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| Title: | 整體信用違約交換之衡量：輔以自然語言分析新聞文本及FOMC會議情緒
Explaining Aggregate Credit Default Swap Spreads with News and FOMC Meetings Sentiment Based on Natural Language Analysis |
| Authors: | 張辰煜
Chang, Chen-Yu |
| Contributors: | 江彌修
Chiang, Mi-Hsiu
張辰煜
Chang, Chen-Yu |
| Keywords: | 信用違約交換
CDX
BERT
FOMC
新聞情緒
金融危機
新冠肺炎
CDS
CDX
BERT
FOMC
News sentiment
Financial crisis
COVID-19 |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:46:31 (UTC+8) |
| Abstract: | 本研究以5年期北美投資等級信用違約交換指數利差變化作為主體，嘗試以BERT模型對財金文本進行領域遷移，分析FOMC政策聲明、會議記錄與不同頻率之新聞情緒，結合傳統模型的因子及債券利差、通膨等總體市場數據作為模型變數，並且切分次貸風暴與新冠肺炎期間，試圖更加全面地理解信用市場的機制。
根據一般迴歸與分量迴歸的實證結果，發現利差的影響因子會隨著時段變化且敏感性差異巨大，結構模型的變數仍為利差變化的主導因子，又以S&P 500報酬率最為重要，且在市場動盪時具不對稱性。關於市場相關變數，於聯準會貨幣政策大幅激進的時段，美債利率與長短債利差可能產生不同於預期之正向影響，代理流動性的買賣價差在利差大幅緊縮或放寬時呈現非線性之結構，通膨方面的變數也顯示符合預期的正向影響。再者，FOMC會議記錄的情緒相較於政策聲明對解釋利差更具有貢獻性，短期的新聞情緒會有激勵信用市場的作用，但長期而言，FOMC與新聞情緒皆反應出較落後的訊息將會惡化信用市場，呈現正向的影響。最後，根據向量自我迴歸模型的結果來分析信用市場與股票市場之間的領先落後關係，可於金融危機前與疫情間觀察到相互的領先落後關係，而金融危機前信用市場資訊流進股票市場較為快速。並可於金融危機與金融危機後觀察到股票市場領先信用市場的情況，而金融危機後的領先速度又快於金融危機時。此結果顯示總體利差變化的確為股票市場的投資者提供了一定的訊息，或許也包含了關於金融系統性風險的相關衡量。
We examine risk factors that explain daily changes in CDX.NA.IG.5Y spreads before, during and after the 2007–2009 financial crisis and COVID-19 pandemic. We apply BERT model performing domain adaption for financial corpus to analyze the sentiment of FOMC statements, minutes, and news at different frequencies. Then, combine factors from traditional model and macroeconomic data as variables, aiming to gain a more comprehensive understanding of the mechanisms of the credit market.
Based on the empirical results of OLS and quantile regression, the determinants of CDX spreads are varying through time and factor sensitivities changes significantly. Spread changes are mainly determined by structural model factors especially S&P 500 return. Regarding market variables, US bond yields and yield spreads have unexpected positive influence during periods of aggressive monetary policy by FED. Liquidity proxy variable shows some nonlinearities when the spread largely tightens or widens and factors about inflation possess positive effect as expected. Furthermore, the sentiment of FOMC minutes contributes more to explaining the spread than statements. Short-term news sentiment stimulates the credit market, but in the long term, both FOMC and news sentiment reflect that lagged information worsens the credit market, showing a positive effect.
Finally, we examine the lead–lag relationship between spread changes and stock returns through VAR model. Stock market returns lead spread changes during and after the crisis period, while a bidirectional relationship emerges before the crisis period and during the pandemic. This suggests that aggregate spread changes are actually informative for equity market participants, possibly measuring systemic risk. |
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| Description: | 碩士
國立政治大學
金融學系
110352010 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110352010 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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