政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49645

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49645

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/49645

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49645

Title:	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 Dynamic relation of credit default swap and bond credit spread on developed European sovereign bonds
Authors:	黃嘉東 Whang, Jia Tung
Contributors:	岳夢蘭 Yueh, Meng Lan 黃嘉東 Whang, Jia Tung
Keywords:	信用違約交換債券信用價差信用價差 VECM 價格發現歐洲已開發市場主權債券 CDS bond credit spread credit spread VECM price discovery developed European markets sovereign bond
Date:	2009
Issue Date:	2010-12-08 15:46:19 (UTC+8)
Abstract:	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。 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.
Reference:	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. Ammer, J., and F. Cai, 2008, “Sovereign CDS and Bond Pricing Dynamics in Emerging Markets Does the Cheapest-to-Deliver Option Matter”, Working Paper. 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. Boss, M., M. Scheicher, 2002, “The Determinants of Credit Spread Changes in the Euro Area“, BIS papers. Chan-Lau, Jorge A., and Yoon S. Kim, 2004, “Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets”, IMF Working Paper. Codogno, L., C. Favero, A. Missale, 2003, “Yield Spreads on EMU Government Bonds”, Economic Policy, Vol. 18, No. 37, Pages 503-532. 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. Duffie, D., 1999, “Credit Swap Valuation”, Financial Analysts Journal, Vol. 55, Pages 73-87. European Central Bank, 2004, “The Euro Bond Market Study”. Hull, J. C., and A. White, 2000, “Valuing Credit Default Swaps I: No Counterparty Default Risk”, Journal of Derivatives, Vol. 8, Pages 29-40. 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. 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. 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. Longstaff, F., J. Pan, L. Pedersen, and K. Singleton, 2008, “How Sovereign Is Sovereign Credit Risk?”, NBER Working Paper. McGuire, P., and M. A. Schrijvers, 2003, “Common Factors in Emerging Market Spreads”, BIS Quarterly Review, Pages 65-78, December. Packer, F., and C. Suthiphongchai, 2003, “Sovereign Credit Default Swaps”, BIS Quarterly Review, Pages 79-88, December. 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. Remolona, E. M., M. Scatigna, and E. Wu, 2007, “Interpreting Sovereign Spreads”, BIS Quarterly Review, Pages 27-39, March. Westphalen, M., 2002, “The Determinants of Sovereign Bond Credit Spreads Changes”, Working Paper. Wooldridge, P. D., 2001, “The Emergence of New Benchmark Yield Curves”, BIS Quarterly Review, Pages 48-57, December. Yue, V. Z., 2010, “Sovereign Default and Debt Renegotiation”, Journal of International Economics, Vol. 80, Issue 2, Pages 176-187. 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. Zinna, G., 2009, “Sovereign Default Risk Premia: Evidence from the Default Swap Market”, Working Paper. 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。
Description:	碩士國立政治大學財務管理研究所 97357018 98
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0097357018
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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