銀行間風險指標對金融市場關聯性之分析

Analysis on Relationship between Interbank Risk Indicators and the Financial Markets

陳翠芬(Chen, Tsui-Fen)

指導教授 ： 林靖 ； 蕭榮烈

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

金融危機突顯了銀行間拆款市場之信用風險和流動性風險在全球金融市場上扮演著
極為重要的角色，本研究藉由銀行間風險指標--信用風險和流動性風險對全球股市、新
興市場債市、外匯市場及商品市場之相關性，證實銀行間拆款市場之風險指標，亦能作
為國際金融市場及商品市場風險預警之指標，並提供作為銀行業之風險管理、投資人之
投資決策及學術研究之參考。
本研究以CDS、TED Spread、Libor-OIS、Euribor-Eonia 作為自變數，以MSCI 世界
指數、JP 摩根新興市場債券指數、美元指數、標準普爾GSCI 商品指數作為應變數，經
由單根檢定、ARCH LM 檢定、不對稱性檢定、GJR-GARCH 模型檢定結果如下：
1. 銀行間之信用風險對全球股市、新興市場債市、美元外匯市場及商品市場當期報酬率
皆有顯著的相關性，除了美元外匯市場呈正相關外，其餘市場皆為負相關，並對新興
市場債市、美元外匯市場及商品市場落後期報酬率有顯著的相關性。
2. 銀行間之美元流動性風險對於新興市場債市之落後期報酬率呈負向顯著相關；歐元之
流動性風險則對於美元外匯市場當期報酬率呈正向顯著相關，對於商品市場當期及落
後期報酬率呈負向顯著相關。
實證結果隠含當銀行間風險升高時，資金有流入美元外匯市場避險的跡象，且信用
風險變數較新興市場債市、美元外匯市場及商品市場領先反應，流動性風險變數較新興
市場債市及商品市場領先反應，似乎具有因果關係。實證結果亦顯示，市場參與者具風
險趨避的傾向，金融市場上的資金有Flight to liquidity、Flight to quality 之現象。

關鍵字

流動性風險 ； 信用風險 ； CDS ； TED Spread ； Libor-OIS ； Euribor-Eonia ； GJR-GARCH

並列摘要

The significance of credit risk and liquidity risk of interbank loan on the global
financial market has been highlighted by the event of financial crisis. The relationship
between the interbank risk indicators – credit risk and liquidity risk, and the global
stock market, emerging debt market, foreign exchange market, and commodity
market are tested in this study, to provide support that the interbank loan risk
indicators may also be used as precautionary risk indicators of the international
financial market and commodity market, and to assist in decision-making of the bank
risk managers and investors as reference.
This study takes CDS、TED spread、Libor-OIS、Euribor-Eonia as independent
variables, and MSCI World index、JP Morgan Emerging Market Bond Index Global、
US Dollar Index、S&P GSCI Commodity Index as dependent variables, and analyze
them by using Unit Root Test、ARCH LM Test、Asymmetry Test and GJR-GARCH
Model. The empirical results of indicate the following:
1. The interbank credit risk is significantly related to the current period return of the
global stock markets, emerging debt market, USD foreign exchange market, and
commodity market. The negative relationship is present with all markets, except
the USD foreign exchange market, which has a positive relationship. A significant
relationship also exists with the lagged return of the emerging debt market, USD
foreign exchange market and commodity market.
2. The interbank USD liquidity risk is negatively and significantly related to the
lagged return of the emerging debt market. EUR liquidity risk is positively and
significantly related to the current period return of the USD foreign exchange
market, but negatively and significantly related to both the current period and
lagged return of the commodity market.
The results imply a causal relationship, whereas the interbank risks increase, there
is sign of fund flowing into the USD foreign exchange market for risk aversion, and
that the credit risk variables respond faster than the emerging debt market、USD
foreign exchange market and commodity market , and liquidity risk variables respond
faster than the emerging debt market and commodity market. The results also indicate
the “flight to liquidity and flight to quality” effect of the fund in the financial market.

並列關鍵字

liquidity risk ； credit risk ； CDS ； TED spread ； Libor-OIS ； Euribor-Eonia

參考文獻

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