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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 洪茂蔚 | |
dc.contributor.author | Chien-Wei Wu | en |
dc.contributor.author | 吳建緯 | zh_TW |
dc.date.accessioned | 2021-06-15T01:56:54Z | - |
dc.date.available | 2011-07-14 | |
dc.date.copyright | 2009-07-14 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-06-26 | |
dc.identifier.citation | 中文文獻
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43438 | - |
dc.description.abstract | 本研究以國家信用違約交換(Sovereign Credit Default Swap)作為衡量一國信用風險的指標,探討次貸風暴對於各國信用市場與股票市場及外匯市場間之關聯性的影響。研究期間由2005年1月4日至2008年12月31日止,採用各市場的日資料,並劃分次貸風暴發生前與風暴發生期間二個階段,以研究次貸風暴對於市場間之關聯性是否有顯著的影響。研究國家包括美、日、南韓、巴西、俄羅斯、冰島與阿根廷等七國。所使用之實證方法為單根檢定、共整合檢定及Granger 因果關係檢定。
從共整合檢定結果可以發現,信用風險的確在次貸風暴中扮演重要的影響因素,信用市場與其他二市場之關聯性的確受次貸風暴影響而更為密切。從Granger 因果關係檢定可發現各市場間的領先落後關係在次貸風暴發生之後的確發生結構上的變化,各市場之間的互動關係均有顯著提升,顯示次級房貸風暴的確為各國各市場帶來了一致的系統性風險。由本研究可以發現,次貸風暴的確對各國信用市場、股票市場及外匯市場間之關聯性有顯著的影響。 | zh_TW |
dc.description.abstract | This thesis use sovereign credit default swap (sovereign CDS) as an index to measure the credit risk of a country to investigate whether the subprime crisis demonstrates a significant impact on the relationships between the credit market, the stock market, and the foreign exchange market in the target countries. The target countries include America, Japan, South Korea, Brazil, Russia, Iceland, and Argentina. This thesis uses daily data covering from January 2005 to December 2008 and separates these data into “pre-subprime crisis” and “during-subprime crisis.” This paper adopts unit root test, Cointegration test, Granger causality test to conduct the empirical analysis.
The result of Cointegration test shows that the credit risk is critical to the subprime crisis. In the period of the subprime crisis, the relationships between credit market and the other markets are stronger than the relationships in the period of “pre-subprime crisis.” The result of Granger causality test shows that the interaction between credit market, stock market, and foreign exchange market is significantly intense during the subprime crisis. The subprime crisis indeed brings systematic risk to these markets in these seven countries. In conclusion, the subprime crisis brings significant impact on the relationships between the credit market, the stock market, and the foreign exchange market in these seven countries. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T01:56:54Z (GMT). No. of bitstreams: 1 ntu-98-R96724037-1.pdf: 1131532 bytes, checksum: 35743770b12447f5b9af704b03b1b973 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 誌謝 ……………………………………………………………………I
中文摘要………………………………………………………………II 英文摘要 ……………………………………………………………III 目錄……………………………………………………………………IV 圖目錄…………………………………………………………………VI 表目錄 ………………………………………………………………VII 第一章 緒論 ………………………………………………………P. 1 第一節 研究動機……………………………………………P. 1 第二節 研究目的……………………………………………P. 3 第三節 研究架構……………………………………………P. 4 第二章 文獻探討 …………………………………………………P. 5 第一節 信用衍生性商品市場概述…………………………P. 5 第二節 信用違約交換………………………………………P. 7 第三節 國家信用違約交換…………………………………P.10 第四節 相關文獻探討………………………………………P.12 第三章 研究方法 …………………………………………………P.16 第一節 單根檢定……………………………………………P.17 第二節 共整合檢定…………………………………………P.19 第三節 Granger 因果關係檢定……………………………P.22 第四章 實證研究分析 ……………………………………………P.23 第一節 實證資料介紹………………………………………P.23 第二節 各國各市場介紹……………………………………P.25 第三節 單根檢定之實證結果………………………………P.33 第四節 Johansen 共整合檢定之實證結果 ………………P.37 第五節Granger因果關係檢定之實證結果 ………………P.43 第五章 結論與建議 ………………………………………………P.50 第一節 研究結論……………………………………………P.50 第二節 建議…………………………………………………P.53 參考文獻 …………………………………………………………P.54 | |
dc.language.iso | zh-TW | |
dc.title | 次級房貸風暴對於各國信用市場與股市及匯市間之關聯性的影響 | zh_TW |
dc.title | The Impact of Subprime Crisis on the Relationships between Credit Market, Stock Market, and Foreign Exchange Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳思寬,葉疏 | |
dc.subject.keyword | 次貸風暴,信用違約交換,信用市場,股票市場,外匯市場,共整合,Granger 因果關係, | zh_TW |
dc.subject.keyword | Subprime crisis,Credit Default Swap,Credit market,Stock Market,Foreign Exchange Market,Cointegration,Granger Causality, | en |
dc.relation.page | 57 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2009-06-26 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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