用事件研究法探討希臘主權債信危機-以美國及德國公債為例; AN EXPLORATION OF THE GRECIAN SOVEREIGN CREDIT CRISIS BY AN EVENTSTUDY-WITH THE AMERICAN AND GERMAN PUBLIC BONDS AS AN EXAMPLE

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/48827

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/48827

Title:	用事件研究法探討希臘主權債信危機-以美國及德國公債為例;AN EXPLORATION OF THE GRECIAN SOVEREIGN CREDIT CRISIS BY AN EVENTSTUDY-WITH THE AMERICAN AND GERMAN PUBLIC BONDS AS AN EXAMPLE
Authors:	吳蘇航;Su-hang Wu
Contributors:	財務金融學系碩士在職專班
Keywords:	事件研究法;希臘主權債信;公債殖利率;Government bond yield;Greek sovereign debt crisis;Event studies
Date:	2011-07-05
Issue Date:	2012-01-05 15:07:50 (UTC+8)
Abstract:	本研究目的在討論希臘主權債信危機對於美國、德國十年期公債殖利率產生之影響。回顧以往文獻，甚少有文獻著墨於主權債信危機對於公債之影響。本研究分別以希臘主權債信危機的事件中，以希臘政府宣布2009年財政赤字和公共債務占國內生產總值的比例預計將遠超過歐盟「歐元趨同標準」規定之上限的日期及歐盟與IMF同意對希臘提供紓困方案的日期為事件宣告日，利用事件分析法探討希臘主權債信危機對於美國、德國十年期公債殖利率產生之影響。研究結論顯示當希臘財政赤字和公共債務預計將超過歐盟「歐元趨同標準」規定之上限時，美國或德國十年期公債殖利率於事件期間內出現負面異常報酬，且在宣告日後同為歐盟會員國的德國加速出現負的累積平均異常報酬，美國則較緩慢。而在歐盟與IMF同意對希臘提供紓困救援，美國十年期公債殖利率在宣告日前有正面異常報酬，但宣告日後，紓困方案的通過對美國產生負面影響力量；在德國公債方面，紓困方案宣告日前，公債殖利率負面異常報酬逐漸減少，但宣告日後，負面異常報酬隨之增加。 This study aims to estimate the Greek sovereign debt crisis how to influence the USA and Germany government ten years bond yield. According to the previous literature, there are few focuses on sovereign debt crisis and government bonds yield. In here, we are use Event studies to illustrate how the USA and Germany government ten years bond yield are influenced by the Greek sovereign debt crisis. The empirical results show that both USA and Germany government ten years bond yield have negative abnormal returns by Greek government announced the fiscal deficit and government debt to GDP ratio will exceed the convergence criteria regulations. Ahead of EU and IMF are degreed the relief for Greek, USA government ten years bond yield have positive abnormal returns, but both USA and Germany government ten years bond yield have negative abnormal returns when relief plan passed.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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