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標題: | 次級房貸風暴對於各國信用市場與股市及匯市間之關聯性的影響 The Impact of Subprime Crisis on the Relationships between Credit Market, Stock Market, and Foreign Exchange Market |
作者: | Chien-Wei Wu 吳建緯 |
指導教授: | 洪茂蔚 |
關鍵字: | 次貸風暴,信用違約交換,信用市場,股票市場,外匯市場,共整合,Granger 因果關係, Subprime crisis,Credit Default Swap,Credit market,Stock Market,Foreign Exchange Market,Cointegration,Granger Causality, |
出版年 : | 2009 |
學位: | 碩士 |
摘要: | 本研究以國家信用違約交換(Sovereign Credit Default Swap)作為衡量一國信用風險的指標,探討次貸風暴對於各國信用市場與股票市場及外匯市場間之關聯性的影響。研究期間由2005年1月4日至2008年12月31日止,採用各市場的日資料,並劃分次貸風暴發生前與風暴發生期間二個階段,以研究次貸風暴對於市場間之關聯性是否有顯著的影響。研究國家包括美、日、南韓、巴西、俄羅斯、冰島與阿根廷等七國。所使用之實證方法為單根檢定、共整合檢定及Granger 因果關係檢定。
從共整合檢定結果可以發現,信用風險的確在次貸風暴中扮演重要的影響因素,信用市場與其他二市場之關聯性的確受次貸風暴影響而更為密切。從Granger 因果關係檢定可發現各市場間的領先落後關係在次貸風暴發生之後的確發生結構上的變化,各市場之間的互動關係均有顯著提升,顯示次級房貸風暴的確為各國各市場帶來了一致的系統性風險。由本研究可以發現,次貸風暴的確對各國信用市場、股票市場及外匯市場間之關聯性有顯著的影響。 This thesis use sovereign credit default swap (sovereign CDS) as an index to measure the credit risk of a country to investigate whether the subprime crisis demonstrates a significant impact on the relationships between the credit market, the stock market, and the foreign exchange market in the target countries. The target countries include America, Japan, South Korea, Brazil, Russia, Iceland, and Argentina. This thesis uses daily data covering from January 2005 to December 2008 and separates these data into “pre-subprime crisis” and “during-subprime crisis.” This paper adopts unit root test, Cointegration test, Granger causality test to conduct the empirical analysis. The result of Cointegration test shows that the credit risk is critical to the subprime crisis. In the period of the subprime crisis, the relationships between credit market and the other markets are stronger than the relationships in the period of “pre-subprime crisis.” The result of Granger causality test shows that the interaction between credit market, stock market, and foreign exchange market is significantly intense during the subprime crisis. The subprime crisis indeed brings systematic risk to these markets in these seven countries. In conclusion, the subprime crisis brings significant impact on the relationships between the credit market, the stock market, and the foreign exchange market in these seven countries. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43438 |
全文授權: | 有償授權 |
顯示於系所單位: | 國際企業學系 |
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