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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
| dc.contributor.author | Kuan-Jui Lin | en |
| dc.contributor.author | 林冠睿 | zh_TW |
| dc.date.accessioned | 2023-03-19T22:06:29Z | - |
| dc.date.copyright | 2022-07-27 | |
| dc.date.issued | 2022 | |
| dc.date.submitted | 2022-06-28 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/84217 | - |
| dc.description.abstract | 自2020年2月起，世界各國為避免COVID-19疫情擴散，實行各種社交、生產行為的限制政策，因此導致全球產能下跌，造成大幅的經濟衰退，是以各國央行紛紛祭出各項貨幣政策與融通機制。本文針對美國聯準會在2020年3月23號宣告實行的Secondary Market Corporate Credit Facility (SMCCF) 融通工具進行分析，以DID模型估計該項融通工具對債券市場以及企業營運方面的影響。結果顯示SMCCF政策的宣告即導致債券殖利率上升、債券收益率下降，而政策的實際執行與退場對於債券市場皆有所影響，並且在研究中發現，在面臨金融市場的不確定性時，市場參與者確實會傾向保持流動性或是偏好高品質資產。 | zh_TW |
| dc.description.abstract | Since February 2020, governments implemented quarantine policies. The restriction caused the decrease in production capacity and resulted in the economy recession. Therefore, central banks around the world implemented lots of monetary policies and financing facilities. This paper focuses on one of the FED’s financing facilities, the Secondary Market Corporate Credit Facility (SMCCF). It bought the high credit rating and short maturity bonds, and tried to provide some liquidity to the market. In this paper, we used difference-in-differences model to estimate the impact of the implementation of the SMCCF on the bond market and corporate operations. The results show that the announcement of the SMCCF policy leads to an increase in bond yields and a decrease in bond returns. The actual purchase and the wind-down of the SMCCF have an impact on the bond market. In the study, we found that when facing the uncertainty of the financial market, the participants of the market will tend to remain the liquidity or prefer the high-quality assets. | en |
| dc.description.provenance | Made available in DSpace on 2023-03-19T22:06:29Z (GMT). No. of bitstreams: 1 U0001-2606202212494500.pdf: 2143129 bytes, checksum: 8ff6a8a0e43c748e7e7a22068461f0f8 (MD5) Previous issue date: 2022 | en |
| dc.description.tableofcontents | 論文審定書 i 致謝 ii 中文摘要 iii Abstract iv 目錄 v 表目錄 vii 圖目錄 ix 第一章 緒論 1 1.1研究動機 1 1.2研究目標 4 1.3 研究架構 5 第二章 文獻回顧 6 2.1 研究方法 6 2.2 COVID-19對美國經濟影響與聯準會政策 6 2.3 SMCCF對債券市場與企業財務影響 7 2.4 研究方向 9 第三章 資料來源與研究方法 11 3.1 債券資料 11 3.2 企業財務資料 13 3.3 研究方法與實證模型 15 3.3.1 DID模型 16 3.3.2 LM Test 17 3.3.3 Hausman Test 18 第四章 公司債券實證結果 19 4.1 SMCCF宣告效果 20 4.1.1 政策效果 v.s. Flight-to-quality之宣告效果 20 4.1.2 到期日五年內投資級債券 v.s. 到期日五年外投資級債券之宣告效果 21 4.2 SMCCF實際購買效果 22 4.2.1 政策效果v.s. Flight-to-quality之實際購買效果 23 4.2.2 到期日五年內投資級債券 v.s. 到期日五年外投資級債券之實際購買效果 25 4.3 SMCCF退場效果 26 4.3.1 政策效果 v.s. Flight-to-quality之退場效果 26 4.3.2 到期日五年內投資級債券 v.s. 到期日五年外投資級債券之退場效果 28 第五章 企業財務實證結果 31 5.1 企業償債能力之實行效果 32 5.2 企業償債能力之退場效果 33 第六章 穩健性測試 35 6.1 債券市場之穩健性測試 35 6.2 企業營運之穩健性測試 36 第七章 結論與建議 37 7.1 研究結論 37 7.2 政策建議 38 7.3 未來研究建議 38 參考文獻 40 附錄 43 | |
| dc.language.iso | zh-TW | |
| dc.subject | 次級市場企業信用融通機制 | zh_TW |
| dc.subject | 逃向品質 | zh_TW |
| dc.subject | 債券市場 | zh_TW |
| dc.subject | 差異中的差異法 | zh_TW |
| dc.subject | 聯準會 | zh_TW |
| dc.subject | Fed | en |
| dc.subject | Flight-to-quality | en |
| dc.subject | Difference-in-Differences | en |
| dc.subject | Bond Market | en |
| dc.subject | SMCCF | en |
| dc.title | 以DID計量方法分析: 聯準會對公司債市場政策之影響 | zh_TW |
| dc.title | Effect's of Fed's Secondary Market Corporate Credit Facility Using DID Approach | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 110-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 周冠男(Kuan-Nan Chou),陳元保(Yen-pao Chen),廖仁哲(Jen-Che Liao) | |
| dc.subject.keyword | 差異中的差異法,聯準會,債券市場,逃向品質,次級市場企業信用融通機制, | zh_TW |
| dc.subject.keyword | Difference-in-Differences,Fed,Bond Market,Flight-to-quality,SMCCF, | en |
| dc.relation.page | 52 | |
| dc.identifier.doi | 10.6342/NTU202201120 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2022-06-30 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| dc.date.embargo-lift | 2022-07-27 | - |
| 顯示於系所單位： | 經濟學系 | |
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