國家主權評等與主權信用違約交換

Forecasting Sovereign Credit Ratings by Sovereign Credit Default Swap

鄭行甫(Hang-Fu Cheng)

指導教授 ： 沈中華

國立臺灣大學/管理學院/財務金融學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.02668

摘要

在金融海嘯與希臘信貸危機中，我們不斷發現公債信用違約交換與總體經濟數據領先國家主權評等變化之現象。因此，本研究藉由檢視前期公債信用違約交換與前期總體經濟數據與本期國家主權評等之關係，希望能提高預測國家風險之能力。在實證中，我們發現前期公債信用違約交換價格越高、前期GDP成長率越低、前期CPI越高、及前期私人消費占GDP之比重越高，則本期之國家主權評等越可能遭遇降等。本研究在實證過程中，將前期CDS依其前期國家主權評等所屬組別進一步進行組內相對處理後所得之前期相對CDS，進行預測本期國家主權評等之實證結果皆不顯著，我們認為主要反應了目前CDS市場中，有被設定為信用違約交換目標的公債國家相較於有獲得國家主權評等的國家，仍然屬於少數，因此其所蘊含市場對於國家風險的資訊量不足。

關鍵字

預警模型 ； 國家主權評等 ； 總體經濟因子 ； 公債信用違約交換

並列摘要

We’ve learned that sovereign CDS and economic data move in advance of sovereign credit ratings. Therefore, we check the relation between sovereign CDS one period ahead, economic data one period ahead, and current sovereign credit ratings to improve the ability of forecasting sovereign risk. According to our empirical result, the higher the previous sovereign CDS, the higher possibility to be downgrade; the lower the previous GDP growth rate, the higher possibility to be downgrade; the higher the previous CPI, the higher possibility to be downgrade; and the higher the private consumption over GDP, the higher possibility to be downgrade. Also, we find out that the relative CDS adjustment for inter-class is currently useless. We expect further research with the completion of CDS market.

並列關鍵字

Warning System ； Ratings ； Macroeconomic Factors ； Sovereign Credit Default Swap

參考文獻

Shen C. (2009), “Determinants of sovereign credit default swap: evidence from emerging countries”, Working Paper, National Taiwan University.

Duffie D. and K. Singleton (1999) “Modeling Term Structures of Defaultable Bonds.” The Review of Financial Studies, 12, pp. 687-720.

Remolona M., M. Scatinga, and E. Wu (2008), “A RATINGS-BASED APPROACH TO MEASURING SOVEREIGN RISK”.

Frankel J. and A. Rose (1996), “Currency Crashes in Emerging Markets: An Empirical Treatment”, Journal of International Economics, 41, 351-366

Goldfain I. and R. Valdes (1998), “Are currency crises predictable?”, European Economic Review, 42, 873-885