信用違約交換動態價格行為

Abstract

2008年一連串的信用危違約事件，導致信用風險急劇增加，衡量信用風險的信用違約交換（credit default swap；CDS）價格也不斷升高，其價格行為於金融海嘯前後產生顯著不同的動態趨勢，本文利用平滑轉換自我迴歸（smooth transition autoregressive；STAR）模型探討2007年1月到2009年10月間，CDS價格的動態轉換行為，以道瓊工業指數成分公司的CDS為樣本，透過STAR模型估計，實證發現24家公司的CDS序列皆顯著具有二狀態轉換的行為模式，我們將之定義為高價格與一般價格狀態。經由轉換函數中的門檻值估計，發現CDS序列首度超越門檻值的時點約為2008年末，而後在2009年中逐漸回復到穩定的一般價格；此外，在加入前一期的CDS價格平均為解釋變數後，所有估計係數更為顯著，顯示市場參與人對市場整體的信用風險變化感受，大於個別公司之風險變化，間接說明信用風險的傳染效果。其他財經重要變數對CDS價格的影響，則會依CDS價格狀態的不同而改變，亦顯示CDS市場參與人衡量公司信用水準的依據，及政府相關政策對CDS價格的影響，於金融海嘯前後顯著不同。

The financial crisis of 2008 set off a sequence of major credit default events, which in turn led to a systematic increase in credit risks. During this period, the Credit Default Swap (CDS) spreads of major firms increased dramatically and displayed behaviors very different from their pre-crisis dynamics-a parallel credit risk crisis. This study employs Smooth Transition Autoregressive (STAR) models to characterize the regime-switching behavior of CDS spreads before and during the financial crisis, from January 2007 through October 2009. We model the 5-year CDS contracts of 24 key US corporations, in each case finding clear evidence for transitions between low-price and high-price regimes. The first transition consistently coincides with the explosion of the crisis in late 2008. The CDS spread threshold (a parameter of the STAR model transition function) effectively differentiates the price regimes, and can be used to identify the boundaries of the credit risk crisis.