殖利率差、信用違約交換與歐元區景氣之研究

The Study of Bond Yield Spread, Credit Default Swap and Economic Fluctuations of Eurozone

熊昊中(Hao-Chung Hsiung)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200253

摘要

自2002年歐元區成立以來，歐元區各國不但因經濟體的合作能享有龐大的經濟利益，而且也能縮短各國間的長短期利差。但自2008年起全球遭遇金融海嘯的強烈衝擊，導致各國競相舉債進行以刺激經濟。其中尤以2009年底希臘上調政府預算赤字，並且尋求歐元區其他國家、歐洲中央銀行以及國際貨幣基金等奧援，從而開啟歐債危機的序曲，接著金融風暴也逐漸蔓延至週邊各國。
過去大多數學者係以長短期利差之擴張或收縮，來預期景氣是否成長或趨緩，但目前受到歐債危機較嚴重的幾個國家，其利差反而呈現正向增長，與以往理論之預測背道而馳。因此本研究特以歐元區十一國之十年期公債殖利率減去三個月國庫券利率，得到之利差，搭配各國的實質GDP成長率以及失業率，以預測各國之景氣波動。此外，本研究以五年期主權債券CDS為輔助變數。
本研究採用線性迴歸模型、違約風險溢酬調整後之線性迴歸模型與Probit模型，透過原始利差及調整後利差之增減，來採討實質GDP成長率及失業率變化，是否可達到預測景氣之效果。本研究實證結果歸納如下：
1.在線性迴歸模型及違約風險溢酬調整後之線性迴歸模型方面，以GDP成長率及失業率預測景氣，結果顯示實質GDP成長率較適合為模型之預測標的。
2.本研究發現違約風險溢酬調整後之Probit模型，較原始利差Probit模型更適合用來預測景氣變化。

關鍵字

關鍵字：五年期主權債券CDS ； 失業率 ； Probit模型 ； GDP成長率 ； 線性迴歸模型 ； 長短期利差

並列摘要

Since the Euro area has been formed from 2002, the Eurozone countries not only shared the huge economic benefits, but also shortened the interest rate spread between the long-term and short-term interest rate among multiple European countries. However, the financial tsunami shocked the economy all over the world since 2008. In order to overcome this financial crisis, each European country competed for borrowing long-term debt to stimulate it’s own economy. Particularly, Greece raised the government budget deficit at the end of 2009, and sought for huge amount of financial support from other Eurozone countries, Euro central Bank (ECB) and IMF, which opened a prelude to the European sovereign-debt crisis. This financial crisis is rapidly spreading to the other Eurozone countries.
Previous researches forecasted economic boom or depression by the expansion or contraction of long-and short-term spread of expansion or contraction. If the term spread expands, suggesting that the economy will boom, and vice versa. However, the interest spread of five European heavy sovereign-debt countries positively increased over past three years, which is inconsistent with previous studies. This investigation forecasts the fluctuation of economic boom or depression of each Eurozone country by employing the interest spread of the yields of 10-year public debt minus 3-month treasury bills yield matching with the real GDP growth rate and unemployment rate of each country. In order to estimate the default risk premium, the five-year sovereign bonds CDS rate is also used as the auxiliary variables.
This study also forecasts the growth rate of real GDP and unemployment rate of each country via the original interest spread and the interest spread adjustment by employing the ordinary linear regression model, the linear regression model after adjusting the risk premium and the Probit model.
The conclusions are summarized below:
First, this study finds that the real GDP growth rate is more suitable than unemployment rate as the forecasting target of these two models.
Second, this investigation finds that the risk premium adjusted regression model significantly improved the estimated coefficients for economic boom or depression in most countries, which is consistent with the theoretical expectations.

並列關鍵字

GDP growth rate ； Term spread ； Unemployment rates. ； Linear regression model ； Five-year sovereign bonds CDS ； Probit model

參考文獻

許原堂(2006)。期間利差，重貼現率與不景氣之預測。政治大學國際經營與貿易研究所碩士論文

鄭行甫(2009)。國家主權平等與主權信用違約交換。台灣大學財務金融學系碩士論文。

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