信用價差、退票率與景氣循環之間互動關係之研究

The Dynamic Relation among Credit Spreads, Dishonored Rate and the Business cycle

蔡明慧(Ming-Huei Tsai)

指導教授 ： 張鐵軍 ； 邱國欽

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

美國因次貸風暴引發2008年中全球金融海嘯，以及後續的全球信用緊縮危機，對企業乃至於整個經濟體系都產生重大影響；此時衡量金融市場資金緊俏程度的信用價差(Credit Spread）亦會升高，代表著一般企業的借貸成本增加，而公司債券違約率也可能隨之攀升，並且引發企業倒閉危機，甚至可能產生企業危機之群起現象，這些現象可能正反映著經濟景氣的改變。基此，企業對於因應景氣循環的改變，信用價差之變化，進而影響借貸成本，使自身違約之增減，確有其探討的必要性。有鑑於此，本研究將探討信用價差、退票率與景氣循環間之互動關係。本文以台灣金融體系為研究對象，樣本期間為1985年1月至2009年1月，台灣行政院主計處統計資料庫、中央銀行統計資料庫、金融統計月報等資料庫之景氣循環、退票率、信用價差資料，針對信用價差、退票率、景氣循環三者間進行相關互動關聯性之分析。

根據實證結果顯示，在Granger因果關係檢定上，退票率領先景氣循環。經由同期結構相關係數得到：（1）退票率增加，通常發生在景氣過熱階段。（2）當信用價差差距愈大，則顯示景氣循環陷入低迷。由預測誤差變異數分解結果顯示：（1）退票率對景氣循環之解釋能力相對較強，足見退票率是一項具參考的指標。（2）信用價差受景氣循環及退票率的影響程度較低。（3）信用價差解釋景氣循環效果並不大；相較之下信用價差解釋退票率的比例是信用價差解釋景氣循環的10倍。根據衝擊反應分析得知：（1）退票率受到信用價差、景氣循環衝擊時的反應極微；（2）信用價差在面對來自於退票率衝擊時的反應為正向效果；在面對來自景氣循環衝擊時的反應為負向；（3）景氣循環受到來自退票率及信用價差衝擊時，反應都較明顯。

依據本研究之結論，得知退票率確可考慮列為景氣循環的重要指標之ㄧ，建議如下：（1）對於台灣景氣循環指標的擬定，可考慮將退票率列入景氣指標的項目之ㄧ，另因退票率多寡將反映出景氣之繁榮與衰退，故政府、票據交換主管機關恐須更謹慎制定「退票」相關政策；（2）本文研究結果與美國次級房貸衍生之信用價差擴大之威脅相符合。此外信用價差具有對經濟徵兆的高敏感性，可做為預測未來景氣循環的條件之一，亦是政府、企業與投資者必須特別留意的一項數據。

關鍵字

景氣循環 ； 結構向量自我迴歸 ； 信用價差 ； 退票率

並列摘要

The subprime mortgage emanating financial crisis of the world in the mid of 2008 from the U.S. and follow-up the credit crunch have significant impacted enterprises as well as the whole economy. At this point, credit spread that measures tight level of funds in the financial market will rise. It represents borrowing costs of a general corporate will increase, default rates of corporate bond may climb and occur business failures. Even it may also produce clustering phenomenon of business failures; these phenomena may reflect changes in the economy. Therefore, it’s necessary to explore that enterprises response according to changing in the business cycle and the credit spread to take further ahead affecting the cost of borrowing as well as additions and reduction of default themselves. In view of this, our study will explore the dynamic relation among credit spread, dishonored rate and the business cycle. In this paper, our object of research is Taiwan''s financial system from January 1985 to January 2009, and the research adopts database from Directorate- General of Budget, Accounting and Statistics, Executive Yuan, R. O. C. ; Taiwan-Central Bank of China and Financial Statistics Monthly Republic of China (Taiwan) to analysis to experiment evidence.
According to the empirical results that shows dishonored rate leads the business cycle in Granger causality test. Through contemporaneous coefficient on the structural parameters of A, we’ve got the result as following: (1) dishonored rate of increase usually occurs in stages of economic overheating. (2) the gap in credit spread will be greater, when business cycle sinks into downturn. The expected from the variance decomposition results exhibit that: (1) explainable power of dishonored rate to the business cycle is relatively stronger that it has a considerable influenced. (2) credit spread is affected low by the business cycle and dishonored rate. (3) explainable effect of credit spread to the business cycle is relatively less, but explainable proportion of credit spread to dishonored rate is ten times the credit spread to the business cycle. According to the impulse response analysis to get as following: (1) dishonored rate is struck by credit spreads and the business cycle that has a extremely slight response. (2) credit spreads faced struck from dishonored rate is positive response and from the business cycle is negative response. (3) the business cycle is struck by dishonored rate and credit spreads that has a comparative apparent.
Based on the conclusions of our study to get the dishonored rate may be considered as an index of business cycle and thus make the following recommendations: (1) In this study about to set up index of the business cycle in Taiwan. It may consideration dishonored rate as a candidate for the economic indicators. Besides, plenty and minority of dishonored rate will reflect the economic prosperity and recession It’s more careful to deal with these policies of dishonored bill for clearinghouse and departments of government. (2) Our result of research is agrees with sub-prime mortgage causes the threat of expansion of credit spreads. The credit spread on the economy has high sensitivity, it can be the condition of the business cycle to forecast economy in the future.

並列關鍵字

Structural vector ； Dishonored rate ； Credit spreads ； Business cycle

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