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| Title: | 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 |
| Authors: | 楊少幃
Yang, Shao-Wei |
| Contributors: | 林朕陞
洪福聲
Lin, Chen-Sheng
Hung, Fu-Sheng
楊少幃
Yang, Shao-Wei |
| Keywords: | 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 |
| Date: | 2024 |
| Issue Date: | 2024-08-05 13:37:55 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
經濟學系
111258030 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111258030 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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