影響國家主權信用評等及債務危機之指標分析

THE ANALYSIS OF INFLUENTIAL INDICATORS ON THE COUNTRY SOVEREIGN CREDIT RATING AND DEBT CRISIS

張美蘭(CHANG, MEI-LAN)

指導教授 ： 林烱垚

共同指導教授 ： 林泉源

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2013年)

摘要

隨著政府對本國金融業業務項目之開放與經營型態的改變，致銀行的業務呈現多元
化及國際化，各銀行為拓展國際業務，海外分行亦積極參與國際授信及投資有價證券
等，各金融機構逐漸體認有效管理國家風險之重要性，亦希望能藉由評估制度及危機指
標之建立以提高預測國家風險之能力。本研究以金融業曝險及國際投資並參酌本國進出
口量選取23 個國家為研究對象，研究期間自從2008 年至2012 年共5 年之經濟數據，
來探討總體經濟指標與公債信用違約交換及主權信用評等之相互影響。
衡量指標則以外債適度規模指標，外匯儲備與外債之結構指標、國家財政及經常帳
指標、經濟成長指標及痛苦指數等12 個經濟指標為自變數，以公債信用違約交換及國
家主權信用評等為應變數，應用追蹤資料分析法探討影響公債信用違約交換及國家主權
信用評等之因素。
實證結果發現：公債信用違約交換對總體經濟指標之敏感度似乎領先信用評等變化
之現象，亦即信用評等調等較不靈敏。另於樣本總體經濟數據中找出與公債信用違約交
換顯著之指標為債務率、負債率、短期外債佔外匯存底比、財政收支佔GDP 比、GDP
成長率、消費者物價指數等；與國家主權信用評等具影響力之指標為負債率、財政收支
佔GDP 比及失業率，其中負債率與財政收支佔GDP 比同時對公債信用違約交換及國家
主權信用評等具影響力。前期消費者物價指數(CPI)、失業率(UPR)同時影響下一期公債
信用違約交換及國家主權信用評等之變化，而公債信用違約交換與國家主權信用評等確
有相互影響之顯著關係，故當信用違約交換升高，信用評等預期可能調降，而信用評等
調降後，信用違約交換亦可能價差擴大風險升高。

關鍵字

公債信用違約交換 ； 主權信用評等 ； 追蹤資料分析法

並列摘要

industry business projects, caused by the bank's business is diversified and international banks
to expand our international business, overseas branches also actively involved in international
credit and investment securities,financial institutions gradually realized the importance of
effective management of country risk, and also by the establishment of the evaluation system
and the indicators of crisis, hoping to improve the ability to forecast country risk. In this study,
From the exposure of the financial sector and international investment and deliberate national
import and export volume selected 23 countries for the study, during the study period from
2008 to 2012 a total of five years since economic data to explore the overall economic
indicators and bond credit default swaps and sovereign credit rating of each other.
The measure places external debt indicators of appropriate scale, the structure of foreign
exchange reserves and foreign debt indicators, the indicators of national fiscal and current
account indicators of economic growth and the misery index of 12 economic indicators as
independent variables to bond credit default swaps and country sovereign credit rating strain,
tracking data analysis of factors affecting bond credit default swaps and country sovereign
credit rating of.
The empirical results show that: the bond credit default swaps and the overall economic
indicators seem to change phenomenon, which is a leading credit rating tuning insensitive.
Another in the the sample overall economic data to find bonds credit default swap significant
indicators for the External debt of Adjusted Total Foreign Exchange Earnings、Total Foreign
Debt as % of GDP、Short-term debt of foreign exchange reserves、Financial revenue of GDP
IV
ratio、GDP, Growth Rate、Consumer price index growth rate; influential indicators and
country sovereign credit rating debt ratio are Total Foreign Debt as % of GDP、Financial
revenue of GDP ratio、Unemployment rate. Total Foreign Debt as % of GDP and Financial
revenue of GDP ratio influential than bond credit default swaps and country sovereign credit
rating at the same time the influential bond credit default swaps and country sovereign credit
rating. The early consumer price index (CPI), the unemployment rate (UPR) at the same time
affect the next bond credit default swaps and country credit rating changes, bond credit
default swaps, country sovereign credit rating interaction in a significant relationship, so when
elevated credit default swaps, credit rating may be expected to cut its credit rating
downgraded after credit default swaps may also spread widened elevated risk.

並列關鍵字

Bond Credit Default Swaps ； Country Sovereign Credit Rating ； Panel Data

參考文獻

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