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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 蘇軒立 | zh_TW |
| dc.contributor.advisor | Hsuan-Li Su | en |
| dc.contributor.author | 洪瑋謙 | zh_TW |
| dc.contributor.author | Wei-Chien Hung | en |
| dc.date.accessioned | 2024-07-03T16:07:46Z | - |
| dc.date.available | 2024-07-04 | - |
| dc.date.copyright | 2024-07-03 | - |
| dc.date.issued | 2024 | - |
| dc.date.submitted | 2024-06-27 | - |
| dc.identifier.citation | Abrigo, M. R. M., & Love, I. (2016). Estimation of Panel Vector Autoregression in STATA. The Stata Journal, Promoting Communications on Statistics and Stata, 16(3), 778.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/92888 | - |
| dc.description.abstract | 這篇論文探討了美元走強對新興市場（EM）美元計價主權債券利差的影響，這在全球投資者中常被視為衡量債券價格和相對估值的重要指標。具體而言，本文分析了美元、總體因素以及財政狀況如何影響新興市場國家風險，而國家風險通常由主權債券利差衡量。利用2009年3月至2023年6月的季度數據，我們採用了結構式VAR，以區分對新興市場美元計價主權債券利差的直接和間接影響。結果顯示：（1）美元震盪對擴大新興市場美元計價主權債券利差（即對債券價格的負面影響）具有統計和經濟上的顯著影響；（2）與以固定匯率或以非通膨目標政策的國家相比，具有更多匯率彈性或有設定通膨目標的國家在其美元主權債券上對美元震盪的負面影響具有更強的抵抗力。 | zh_TW |
| dc.description.abstract | Global investors often utilize U.S. dollar (USD)-denominated sovereign bond spreads as an indicator to measure bond price and conduct relative valuation. Hence, this study investigates whether the strengthening of the USD has a crucial impact on emerging market (EM) USD-denominated sovereign bond spreads. Specifically, we analyzed how USD, macro factors and individual countries’ fiscal condition influence EM country risk, which is measured by sovereign bond spreads. We apply the structure vector autoregression (SVAR) model0F to disentangle the direct and indirect influences on EM USD-denominated sovereign bond spreads using quarterly data for 15 emerging markets from Mar 2009 to Jun 2023. Results indicated that (1) USD shock has statistically and economically significantly impacts to widen EM USD-denominated sovereign bond spreads (i.e., negative impact toward bond prices); (2) countries with more exchange rate flexibility or inflation-targeting framework have more resistance against the negative impact of USD shock on their USD sovereign bonds compared with those having a fixed exchange rate or non-inflation-targeting policy do. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2024-07-03T16:07:46Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2024-07-03T16:07:46Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | Acknowledgments (謝辭) I
Chinese Abstract (摘要) II Abstract III List of Figures V List of Tables VII 1. Introduction 1 1.1 Background and Purpose 1 1.2 Literature Review 5 2. Econometric Framework 8 2.1 Structural Vector Autoregression (SVAR) 8 2.2 Panel VAR and the Regime Classification 9 2.3 Order of Variables 11 3. Data 13 4. Empirical Results 15 4.1 Impulse Responses of EM USD-Denominated Sovereign Bond Spreads to USD Shock 15 4.2 Impulse Responses of EM USD-Denominated Sovereign Bond Spreads to USD Shock by Policy Regime 18 5. Conclusions 21 6. Appendix 22 7. References 27 | - |
| dc.language.iso | en | - |
| dc.subject | 新興市場 | zh_TW |
| dc.subject | 主權債券利差 | zh_TW |
| dc.subject | 總體經濟基本面 | zh_TW |
| dc.subject | 償付能力 | zh_TW |
| dc.subject | 結構式VAR | zh_TW |
| dc.subject | 面板VAR | zh_TW |
| dc.subject | macroeconomic fundamentals | en |
| dc.subject | emerging market | en |
| dc.subject | panel VAR | en |
| dc.subject | structural VAR | en |
| dc.subject | solvency | en |
| dc.subject | sovereign bond spread | en |
| dc.title | 強勢美元是否會對新興市場美元計價主權債券利差造成影響? | zh_TW |
| dc.title | Does Strong USD Affect Emerging Market USD-Denominated Sovereign Bond Spreads? | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 112-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 吳愷頡;蔡宜展 | zh_TW |
| dc.contributor.oralexamcommittee | Kai-Jie Wu;Yi-Chan Tsai | en |
| dc.subject.keyword | 新興市場,主權債券利差,總體經濟基本面,償付能力,結構式VAR,面板VAR, | zh_TW |
| dc.subject.keyword | emerging market,sovereign bond spread,macroeconomic fundamentals,solvency,structural VAR,panel VAR, | en |
| dc.relation.page | 28 | - |
| dc.identifier.doi | 10.6342/NTU202401314 | - |
| dc.rights.note | 同意授權(全球公開) | - |
| dc.date.accepted | 2024-06-27 | - |
| dc.contributor.author-college | 社會科學院 | - |
| dc.contributor.author-dept | 經濟學系 | - |
| 顯示於系所單位： | 經濟學系 | |
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