歐洲主權債務危機及其蔓延: 以信用違約交換市場為例

Abstract

本研究以信用違約交易(CDS)市場為例，探討主權債務危機在歐洲國家之間是否有蔓延的現象。依據成長與穩定公約(SGP)的兩個規範選取國家別，且將之劃分為兩類:財政體制較差的國家我們稱之債務國，包括比利時、希臘、義大利、愛爾蘭、葡萄牙與西班牙；反之稱為債權國，包括法國、德國與英國。為探討此蔓延效應是否擴及至海外市場，本研究納入美國作比較分析。本篇論文的樣本期間2008/01/01-2012/12/31，且以債務危機率先在希臘爆發的時點分割成兩個子樣本期間。在本文的實證分析中，根據動態條件相關係數(DCC)模型證實在危機期間各國信用違約交易市場的相關性增強，除了希臘與美國對他國信用違約交易市場的相關呈現遞減之外。向量自我迴歸(VAR)模型之因果關係檢定亦證實在危機期間各國信用違約交易市場的先後聯動關係是更加複雜且存在間接性的影響。衝擊反應分析得知西班牙的信用違約交易市場，不論是對債務國或是債權國的信用違約交易市場皆構成最大的影響。最後，美國的信用違約交易市場最不受他國市場的影響，其次是英國，證實此債務危機僅只是一個區域性的現象。

This paper analysis the dynamics of the credit default swap markets of European countries for the period of 2008 to 2012. The target countries are chosen by the criteria of SGP and we divide those countries into two groups. Those countries with deteriorating financial system are classified as debtor nations, which are Belgium, Greece, Ireland, Italy, Portugal and Spain. While the contrast one is classified as creditor nations, which are France, Germany and UK. We also add the CDS market of US to know whether the contagion is far to overseas. The DCC-GARCH model with time-varying correlations confirms that contagion did occur among the CDS markets of those countries except for Greek and US CDS markets relate to others. The Granger-causality test shows a more interdependent lead-lag relationships and impulse response test indicates that the Spanish CDS market has the biggest impact on the CDS markets of others, no matter for debtor nations or creditor nations. We also confirm that the contagion effect is just a regional phenomenon since the CDS market of US is most immune in the crisis period and followed by UK.