banking and Finance, Vol. 28, No. 11, Pages 2789-2811. | zh_TW |
| dc.relation.reference (參考文獻) | Liu, J., 2006, “The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks”, The Journal of Business, Vol. 79, No. 5, Pages 2337-2359. | zh_TW |
| dc.relation.reference (參考文獻) | Longstaff, F., S. Mithal, and E. Neiss, 2005, “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market”, Journal of Finance, Vol. 60, No. 5, Pages 2213-2253. | zh_TW |
| dc.relation.reference (參考文獻) | Longstaff, F., J. Pan, L. Pedersen, and K. Singleton, 2008, “How Sovereign Is Sovereign Credit Risk?”, NBER Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | McGuire, P., and M. A. Schrijvers, 2003, “Common Factors in Emerging Market Spreads”, BIS Quarterly Review, Pages 65-78, December. | zh_TW |
| dc.relation.reference (參考文獻) | Packer, F., and C. Suthiphongchai, 2003, “Sovereign Credit Default Swaps”, BIS Quarterly Review, Pages 79-88, December. | zh_TW |
| dc.relation.reference (參考文獻) | Pan, J., and K. J. Singleton, 2008, “Default and Recovery Implicit in the Term Structure of Sovereign Spreads”, The Journal of Finance, Vol. 63, Issue 5, Pages 2345–2384. | zh_TW |
| dc.relation.reference (參考文獻) | Remolona, E. M., M. Scatigna, and E. Wu, 2007, “Interpreting Sovereign Spreads”, BIS Quarterly Review, Pages 27-39, March. | zh_TW |
| dc.relation.reference (參考文獻) | Westphalen, M., 2002, “The Determinants of Sovereign Bond Credit Spreads Changes”, Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Wooldridge, P. D., 2001, “The Emergence of New Benchmark Yield Curves”, BIS Quarterly Review, Pages 48-57, December. | zh_TW |
| dc.relation.reference (參考文獻) | Yue, V. Z., 2010, “Sovereign Default and Debt Renegotiation”, Journal of International Economics, Vol. 80, Issue 2, Pages 176-187. | zh_TW |
| dc.relation.reference (參考文獻) | Zhu, H., 2006, “An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market”, Journal of Financial Services Research, Vol. 29, No. 3, Pages 211-235. | zh_TW |
| dc.relation.reference (參考文獻) | Zinna, G., 2009, “Sovereign Default Risk Premia: Evidence from the Default Swap Market”, Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | 沈大白、凌志銘，「信用違約交換評價之實證研究─TCRI信用評等資訊之應用」，金融風險管理季刊，民95，第二卷，第二期，47-74。 | zh_TW |
