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

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：70

、訪客IP：3.138.35.228

姓名

柯勁廷(Chin-Ting, Ko) 查詢紙本館藏

畢業系所

財務金融學系在職專班

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)

相關論文

★ 淨營運資金對公司價值的影響-以台灣上市櫃營建業為例	★ 中小企業信用貸款回收率實證分析
★ 隨機優越動能策略-以台灣股票市場為例	★ 投資人風險態度之研究
★ 台灣股票市場Beta套利交易策略之實證研究	★ 幾乎隨機優越投資策略於台灣股票市場之應用
★ 護盤政策對臺灣加權指數的影響分析	★ 新冠疫情及貨幣政策對亞洲股市的影響—— 以中國大陸、香港、台灣、韓國市場為例
★ 融資流動性風險與銀行風險承擔及經營績效	★ 跨國股價指數避險比例之研究
★ 機構投資人持股對企業ESG投資影響之研究	★ 研究發展支出對於公司績效之影響
★ 價格動能與Omega二階段排序交易策略：以台灣股票市場為例	★ 加密貨幣市場投資績效之評估
★ 颱風對於臺灣股市報酬率影響	★ TOM效應在台灣股市之實證研究

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

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

參考文獻

Ang, Andrew, and Francis A. Longstaff. "Systemic sovereign credit risk: Lessons from the US and Europe." Journal of Monetary Economics 60.5 (2013): 493-510.
Baerlocher, Diogo, Stephen L. Parente, and Eduardo Rios-Neto. "Female labor force participation and economic growth: Accounting for the gender bonus." Economics Letters 200 (2021): 109740.
Barth, F., B. Hübel, and H. Scholz. "ESG and corporate credit spreads: Evidence from Europe." (2019). Baker, Scott R., Nicholas Bloom, and Steven J. Davis. "Measuring economic policy uncertainty." The quarterly journal of economics 131.4 (2016): 1593-1636.
Bauer, Rob, and Daniel Hann. "Corporate environmental management and credit risk." Available at SSRN 1660470 (2010).
Boyrie, Maria E de., and Ivelina Pavlova. "Analysing the link between environmental performance and sovereign credit risk." Applied Economics 52.54 (2020): 5949-5966.
Boumparis, Periklis, Costas Milas, and Theodore Panagiotidis. "Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone." Journal of International Money and Finance 79 (2017): 39-71.
Capelle-Blancard, G., Crifo, P., Diaye, M. A., Oueghlissi, R., & Scholtens, B. "Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries." Journal of Banking & Finance 98 (2019): 156-169.
Crifo, Patricia, Marc-Arthur Diaye, and Rim Oueghlissi. "The effect of countries’ ESG ratings on their sovereign borrowing costs." The Quarterly Review of Economics and Finance 66 (2017): 13-20.
Drut, Bastien. "Sovereign bonds and socially responsible investment." Journal of Business Ethics 92 (2010): 131-145.
Flannery, Mark J., and Kristine Watson Hankins. "Estimating dynamic panel models in corporate finance." Journal of Corporate Finance 19 (2013): 1-19.
Forte, Santiago, and Juan Ignacio Pena. "Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS." Journal of Banking & Finance 33.11 (2009): 2013-2025.
Gervich, Curt D. "Precarious economies: Exploring the use of environmental
24
indicators to predict economic instability." SAPI EN. S. Surveys and Perspectives Integrating Environment and Society 4.1 (2011).
Hassan, M. Kabir, et al. "Determinants of credit default swaps spreads in European and Asian markets." Journal of Derivatives & Hedge Funds 19 (2013): 295-310.
Henke, Hans-Martin. "The effect of social screening on bond mutual fund performance." Journal of Banking & Finance 67 (2016): 69-84.
Hill Clarvis, Margot, et al. "Towards a new framework to account for environmental risk in sovereign credit risk analysis." Journal of Sustainable Finance & Investment 4.2 (2014): 147-160.
Holtz-Eakin, Douglas, Whitney Newey, and Harvey S. Rosen. "Estimating vector autoregressions with panel data." Econometrica: Journal of the econometric society (1988): 1371-1395.
Index, Environmental Performance. "Global metrics for the environment." Yale University. Information available online at: http://epi. yale. edu/sites/default/files/
2016EPI_Full_Report_opt. pdf (2016).
Kunze, Lars. "Life expectancy and economic growth." Journal of Macroeconomics 39 (2014): 54-65.
Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J."How sovereign is sovereign credit risk?." American Economic Journal: Macroeconomics 3.2 (2011): 75-103.
Margaretic, Paula, and Sébastien Pouget. "Sovereign bond spreads and extra-financial performance: An empirical analysis of emerging markets." International Review of Economics & Finance 58 (2018): 340-355.
Oikonomou, Ioannis, Chris Brooks, and Stephen Pavelin. "The effects of corporate social performance on the cost of corporate debt and credit ratings." Financial Review 49.1 (2014): 49-75.
Pineau, Edouard, Phuong Le, and Rémy Estran. "Importance of ESG factors in sovereign credit ratings." Finance Research Letters 49 (2022): 102966.
Polbennikov, S., Desclée, A., Dynkin, L., & Maitra, A. "ESG ratings and performance of corporate bonds." The Journal of Fixed Income 26.1 (2016): 21-41. Reznick, M., Viehs, M., Chockalingam, N., Panesar, T., . 2021. “Pricing ESG Risk in Sovereign Credit.” Federated Hermes
25
Safiullah, Md, Md Nurul Kabir, and Mohammad Dulal Miah. "Carbon emissions and credit ratings." Energy Economics 100 (2021): 105330.
Tang, Dragon Yongjun, and Hong Yan. "Market conditions, default risk and credit spreads." Journal of Banking & Finance 34.4 (2010): 743-753.
Wang, Xinjie, Weike Xu, and Zhaodong Zhong. "Economic policy uncertainty, CDS spreads, and CDS liquidity provision." Journal of Futures Markets 39.4 (2019): 461-480.
Wintoki, M. Babajide, James S. Linck, and Jeffry M. Netter. "Endogeneity and the dynamics of internal corporate governance." Journal of financial economics 105.3 (2012): 581-606.
Zerbib, Olivier David. "The effect of pro-environmental preferences on bond prices: Evidence from green bonds." Journal of banking & finance 98 (2019): 39-60.
Zivin, Joshua Graff, and Matthew Neidell. "The impact of pollution on worker productivity." American Economic Review 102.7 (2012): 3652-3673.

指導教授

黃瑞卿(Jui-Ching Huang)

審核日期

2023-7-25

推文