探討自2008年金融海嘯後,金融市場對於經濟體系較弱的歐債五國(PIIGS)-包括葡萄牙、義大利、愛爾蘭、希臘和西班牙等國家產生疑慮,為了瞭解信用違約交換(CDS)對整個經濟市場的改變及影響,藉由泰勒法則公式的使用,分別探討CDS、CPI與GDP兩者之間的相互關係。 本研究挑選歐債五國為研究樣本,以2003年第一季至2012年第四季做為研究期間,探討金融海嘯的前後CDS市場整個的變化關係,並比較消費者物價指數(CPI)和國內生產毛額(GDP)差異值、消費者物價指數(CPI)和國內生產毛額(GDP)目標值預測,分析研究此三者是否具有正相關性。 研究後之結果發現,泰勒法則與消費者物價指數差異值、國內生產毛額差異值和CDS有正向的相關性,亦即CPI的前後差異值、GDP的前後差異值與CDS是有影響的;另一方面,消費者物價指數目標值、國內生產毛額目標值僅CPI和CDS亦有正向的相關性,換句話說,就是GDP的前後目標值與CDS兩者之間的關聯性則較不明顯,探究其原因,主要因為歐債五國自金融風暴過後之經濟狀況呈現大幅度的改變,運用追蹤迴歸分析之後,各國相關變數差異大,由於每個國家所統計的指標項目各有差異,同樣指標的定義在各個國家可能會有些許的不同,所以可能會影響到指標資料庫的完整性,讓整個資料結果較不明顯。
Discussion after the financial tsunami since 2008, five countries in the financial market for the weaker economies of the European debt (PIIGS)-includes Portugal, and Italy, and Ireland, and Greece and Spain and other countries are worried, in order to understand CDS market changes and influence on the entire economy, through Taylor Rule is applied in practice, explore the CDS with the CPI, GDP, respectively between the two relate to each other. This research selected Europe debt five country for research samples, to 2003 first quarter to 2012 fourth quarter do for research during, discussion financial tsunami of before and after CDS market entire of changes relationship, compare CPI and GDP differences value, and CPI and GDP target value forecast, analysis research this three who are related sexual. Research of results found, Taylor rule and consumers price index differences value, and domestic production hair amount differences value and CDS are positive to of correlation, which CPI of before and after differences value, and GDP of before and after differences value and CDS has effect of; on the, consumers price index target value, and domestic production hair amount target value only CPI and CDS also are positive to of correlation, in other words, is GDP of before and after target value and CDS both of associated sexual is more not obviously, research its causes, Mainly due to European debt after the five countries since the financial storm data rendered drastic changes, use tracking regression analysis, relevant national data discrepancies, both Governments will also adjust the figures, so the entire data would result in less visible.
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