永續發展與政治經濟不確定性對主權債信用違約交換之影響

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柯勁廷(Chin-Ting, Ko) 查詢紙本館藏

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論文名稱

永續發展與政治經濟不確定性對主權債信用違約交換之影響
(The Impact of Sustainable Development and Economy Political Uncertainty on Sovereign Credit Default Swaps)

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摘要(中)

隨著聯合國的永續發展目標，世界各國對於永續發展的意識逐漸抬頭，關
於永續發展對主權債的影響逐漸有投資者開始關注。鑒於永續發展的議題使投資人開始關注永續發展對主權債的影響以及「地緣經濟衝突風險」及「環境面風險」的背景之下，本研究探討永續發展與政治經濟不確定性對主權債信用違約交換之影響。本文採用下列國家美國、英國、加拿大、德國、法國、義大利、日本、巴西、俄羅斯、印度、中國、墨西哥、韓國、澳洲，資料期間為2009年至 2020年。整體結果表示政治經濟風險越高主權債CDS價格越高，主權債的信用風險越大。環境指數對 CDS無顯著影響。當同時考量環境指數分別與碳排放總量進行交叉相乘後，發現碳排放總量越高且環境指數越高主權債CDS價格越高，主權債的信用風險越大

摘要(英)

With the United Nations′ Sustainable Development Goals, countries worldwide are increasingly aware of sustainable development, and investors have begun to pay attention to the impact of sustainable development on sovereign debt. Given the background of "geopolitical-economic conflict risk" and "environmental risk," this study examines the influence of sustainable development and political-economic uncertainty on sovereign debt credit default swaps (CDS). The countries selected for this study include the United States, United Kingdom, Canada, Germany, France, Italy, Japan, Brazil, Russia, India, China, Mexico, South Korea, and Australia, covering the period from 2009 to 2020. The overall results indicate that higher political-economic risk leads to higher sovereign debt CDS prices and increased credit risk. The environmental index has no significant impact on CDS. However, when considering the interaction between the environmental index and total carbon emissions, it is found that higher total carbon emissions and a higher environmental index lead to higher sovereign debt CDS prices and increased credit risk.

關鍵字(中)

★ 政治經濟不確定性
★ 環境指數
★ 碳排放總量
★ 主權債信用違約交換

關鍵字(英)

論文目次

中文摘要 ........................................................................................................................... i
Abstract ............................................................................................................................. ii
目錄 ................................................................................................................................. iv
表目錄 ............................................................................................................................. vi
一、緒論 ...................................................................................................................... 1
二、文獻探討 .............................................................................................................. 4
三、研究方法 .............................................................................................................. 7
3-1. 研究資料來源 ...................................................................................................... 7
3-2. 研究變數 .............................................................................................................. 7
3-2-1. 應變數 ........................................................................................................... 7
3-2-2. 因變數 ........................................................................................................... 7
3-2-3. 其他控制變數 ............................................................................................. 11
3-3 實證模型 ............................................................................................................. 12
四、實證結果 ............................................................................................................ 13
4-1敘述統計量分析 .................................................................................................. 13
4-1-1主權債CDS .................................................................................................. 13
4-1-2政治經濟不確定性指數 ............................................................................... 13
4-1-3 永續發展變數 .............................................................................................. 14
4-2相關性分析 .......................................................................................................... 16
4-3回歸結果分析 ...................................................................................................... 16
4-3-1 全樣本回歸結果分析 .................................................................................. 16
4-3-2 永續發展各別樣本回歸結果分析 ............................................................. 19
五、結論 .................................................................................................................... 21
參考文獻 ........................................................................................................................ 23

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指導教授

黃瑞卿(Jui-Ching Huang)

審核日期

2023-7-25

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