主權信用違約風險之研究

Abstract

本文旨在探討影響主權信用評等和主權信用違約交換的因素，研究納入政府財政狀況、總體經濟因子以及政治風險等衡量指標。實證結果顯示經常帳盈餘、GDP成長率、國民所得、通貨膨脹率和政治風險因素都會對主權信用評等的結果產生影響，且經常帳盈餘、中央債務狀況和國民所得的影響力對已開發和開發中國家是不同的。至於主權信用違約交換價差，我們發現經常帳盈餘、國民所得、GDP成長率和通貨膨脹率具有顯著影響力，且通貨膨脹率對CDS價差的影響對已開發國家而言較低。

The purpose of this study is to examine the determinants of the sovereign credit ratings and the sovereign CDS spreads. We include government finance factors, macroeconomic factors and political risk indicator as explanatory variables. Results show that sovereign ratings are influenced by current account balance, growth rate of GDP, per capita income, inflation rate and political risk indicator. It is worth noting that the impacts caused by current account balance, government debt and per capita income on ratings are different from developed countries to developing ones. As for the CDS spreads, we find that current account balance, per capita income, growth rate of GDP and inflation rate have significant explanatory power, while the influence of inflation rate for developed countries, though significant, are relatively lower than developing countries.