美、日、台主要汽車公司之跨國信用傳染效果

2005年10月，從通用汽車獨立出來之零件大廠Delphi申請破產保護，由於汽車產業是一國際性分工之產業，此一事件導致美國、日本、台灣的汽車公司產生程度不等的變化。本研究即以此事件為個案，以「漸進式單一風險因子(ASRF)」的結構模型為基礎，利用2005年至2006年期間之資產報酬率及股價指數資料，運用迴歸方法分析美、日、台三國共6家汽車公司間之跨國信用傳染效果。研究結果顯示，通用汽車對於台灣的和泰、裕隆汽車，與日本的豐田、日產汽車公司所帶來的，其實是競爭效果，而非信用傳染效果。而就日本汽車公司而言，TOPIX股價指數及國內同業競爭對手是對資產報酬率具有支配性影響力的兩個重要因素，這表示其國內同業間存在十分顯著的信用傳染效果。至於台灣的汽車公司，違約相關性主要受到公司本身競爭策略之影響，因此，策略聯盟夥伴之影響會較國內同業對手來得深。

關鍵字

信用傳染；結構模型；資產相關係數；漸進式單一風險因子模型；違約相關性

並列摘要

In October 2005, Delphi, a spin-off of General Motor Corp., filed for bankruptcy. Since automobile industry was an internationalized industry, this event affected the automobile companies not only in the U.S., but also in Japan and Taiwan. Based on this event, this study used asset returns and stock index data from 2005 to 2006 to analyze the cross-country credit contagion effects among the six automobile companies in the U.S., Japan, or Taiwan, by employing the regression model developed from the Asymptotic Single Risk Factor (ASRF) credit structural model. The results showed that General Motor Corp. actually brought to Japan's (Toyota and Nissan) and Taiwan's (Hotai and Yulon) automobile companies the competition effect, instead of contagion effect. As for Japanese automobile companies, the fact that TOPIX and their home country competitors would have predominant influences on their asset returns meant there were significant credit contagion effects among Japanese automobile companies. On the contrary, the default correlations of Taiwanese automobile companies were mainly resulted from their competitive strategies, and thus, the strategic alliance partners would be more influential than the other Taiwanese competitors.