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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 李顯峰(Hsien-Feng Lee) | |
dc.contributor.author | Jhih-Chao Cuei | en |
dc.contributor.author | 崔智超 | zh_TW |
dc.date.accessioned | 2021-06-16T16:09:12Z | - |
dc.date.available | 2018-04-22 | |
dc.date.copyright | 2013-04-22 | |
dc.date.issued | 2013 | |
dc.date.submitted | 2013-04-18 | |
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Altman, Edward I, & Rijken, Herbert A. (2006). A point-in-time perspective on through-the-cycle ratings. Financial Analysts Journal, 54-70. Arezki, Rabah, Candelon, Bertrand, & Sy, Amadou. (2011). Sovereign rating news and financial markets spillovers: Evidence from the European debt crisis. IMF Working Papers, 1-27. Boot, Arnoud WA, Milbourn, Todd T, & Schmeits, Anjolein. (2006). Credit ratings as coordination mechanisms. Review of Financial Studies, 19(1), 81-118. Cheng, Mei, & Neamtiu, Monica. (2009). An empirical analysis of changes in credit rating properties: Timeliness, accuracy and volatility. Journal of Accounting and Economics, 47(1), 108-130. Coval, Joshua, Jurek, Jakub, & Stafford, Erik. (2009). The economics of structured finance. The Journal of Economic Perspectives, 3-26. Creighton, Adam, Gower, Luke, & Richards, Anthony J. (2007). The impact of rating changes in Australian financial markets. Pacific-Basin Finance Journal, 15(1), 1-17. Ehrmann, Michael, Fratzscher, Marcel, & Rigobon, Roberto. (2005). Stocks, bonds, money markets and exchange rates: measuring international financial transmission: National Bureau of Economic Research. Gartner, Manfred, & Griesbach, Bjorn. (2012). Rating agencies, self-fulfilling prophecy and multiple equilibria?: An empirical model of the European sovereign debt crisis 2009-2011: University of St. Gallen, School of Economics and Political Science. Gartner, Manfred, Griesbach, Bjorn, & Jung, Florian. (2011). PIGS or lambs? The European sovereign debt crisis and the role of rating agencies. International Advances in Economic Research, 17(3), 288-299. Gande, Amar, & Parsley, David C. (2005). News spillovers in the sovereign debt market. Journal of Financial Economics, 75(3), 691-734. Hausman, Jerry A. (1978). Specification tests in econometrics. Econometrica: Journal of the Econometric Society, volume 1251-1271. Ismailescu, Iuliana, & Kazemi, Hossein. (2010). The reaction of emerging market credit default swap spreads to sovereign credit rating changes. Journal of Banking & Finance, 34(12), 2861-2873. Kaminsky, Graciela, & Schmukler, Sergio L. (2002). Emerging market instability: do sovereign ratings affect country risk and stock returns? The World Bank Economic Review, 16(2), 171-195. Khalid, Ahmed M, & Kawai, Masahiro. (2003). Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model. Journal of Asian Economics, 14(1), 131-156. Kiff, John, Nowak, Sylwia Barbara, & Schumacher, Liliana. (2012). Are Rating Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings International Monetary Fund. Kodres, Laura E, & Pritsker, Matthew. (2002). A rational expectations model of financial contagion. The Journal of Finance, 57(2), 769-799. Kuhner, Christoph. (2001). Financial rating agencies: Are they credible?-insights into the reporting incentives of rating agencies in times of enhanced risk. Insights into the Reporting Incentives of Rating Agencies in Times of Enhanced Risk. Schmalenbach Business Review, 53. Langohr, Herwig, & Langohr, Patricia. (2010). The Rating Agencies and their Credit Ratings: What they are, how they work, and why they are relevant (Vol. 510): Wiley. Lucas, Robert E. (1988). On the mechanics of economic development. Journal of Monetary Economics, 22(1), 3-42. MacKinlay, A Craig. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39. Mayer, Christopher, Pence, Karen, & Sherlund, Shane M. (2009). The rise in mortgage defaults. Journal of Economic Perspectives, 23(1), 27-50. Millon, Marcia H, & Thakor, Anjan V. (2012). Moral hazard and information sharing: A model of financial information gathering agencies. The Journal of Finance, 40(5), 1403-1422. Mora, Nada. (2006). Sovereign credit ratings: guilty beyond reasonable doubt? Journal of Banking & Finance, 30(7), 2041-2062. Norden, Lars. (2008). Credit derivatives, corporate news, and credit ratings. Mannheim, Department of Banking and Finance, University of Mannheim.–May, 28. Park, Yung Chul, & Song, Chi-Young. (2000). Financial contagion in the East Asian crisis. Korea University working paper. Reinhart, Carmen M. (2002). Default, currency crises and sovereign credit ratings: National Bureau of Economic Research. Reisen, Helmut, & Von Maltzan, Julia. (2002). Boom and bust and sovereign ratings. International Finance, 2(2), 273-293. Sinclair, Timothy J. (2005). The new masters of capital: American bond rating agencies and the politics of creditworthiness: Cornell University Press. Sy, Amadou NR. (2009). The Systemic Regulation of Credit Rating Agencies and Rated Markets. IMF Working Papers, 9129(200), 1-36. Wu, De-Min. (1973). Alternative tests of independence between stochastic regressors and disturbances. Econometrica: journal of the Econometric Society, volume 733-750. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62745 | - |
dc.description.abstract | 本篇文章檢驗一些人對於信評機構的負面看法,他們認為信評機構對歐洲國家過度降評,加深了歐洲主權債務危機。過去穩定且較少改變的信用評等記錄引起我重新思考信評機構的本質,或許信用評等並非加深景氣循環的波動而是反映經濟的實質情況。為了驗證我的猜想,不同於過去許多文獻主要探討人們即時的反應,那些反映表現在如股票市場或債券市場的波動,我仔細檢驗信用評等與一些特別指標的關係,特別的指標是以對經濟表現有長期影響的因素為主,如耐久財消費。我採用了一般跨國、跨時間的迴歸工具,分析各個不同市場的波動。結果顯示信用評等與影響長期經濟的因素關係非常微弱,也因此信用評等加深景氣循環的看法是不具說服力的。 | zh_TW |
dc.description.abstract | This paper questions the view that credit rating agencies aggravated the European sovereign debt crisis by excessively downgrading those countries. Persistent, sticky patents of rating performance provides us with an idea that rating announcements did not deepen the business cycle but only reflected real conditions. To justify my argument, different to those previous literatures mainly focusing on fluctuations of individuals’ immediate reactions, like changes in bond or equity markets, I scrutinize the relations between rating announcements and the potential factors dominating long term economic performance, such as the sales of durable goods. I conduct a general analysis on panel data and analyze variations in various markets. The results show that the relations are very weak and, therefore, it is questionable that ratings exacerbate the boom-bust cycle. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T16:09:12Z (GMT). No. of bitstreams: 1 ntu-102-R00323058-1.pdf: 362323 bytes, checksum: d110fe504f112880267e56278370be45 (MD5) Previous issue date: 2013 | en |
dc.description.tableofcontents | 口試委員審定書...........................i
摘要...................................ii Abstract..............................iii Contents..............................iv List of Tables........................v List of Figures.......................vi I. Introduction..................1 II. Related Literature............10 III. Theoretical Background........14 IV. The Data......................17 V. Methodology...................25 VI. Results.......................32 VII. Robustness and Extensions.....37 VIII. Conclusion....................39 References............................42 | |
dc.language.iso | en | |
dc.title | 主權信用評等與歐洲經濟 | zh_TW |
dc.title | Sovereign Credit Ratings and the European Economy | en |
dc.type | Thesis | |
dc.date.schoolyear | 101-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 謝德宗(Der-tzon Hsieh),黃淑惠(Shwu-Huei Huang) | |
dc.subject.keyword | 債務危機,信評機構,信用評等,歐洲,縱橫資料, | zh_TW |
dc.subject.keyword | Debt Crisis,Rating Agency,Credit Rating,Europe,Panel Data, | en |
dc.relation.page | 45 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2013-04-19 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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