金融海嘯期間利率風險衡量對信用違約交換(CDS)價差變化-以美國金融業為例

The impact of interest rate risk on credit default swap (CDS) spread: Evidence from US financial companies during financial tsunami

孫大鵬(Da-Peng Sun)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2013年)

https://doi.org/10.6840/cycu201300264

摘要

本文主要是探討在金融海嘯間，利率風險(interest rate risk)對信用違約交換價差變化(Change of credit default swap spreads)的影響。實證上，使用Datastream資料庫中的銀行產業、金融服務產業、保險產業五年期信用違約交換(CDS)價差，以及美國聯邦有效利率做為研究標的。樣本期間自2008年1月至2009年12月的日資料，計有15家美國金融業。估計方法使用最小平方法(OLS)及向量自我回歸法(Vector autoregressive, VAR)。
實證結果發現，利用OLS估計時，在2008至2009年期間，利率風險對CDS價差是有影響的，然而，若分年估計，則2008年是顯著的，而2009年則不論是在何種金融產業，利率風險對CDS價差的影響是不顯著的。當以VAR模型進行估計時，在2008年期間，不論是何種金融產業，落後期利率風險對CDS價差皆有顯著的影響，而在 2009年期間，除了銀行產業外，利率風險對CDS價差有顯著的影響外，其餘產業則是不顯著的。此外，CDS價差對利率風險的影響，亦類似上述的情形。
綜合言之，就Granger的因果關係觀之，利率風險與CDS價差在多數的金融產業具有雙向的因果關係；惟此關係會因樣本期間而改變，故投資人或政策決策者需隨時修正估計模型，以求估計的正確性。此外，在長期利率風險會影響CDS價差，亦即兩者存在長期穩定的關係。

關鍵字

利率風險 ； 信用違約交換價差 ； 金融海嘯 ； 向量自我回歸模型

並列摘要

In our study, we main to investigate the impact of interest rate risk on credit default swap (CDS) spread during financial tsunami. Empirically, we download US federal funds effective interest rate as well as the five-year CDS indices of the banking industry, the financial services industry, and the insurance industry from the DataStream. The sample period spans from January 1, 2008 to December 31, 2009. In estimation, we use the OLS and VAR approach to investigate the relationship over 2008-2009.
The empirical result by employing the OLS method find that the interest rate risk is associated with the CDS spreads change in financial industries during the period 2008-2009. The same conclusion also holds in 2008. However, the interest rate risk has no significant effect on the change of CDS spreads in 2009. In addition, the empirical results by using VAR approach find that based on past interest rate risks, the managers and investors in financial industry could gauge their effects on the change of CDS spreads in 2008; the managers and investors in bank industry can do this gauge in 2009.
In summary, in VAR model, we also can test the bidirectional causality between the interest rate risk and the change of CDS spreads in US financial industries. But the relationship will change with the sample period, therefore the managers and investors need to revise the estimated model. In addition, in the long-term interest rate risk will affect CDS spreads, it means that the interest rate risk and the change of CDS spreads have long-term stable relationship.

並列關鍵字

Interest rate Risk ； CDS ； Financial tsunami ； VAR

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