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    题名: 以階層式因子模型探討主權信用違約交換
    A hierarchical factor analysis of Sovereign CDS
    作者: 陳宗棋
    贡献者: 徐士勛
    陳宗棋
    关键词: 階層因子模型
    主成分分析
    主權信用違約交換
    變異數分解
    日期: 2016
    上传时间: 2016-07-01 15:23:41 (UTC+8)
    摘要: 本文應用階層式因子模型探討全球主權信用違約交換報酬率波動的來源, 我們使用 2008 – 2016 年全球 7 個區域 67 個國家的主權信用違約交換日資料做分析。 實證結果顯示: 全球主權信用違約交換報酬率的波動平均 20.9% 可由全球因子解釋; 平均 23.54% 可由區域因子解釋; 平均 55.56% 可由特徵成分解釋, 此顯示主權信用違約交換市場間存在一定程度的連動性。 另外,我們更透過遞迴估計法與滾動式窗估計法描繪主權信用違約交換報酬率波動來源的動態行為, 結果發現在歐債危機期間, 全球因子平均解釋比例有上升的趨勢, 顯示歐債危機可能影響全球主權信用違約交換市場。
    參考文獻: 徐詩涵 (1995), 歐洲主權債務危機及其蔓延: 以信用違約交換市場為例, 交通大學經營管理研究所學位論文.

    Alter, Adrian and Beyer, Andreas (2014), The dynamics of spillover effects during the European sovereign debt turmoil, Journal of Banking and Finance,42(1), 134–153.

    Bai, J. and S. Ng (2002), Determining the number of factors in approximate factor models, Econometrica, 70(1), 191–221.

    Bai, J. (2003), Inferential theory for factor models of large dimensions, Econometrica, 71(1), 135–172.

    Beck, Guenter W, Hubrich, Kirstin, and Marcellino, Massimiliano (2009), Regional inflation dynamics within and across euro area countries and a comparison with the United States, Economic Policy, (57), 143–184.

    Blanco, Roberto, Brennan, Simon, and Marsh, Ian W. (2005), An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps, Journal of Finance, 60(5), 1–277.

    Bostanci, Görkem and Yilmaz, Kamil(2015), How Connected is the Global Sovereign Credit Risk Network? (August 21, 2015).

    Breitung, Jrg and Eickmeier, Sandra(2016), Analyzing International Business and Financial Cycles using MultiLevel Factor Models: A Comparison of Alternative Approaches, Dynamic Factor Models (Advances in Econometrics), Volume 35, Emerald Group Publishing Limited, 177 - 214.

    C.Broto, G.Pérez-Quirós(2014),Disentangling contagion among sovereign CDS spreads during the European debt crisis, Journal of Empirical Finance, 32, 165–179.

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    Urban, Jrg (2013), Intraday Dynamics of Euro Area Sovereign CDS and Bonds, BIS Working Paper, No.423.

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    Kose, M. A., C. Otrok, and C. Whiteman (2003), International business cycles: World, region, and country-specific factors, American Economic Review, 93(4), 1216–1239.

    Norden, Lars and Weber, Martin (2009), The co-movement of credit default swap, bond and stock markets: An empirical analysis, European Financial Management, 15(3), 529–562.

    Stock, J. H., and Watson, M. W. (1999), Macroeconomic Forecasting Using Diffusion Indexes, Journal of Business and Economic statistics, 20(0), 147–162.

    Wang, P (2010), Large Dimensional Factor Models with a Multi-Level Factor Structure Identification, Estimation and Inference, Working paper.

    Zhang, Gaiyan (2009), Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Adverse Credit Events, International Review of Accounting, Banking and Finance, 1.

    Zhu, Haibin (2006), An empirical comparison of credit spreads between the bond market and the credit default swap market, Journal of Financial Services
    Research, 29(3), 211–235.
    描述: 碩士
    國立政治大學
    經濟學系
    103258002
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103258002
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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