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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/31023
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/31023


    Title: 投資等級債券信用價差外溢效果之研究-以Panel模型分析
    The Spillover Effect of Credit Spread on Investment Grade Bonds- The Panel Approach
    Authors: 林志彥
    Lin, Chih-Yen
    Contributors: 杜化宇
    Tu, Anthony H.
    林志彥
    Lin, Chih-Yen
    Keywords: 信用價差
    Panel 單根檢定
    Panel 共整合檢定
    Panel 外溢效果檢定
    Panel 完整調整最小平方法
    Panel 動態最小平方法
    Panel 向量誤差修正模型
    credit spread
    Panel Unit Root Tests
    Panel Cointegration Test
    Panel Spillover Effect Test
    Panel FMOLS
    Panel DOLS
    Panel VECM
    Date: 2004
    Issue Date: 2009-09-14 09:04:43 (UTC+8)
    Abstract: 本研究目的在於探討投資等級債券信用價差是否存在外溢效果。信用價差是建構各種信用衍生性金融商品的基礎,惟目前學術界及業界都著眼在信用價差的拆解。信用價差可拆解成預期違約損失、稅的溢酬及信用風險溢酬。投資等級債券的信用價差來自於預期違約損失、稅的溢酬的部分較少,絕大多數來自於信用風險溢酬。信用風險溢酬係系統性影響信用價差的因素,此因素造成不同投資等級債券的信用價差間具有共整合的現象,進而引發外溢效果。然而並無人對於信用價差外溢效果作一深入探討。本研究利用目前學術界盛行的Panel模型的研究方法,對各種投資等級的債券的信用價差進行Panel Unit Root Tests、Panel Cointegration Tests及Panel Spillover Effect Tests,以求發現債券信用價差外溢效果存在與否的證據。

    本文以iBoxx Index成份債券作為研究標的,利用Panel研究方法得到以下結論:
    1.根據研究結果顯示,各種信評等級的債券的信用價差存在單根問題。
    2.不同投資等級信評債券的信用價差擁有共整合關係。
    3.不同投資等級信用評等的債券間信用價差外溢效果存在。且愈是相 鄰信評等級債券的外溢效果愈為顯著,例如BBB等級信用價差發生變動引發信評AAA等級信用價差變動的幅度便沒有AA等級信用價差變動引發AAA等級信用價差變動來得強烈。外溢效果係不對稱,當最高投資等級信評發生變動時,最低投資等級債券變動最為激烈;而最低投資等級信評發生波動時,最高投資等級債券發生變動的幅度就較小。
    4.本研究支持不同債信評等的債券存在同向的外溢效果。
    This paper investigates the spillover effect in the investment grade bonds using the recently developed Panel Unit Root Tests, Panel Cointegrations Tests, Panel FMOLS and Panel DOLS techniques. Investment grade bonds’ credit spreads are found to be nonstationary and to be cointegrated in panels. This paper finds evidence of spillover effects.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    92357005
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923570051
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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