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標題: | 油價漲跌是否影響新興市場主權債利差 Does Oil price change have impact on emerging market sovereign bond spread or not? |
作者: | Shiang-Tsz Huang 黃相慈 |
指導教授: | 陳旭昇(Shiu-Sheng Chen) |
關鍵字: | 新興市場主權債利差,油價,SVAR模型,不對稱分析, Emerging market bond spread,Oil price,SVAR model,Asymmetric analysis, |
出版年 : | 2020 |
學位: | 碩士 |
摘要: | 本篇研究目的在於探討油價變動是否會推動新興市場主權債利差收斂或擴大。基於過去文獻普遍認為油價與新興市場債利差收斂與否並無關係,本文進行研究前,先將全球新興市場主權債劃分五大區域:拉丁美洲、中東、新興亞洲、非洲、新興歐洲,同時將油價變動原因劃分成原油供給、原油實際需求、原油投機性需求進行探討。研究方法主要以結構性向量自我迴歸 (Structure Vector Autoregressions;SVAR) 模型,同時將三種油價變動原因分成正負兩種衝擊進行不對稱分析。實證結果顯示,投機性需求下滑導致油價下跌對新興市場債利差影響性最為全面,程度高於實際需求以及原油供給,而且各新興市場主權債利差反映投機需求幅度頗為一致,每負投機性需求衝擊上升一單位時、實質油價下跌期間,此階段新興市場各區域債券利差均會擴大,且擴大幅度均在10至20bps左右水準。 The purpose of this study is to clarify whether changes in oil prices will cause tightening or widening of sovereign bond spreads in emerging markets. According to the past literature, it is generally believed that oil price and emerging market bond spreads are unrelated.So at the first begging, global emerging market sovereign debt is subdivided in to five regions: Latin America, Middle East, emerging Asia, Africa, emerging Europe so to uncover each one’s character. And secondly, the reasons of oil price change are also be classified by oil supply, real demand , and speculative demand. There will be different causes and effects.As for the method, this study mainly uses the Structural Vector Autoregressions (SVAR) model. At the same time, adopting asymmetric analysis for the three kinds of oil price changes.The empirical results show that the decline in speculative demand will leads to the most comprehensive impact on emerging market bond spreads, to a greater extent than real demand and oil supply. Also the results show a consistent response on speculative demand, that is, one more unit of negative speculative demand shock will cause each emerging market’s bond spreads widen 10 to 20 bps. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/66869 |
DOI: | 10.6342/NTU202000141 |
全文授權: | 有償授權 |
顯示於系所單位: | 經濟學系 |
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