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題名 跨市場連動現象之研究
作者 陳思芃
貢獻者 林靖<br>陳心蘋
陳思芃
關鍵詞 VAR
歐債危機
市場
日期 2012
上傳時間 1-Jul-2013 17:38:14 (UTC+8)
摘要 金融市場之間由於跨領域連結性的增強與衍生性商品市場的快速發展，使得金融危機事件發生後所波及的領域與影響的強度都比以往更複雜、更難以預估。本研究為了探討跨市場的互動關係，並且以歐債危機發生區域與時間作為主要觀察，根據歐洲股票市場、債券市場、匯市、全球性工業金屬市場與貴金屬市場建立VAR模型觀察跨市場間的關係，另外又因歐元區的特殊經濟體，根據不同國家之間的股票市場建立VAR模型，包含德國、法國、西班牙、葡萄牙、義大利、希臘、愛爾蘭與英國。
本文目的在於觀察市場間的互動關係與受波動後的影響時間，在研究後的結果發現，在跨市場模型中貴金屬市場與工業金屬市場的區分沒有得到太大的顯著關係，而股市與工業金屬市場是同向趨勢。股票市場模型則是發現英國、德國、法國具有影響其他國家股市的能力，與我們在實務上的概念相符，而希臘股市雖然在這段期間的波動較大，卻與其他國家股市無明顯互動關係。而這些衝擊的影響最多都不會超過五個交易日。
參考文獻 中文文獻
1. 高鐵梅(2009)，計量經濟分析方法與建模，清華大學出版社，北京市。
2. 陳旭昇(2007)，時間序列分析：總體經濟與財務金融之應用，東華書局，台北市。
3. 黃嘉東(2010)，「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」，碩士論文，國立政治大學財務管理研究所，台北市。
英文文獻
1. Batten, J.A., Ciner, C. and Lucey, B.M. (2010), ‘The macroeconomic determinants of volatility in precious metals markets’, Resources Policy, Vol. 35, No. 2, pp. 65-71.
2. Beirne, J. (2012), ‘The EONIA spread before and during the crisis of 2007–2009: the role of liquidity and credit risk’, Journal of International Money and Finance, Vol. 31, No. 3, pp. 534-551.
3. Billio, M., Getmansky, M., Lo, A.W. and Pelizzon, L. (2012), ‘Econometric measures of connectedness and systemic risk in the finance and insurance sectors’, Journal of Financial Economics, Vol. 104, No. 3, pp. 535-559.
4. Calice, G., Chen, J. and Williams, J. (2013), ‘Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis’, Journal Of Economic Behavior & Organization, Vol. 85, pp. 122-143.
5. Chevallier, J. (2012), ‘Global imbalances, cross-market linkages, and the financial crisis: a multivariate Markov-switching analysis’, Economic Modeling, Vol. 29, No. 3, pp. 943-973.
6. Collin-Dufresne, P., Goldstein, R.S. and Martin, J.S. (2001), ‘The determinants of credit spread changes’, Journal of Finance, Vol. 56, No. 6, pp. 2177-2207.
7. Dieckmann, S. and Plank, T. (2012), ‘Default risk of advanced economies: an empirical analysis of credit default swaps during the financial crisis’, Review of Finance, Vol. 16, No. 4, pp. 903-934.
8. Dovern, J., Meier, C.P. and Vilsmeier, J. (2010), ‘How resilient is the German banking system to macroeconomic shocks’, Journal of Banking & Finance, Vol. 34, No. 8, pp. 1839-1848.
9. Dungey, M. and Martin, V.L. (2007), ‘Unravelling financial market linkages during crises’, Journal of Applied Econometrics, Vol. 22, No. 1, pp. 89-119.
10. Eichengreen, B., Mody, A., Nedeljkovic, M. and Sarno, L. (2012), ‘How the subprime crisis went global: evidence from bank credit default swap spreads’, Journal of International Money and Finance, Vol. 31, No. 5, pp. 1299-1318.
11. Gorton, G. and Metrick, A. (2012), ‘Securitized banking and the run on repo’, Journal of Financial Economics, Vol. 104, No. 3, pp. 425-451.
12. Guo, F., Chen, C.R. and Huang, Y.S. (2011), ‘Markets contagion during financial crisis: a regime-switching approach, International Review of Economics & Finance, Vol. 20, No. 1, pp. 95-109.
13. Hertzel, M.G. and Officer, M.S. (2012), ‘Industry contagion in loan spreads’, Journal of Financial Economics, Vol. 103, No. 3, pp. 493-506.
14. Hilscher, J. and Nosbusch, Y. (2010), ‘Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt’, Review of Finance, Vol. 14, No. 2, pp. 235-262.
15. In, F., Cui, J. and Maharaj, E.A. (2012), ‘The impact of a new term auction facility on LIBOR-OIS spreads and volatility transmission between money and mortgage markets’, Journal of International Money and Finance, Vol. 31, No. 5, pp. 1106-1125.
16. Knaup, M. and Wagner, W. (2012), ’A market-based measure of credit quality and banks’ performance during the subprime crisis’, Management Science, Vol. 58, No. 8, pp. 1423-1437.
17. Li, M.Y.L. (2009), ‘Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets’, Applied Economics Letters, Vol. 16, No. 2, pp. 183-191.
18. Mistrulli, P.E. (2011), ‘Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns’, Journal Of Banking & Finance, Vol. 35, No. 5, pp. 1114-1127.
19. Scholtens, B. and Yurtsever, C. (2012), ‘Oil price shocks and European industries’, ENERGY ECONOMICS, Vol. 34, No. 4, pp. 1187-1195.
20. Sim, C.A.(1980), ‘Macroeconomics and reality’, Econometrica, Vol. 48, No. 1, pp. 1-48.
21. Tudor, C. (2011), ‘Changes in stock markets interdependencies as a result of the global financial crisis: empirical investigation on the CEE region’, Panoeconomicus, Vol. 58, No. 4, pp. 525-543.
22. Upper, C. (2011), ‘Simulation methods to assess the danger of contagion in interbank markets’, Journal of Financial Stability, Vol. 7, No. 3, pp. 111-125.
23. Vansteenkiste, I. and Hiebert, P. (2011), ‘Do house price developments spillover across euro area countries? Evidence from a global VAR’, Journal Of Housing Economics, Vol. 20, No. 4, pp. 200-314.
描述 碩士
國立政治大學
經濟學系
100258019
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100258019
資料類型 thesis
dc.contributor.advisor 林靖<br>陳心蘋zh_TW
dc.contributor.author (Authors) 陳思芃zh_TW
dc.creator (作者) 陳思芃zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:38:14 (UTC+8)-
dc.date.available 1-Jul-2013 17:38:14 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:38:14 (UTC+8)-
dc.identifier (Other Identifiers) G0100258019en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58707-
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) 100258019zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 金融市場之間由於跨領域連結性的增強與衍生性商品市場的快速發展，使得金融危機事件發生後所波及的領域與影響的強度都比以往更複雜、更難以預估。本研究為了探討跨市場的互動關係，並且以歐債危機發生區域與時間作為主要觀察，根據歐洲股票市場、債券市場、匯市、全球性工業金屬市場與貴金屬市場建立VAR模型觀察跨市場間的關係，另外又因歐元區的特殊經濟體，根據不同國家之間的股票市場建立VAR模型，包含德國、法國、西班牙、葡萄牙、義大利、希臘、愛爾蘭與英國。
本文目的在於觀察市場間的互動關係與受波動後的影響時間，在研究後的結果發現，在跨市場模型中貴金屬市場與工業金屬市場的區分沒有得到太大的顯著關係，而股市與工業金屬市場是同向趨勢。股票市場模型則是發現英國、德國、法國具有影響其他國家股市的能力，與我們在實務上的概念相符，而希臘股市雖然在這段期間的波動較大，卻與其他國家股市無明顯互動關係。而這些衝擊的影響最多都不會超過五個交易日。		zh_TW
dc.description.tableofcontents 摘要................................................................................................................................ii
目錄...............................................................................................................................iii
表目錄...........................................................................................................................iv
圖目錄............................................................................................................................v
壹、緒論........................................................................................................................1
一、研究背景與動機............................................................................................1
二、研究目的........................................................................................................2
三、研究架構........................................................................................................3
四、研究限制........................................................................................................4
貳、文獻回顧................................................................................................................5
一、金融危機外溢效果(spill-over)之傳導..........................................................5
二、金融市場對市場波動的組成與影響因子.....................................................7
三、歐債危機之研究............................................................................................8
四、相關方法論之回顧........................................................................................9
參、研究方法..............................................................................................................11
一、研究流程......................................................................................................11
二、向量自我迴歸模型......................................................................................12
三、Granger因果關係與衝擊反應函數............................................................15
四、模型設定......................................................................................................17
肆、實證結果..............................................................................................................19
一、變數資料與敘述統計..................................................................................19
二、VAR模型實證結果.....................................................................................27
三、Granger因果關係檢定................................................................................33
四、衝擊反應函數..............................................................................................38
伍、結論與建議..........................................................................................................41
一、研究發現與貢獻..........................................................................................41
二、經濟意涵及政策建議..................................................................................42
參考文獻......................................................................................................................43
附錄..............................................................................................................................45		zh_TW
dc.format.extent 1315555 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/#G0100258019en_US
dc.subject (關鍵詞) VARzh_TW
dc.subject (關鍵詞) 歐債危機zh_TW
dc.subject (關鍵詞) 市場zh_TW
dc.title (題名) 跨市場連動現象之研究zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文文獻
1. 高鐵梅(2009)，計量經濟分析方法與建模，清華大學出版社，北京市。
2. 陳旭昇(2007)，時間序列分析：總體經濟與財務金融之應用，東華書局，台北市。
3. 黃嘉東(2010)，「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」，碩士論文，國立政治大學財務管理研究所，台北市。
英文文獻
1. Batten, J.A., Ciner, C. and Lucey, B.M. (2010), ‘The macroeconomic determinants of volatility in precious metals markets’, Resources Policy, Vol. 35, No. 2, pp. 65-71.
2. Beirne, J. (2012), ‘The EONIA spread before and during the crisis of 2007–2009: the role of liquidity and credit risk’, Journal of International Money and Finance, Vol. 31, No. 3, pp. 534-551.
3. Billio, M., Getmansky, M., Lo, A.W. and Pelizzon, L. (2012), ‘Econometric measures of connectedness and systemic risk in the finance and insurance sectors’, Journal of Financial Economics, Vol. 104, No. 3, pp. 535-559.
4. Calice, G., Chen, J. and Williams, J. (2013), ‘Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis’, Journal Of Economic Behavior & Organization, Vol. 85, pp. 122-143.
5. Chevallier, J. (2012), ‘Global imbalances, cross-market linkages, and the financial crisis: a multivariate Markov-switching analysis’, Economic Modeling, Vol. 29, No. 3, pp. 943-973.
6. Collin-Dufresne, P., Goldstein, R.S. and Martin, J.S. (2001), ‘The determinants of credit spread changes’, Journal of Finance, Vol. 56, No. 6, pp. 2177-2207.
7. Dieckmann, S. and Plank, T. (2012), ‘Default risk of advanced economies: an empirical analysis of credit default swaps during the financial crisis’, Review of Finance, Vol. 16, No. 4, pp. 903-934.
8. Dovern, J., Meier, C.P. and Vilsmeier, J. (2010), ‘How resilient is the German banking system to macroeconomic shocks’, Journal of Banking & Finance, Vol. 34, No. 8, pp. 1839-1848.
9. Dungey, M. and Martin, V.L. (2007), ‘Unravelling financial market linkages during crises’, Journal of Applied Econometrics, Vol. 22, No. 1, pp. 89-119.
10. Eichengreen, B., Mody, A., Nedeljkovic, M. and Sarno, L. (2012), ‘How the subprime crisis went global: evidence from bank credit default swap spreads’, Journal of International Money and Finance, Vol. 31, No. 5, pp. 1299-1318.
11. Gorton, G. and Metrick, A. (2012), ‘Securitized banking and the run on repo’, Journal of Financial Economics, Vol. 104, No. 3, pp. 425-451.
12. Guo, F., Chen, C.R. and Huang, Y.S. (2011), ‘Markets contagion during financial crisis: a regime-switching approach, International Review of Economics & Finance, Vol. 20, No. 1, pp. 95-109.
13. Hertzel, M.G. and Officer, M.S. (2012), ‘Industry contagion in loan spreads’, Journal of Financial Economics, Vol. 103, No. 3, pp. 493-506.
14. Hilscher, J. and Nosbusch, Y. (2010), ‘Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt’, Review of Finance, Vol. 14, No. 2, pp. 235-262.
15. In, F., Cui, J. and Maharaj, E.A. (2012), ‘The impact of a new term auction facility on LIBOR-OIS spreads and volatility transmission between money and mortgage markets’, Journal of International Money and Finance, Vol. 31, No. 5, pp. 1106-1125.
16. Knaup, M. and Wagner, W. (2012), ’A market-based measure of credit quality and banks’ performance during the subprime crisis’, Management Science, Vol. 58, No. 8, pp. 1423-1437.
17. Li, M.Y.L. (2009), ‘Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets’, Applied Economics Letters, Vol. 16, No. 2, pp. 183-191.
18. Mistrulli, P.E. (2011), ‘Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns’, Journal Of Banking & Finance, Vol. 35, No. 5, pp. 1114-1127.
19. Scholtens, B. and Yurtsever, C. (2012), ‘Oil price shocks and European industries’, ENERGY ECONOMICS, Vol. 34, No. 4, pp. 1187-1195.
20. Sim, C.A.(1980), ‘Macroeconomics and reality’, Econometrica, Vol. 48, No. 1, pp. 1-48.
21. Tudor, C. (2011), ‘Changes in stock markets interdependencies as a result of the global financial crisis: empirical investigation on the CEE region’, Panoeconomicus, Vol. 58, No. 4, pp. 525-543.
22. Upper, C. (2011), ‘Simulation methods to assess the danger of contagion in interbank markets’, Journal of Financial Stability, Vol. 7, No. 3, pp. 111-125.
23. Vansteenkiste, I. and Hiebert, P. (2011), ‘Do house price developments spillover across euro area countries? Evidence from a global VAR’, Journal Of Housing Economics, Vol. 20, No. 4, pp. 200-314.		zh_TW