外匯市場、債券與信用違約交換動態關聯之研究—以東南亞國家為例

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Title:	外匯市場、債券與信用違約交換動態關聯之研究—以東南亞國家為例
Other Titles:	The Dynamics of Foreign Exchange, Bond Markets and Credit Default Swap : Evidences from Southeast Asian Countries
Authors:	吳育昀 WU, YU-YUN
Contributors:	王凱立 WANG, KAI-LI 財務金融學系
Keywords:	匯率;債券;利差;期限利差;信用違約交換;量化寬鬆 exchange rate;bond;spread;term spread;credit default swap;quantitative easing
Date:	2019
Issue Date:	2019-12-16T04:06:28Z (UTC)
Abstract:	本文針對東南亞國家，包括馬來西亞、泰國、菲律賓和印尼，採用多變量DCC-GARCH模型探討各國匯率、債券及CDS之動態關係，分析在不同結構時期，包括金融危機時期、美國實施量化寬鬆政策時期和美國貨幣正常化時期，三者的動態關聯是否存在結構性的差異。本文實證模型分別針對模型(A)匯率、債券利差及CDS利差與模型(B)匯率、債券期限利差及CDS期限利差作估計，模型(A)實證研究結果歸納如下：(1)債券利差與匯率之關聯部分，於金融危機時期和美國貨幣正常化時期，兩者普遍呈現正向影響；而於美國實施量化寬鬆政策時期，則多為負向交互影響；(2)針對CDS利差與匯率部分，三個時期普遍呈現正向關係，說明CDS利差擴大時期，各國貨幣普遍呈現貶值走勢；(3)針對債券利差與CDS利差之關聯，不同經濟結構時期傾向呈現正向關係。此外，模型(B)實證研究結果歸納如下：(1)針對匯率與債券期限利差部分，三個時期兩者傾向正向關係，但在不同結構時期呈現出不同經濟內涵；(2)針對CDS期限利差與匯率部分，於金融危機時期，兩者呈現正向關係；而在美國量化寬鬆時期，兩者通常呈現負向關係。此外，於美國貨幣正常化時期，不同國家因經濟體質的差異呈現分化情形。(3)債券期限利差與CDS期限利差部分，三個時期傾向負向關係。 This study takes the Southeast Asian countries, including Malaysia, Thailand, Philippines and Indonesia, uses multivariate DCC-GARCH model to explore the dynamic relationship among exchange rates, bonds and CDS. It also analyses the dynamic relationship among them in different structural periods, including the financial crisis period, the quantitative easing period and the monetary normalization period. To find out whether there are structural differences in dynamic correlation or not. The empirical model (A) in this paper estimate the exchange rate, bond spread, CDS spread and model (B) estimate exchange rate, bond term structure and CDS term structure. The empirical results of model (A) are summarized as follows: (1) The correlation between bond spread and exchange rate showed positive estimate in the financial crisis period and the monetary normalization period. While it showed negative interaction in the quantitative easing period. (2) According to the CDS spread and exchange rate, the three periods generally showed a positive interaction, indicating that currency generally showed a depreciation trend during the period of the expansion of CDS spread. (3) For the interaction between bond spread and CDS spread, it showed a positive relationship in three different economic structural periods. In addition, the empirical results of model (B) can be summarized as follows: (1) For the interaction between exchange rate and bond term structure, it showed a positive relationship in three periods. However they showed different economic implications in different structural periods. (2) According to CDS term structure and exchange rate, it showed a positive estimate in the financial crisis period. In quantitative easing period, the interaction between them is usually negative. In addition, during the monetary normalization period, different countries showed differentiation due to differences in economic structure. (3) The bond term structure and CDS term structure tend to be negative estimate in three periods.
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