主權信用評等與主權信用違約交換長期是否會收斂？

Abstract

本研究詴圖找出主權信用評等與主權信用違約交換在短期的動態調整過程與長期的均衡關係，並探討主權信用違約交換與主權信用評等是否可以成為雙報價指標，提供投資人更完整的投資決策。 本研究之研究樣本共有31 個國家，以標準普爾所公布的主權信用評等與彭博所提供的主權信用違約價差的月資料為兩個研究變數。實證分析模型中首先利用傳統迴歸模型求出誤差項，再以殘差項建構誤差修正模型。 除了以全體國家樣本進行實證研究之外，本研究還將全體樣本國家以地理區域劃分成中南美洲、歐洲、亞洲與非洲四大區域，探討區域特性是否會影響兩變數之間的互動關係；也以經濟發展程度作為考量因素，將樣本分成已開發與開發中國家作實證分析。另外還將以單一國家為單位，再次進行實證研究。 實證結果發現，不論是以主權信用違約交換或主權信用評等作為被解釋變數，兩者長期確實會收斂均衡，誤差修正項對於被解釋變數都有顯著負向結果。在落後期變數方面，落後兩期之主權信用評等與落後一期之主權信用違約交換對於被解釋變數之影響較為顯著。由以上實證結果可知，主權信用違約交換與主權信用評等確實對於同一標的資產的信用風險可以有相同的結論，成為雙報價指標。

The purpose of this study is to identify the dynamic adjustment process in the short term and the long-term equilibrium relationship between sovereign credit rating and sovereign credit default swap. The total samples are 31 countries, and the variables are sovereign credit rating, published by Standard & Poor's, and monthly sovereign credit default swap spread collected from Bloomberg. In this study, Error Correction Model (ECM) is developed to find out the relationship. The residual of OLS model is used to establish the ECM model. The sample of all countries will be divided to different geographical groups to analyze whether the regional characteristics would affect the interaction between the two variables. Furthermore, the degree of economic development is also a consideration factor to divide the sample. Every country will also be a single unit to do the empirical study. The empirical results show that no matter the sovereign credit default swap or the sovereign credit rating is interpreted as the dependent variable, in the long-term these two variables will be converged. The error-correction parameters have significant negative effect on defendant variables.