歐元區公債市場的國際聯繫與歐洲主權債信危機之成因

Abstract

本文主要在探討歐元區公債市場的國際聯繫與2008年至2010年間歐洲主權債信危機之成因。 首先，本文採用來自歐元區及非歐元區公債市場自1999年至2010年10月間之短期及長期利率，以Toda 和 Yamamoto(1995)所發展非線性Granger因果關係檢定法，檢驗各國利率變動之因果關係。實證結果發現，短期利率在國際聯繫上扮演重要的角色，貨幣主管機關係透過短期利率以達成特定的政策目標。至於長期利率則以美國為世界之領導地位，歐元區公債市場的利率變動主要受地區而非國際因素所影響。 此外，本文檢驗2008年至2010間之歐洲主權債信危機發現長期利率的利差主要來自信用風險，且具有統計上顯著。綜上，歐洲債券市場尚非完全整合。

Abstract The main objective of this paper is to examine the international linkages of the government bond market in the euro area as well as the driving forces behind the European sovereign debt crisis during the period from 2008 to 2010. First of all, short- and long-term government bond interest rates in the euro area countries are used to investigate the causal relationships based on the straightforward Granger non-causality procedure developed by Toda and Yamamoto (1995) from 1999, the beginning of the implementation of Monetary Union, to October 2010. Our empirical results suggest that international linkages in short-term rates play a vital role and, where the monetary authority has a specific target, the policy objective will be achieved via a short-term rate. As for the long-term rate, the US has been the dominant player in setting world interest rates as a tool, and the results indicate that it is domestic rather than international risk factors that affect bond yield rates among euro area countries. Second, credit risk is presented as an adequate explanation of and also the driving force behind disentangling the cross-country dispersion of long-term yield spreads during the European sovereign debt crisis over the period from 2008 to 2010. The empirical evidence shows that euro area bond markets are partially integrated since their differences in credit risk still exist.