本文主要探究歐洲國家的信用風險,主要分析使基差偏離於 0 的因素,討論 加入國際性的因子是否更能解釋兩者悖離的情形,分別考慮沒納入國際性因子的 模型和納入後的模型,以判斷納入國際性因子後是否能顯著提升模型的解釋力。 研究結果證實納入後的模型的確對基差具有更好的解釋力。 另一方面,本研究將全樣本期間依照危機發生與否切割成不同樣本集合,重新檢驗後發現到在國際性金融危機時期,區域性因子解釋力顯著地下降,而國際性因子仍具良好解釋力。反過來亦同,在區域性風險時期,區域性因子解釋力仍良好,而國際性因子解釋力下降。故可推論區域性因子和國際性因子在不同規模的金融危機時期,其對信用風險的敏感度也不同。最後我們也利用鄒檢定去證實,重大危機發生的前後,的確有發生結構性改變,因此也能解釋為何不同因子會在不同危機時期有顯著的敏感度差異。
We study the credit risk among euro countries. We are interested in the factors which make basis deviate 0. We use the model with only local factors, and the model with both local and global factors, to analyze whether include the global factor could improve the explanation of basis or not. The result show that including global factors could significantly improve the model explanation. Besides, we divide our sample into 3 parts according to the subprime mortgage crisis and European debt crisis, we found that local factors lose influence during the period of subprime mortgage crisis, but still have good explanation during the period of European debt crisis. On the other hand, global factors lose influence during the period of European debt crisis, but still have good explanation during the period of subprime mortgage crisis, which could infer that local factors and global factors act differently in different type of crisis. In the last, we used Chow test and found that there are strong evidences show that each crisis changed the structure of credit risk. This result is in line with our previous finding that why local factors and global factors act differently during different period.