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| Title: | 量化寬鬆對信用風險的影響-以歐豬五國為例
The impact of quantitative easing on credit risk in the Eurozone-take PIIGS for example |
| Authors: | 林顥峰
Lin, Hao Feng |
| Contributors: | 岳夢蘭
Yueh, Meng Lan
林顥峰
Lin, Hao Feng |
| Keywords: | 信用違約交換
貨幣政策
量化寬鬆
歐洲央行
歐債危機
事件研究法
CDS
Monetary Policy
Quantitative Easing
ECB
European Sovereign debt crisis
Event Study |
| Date: | 2016 |
| Issue Date: | 2016-08-02 15:59:52 (UTC+8) |
| Abstract: | 本研究以事件研究法的方式，研究歐洲央行宣布量化寬鬆（Quantitative Easing, QE）對歐豬五國信用風險的影響，本研究以各國主權信用違約交換的超額報酬顯著性衡量量化寬鬆政策對信用風險的影響。
研究結果為多數的QE政策宣告對歐豬五國信用風險的影響在事件期中有正向有負向，且時常交錯分布，未有一固定的模式，故無法得到一個明確的結論。
This paper examines the impact of the ECB’s (European Central Bank) quantitative easing program on the credit risk of PIIGS. In this case, we used each underlying countries’ excess return of their sovereign CDSs to identify if their credit risks are decreased significantly.
Our finding was that most QE announcements by the ECB had multiple impacts on the credit risk of PIIGS. They had both positive and negative impacts. Also, the patterns were not the same, so we do not have a clear conclusion on whether the QE policies are good or bad for the credit risk of PIIGS. |
| Reference: | [1] Albu, L. L., Lupu, R., Călin, A. C., & Popovici, O. C. (2014). The Effect of ECB`s Quantitative Easing on Credit Default Swap Instruments in Central and Eastern Europe. Procedia Economics and Finance, 8, 122-128.
[2] Otani, A., Shiratsuka, S., Tsurui, R., & Yamada, T. (2009). Macro stress-testing on the loan portfolio of Japanese banks (No. 09-E-1). Bank of Japan.
[3] Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31.
[4] d’Amico, S., English, W., López‐Salido, D., & Nelson, E. (2012). The Federal Reserve`s Large‐scale Asset Purchase Programmes: Rationale and Effects. The Economic Journal, 122(564), F415-F446.
[5] Doh, T. (2010). The efficacy of large-scale asset purchases at the zero lower bound. Economic Review-Federal Reserve Bank of Kansas City, 95(2), 5.
[6] Fawley, B. W., & Neely, C. J. (2013). Four stories of quantitative easing. Review, 95.
[7] Folus, D., & Collin, C. (2016). Do Cat Bonds Bring Value to the Insurance Firm`s Shareholders? An Event Study Analysis. An Event Study Analysis (June 2, 2016).
[8] Joyce, M., Lasaosa, A., Stevens, I., & Tong, M. (2011). The financial market impact of quantitative easing in the United Kingdom. International Journal of Central Banking, 7(3), 113-161.
[9] Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: channels and implications for policy (No. w17555). National Bureau of Economic Research.
[10] 沈中華、李建然，（2000）。事件研究法。臺北市：華泰文化事業股份有限公司。
[11] 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變化影響因子。國立政治大學，財務管理學系，臺北市。
[12] 巫念潔、李漢星，（2015）。投資者情緒及市場對聯準會量化寬鬆貨幣政策反應之探討。國立交通大學，財務金融研究所，新竹市。
[13] 何殷如，（2012）。全面解讀信用違約交換（CDS）。金融監督管理委員會，證券暨期貨月刊，第三十卷，第十一期，p.42-48。
[14] 黃郁茜，（2014）。量化寬鬆對銀行放款的影響。國立中興大學，財務金融系所，臺中市。
[15] 楊巧旋、吳采妮，你真的懂歐債危機嗎？Bloomberg動畫帶你了解歐元區的前世今生，104年07月14日，檢自：http://www.thenewslens.com/article/20013
[16] 劉家琪，（2016）。考慮美國量化寬鬆貨幣政策下五國股市之關聯性研究。嶺東科技大學，財經法律研究所，臺中市。 |
| Description: | 碩士
國立政治大學
財務管理研究所
103357026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103357026 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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