The Pricing Discrepancy between Sovereign Bond and CDS in European Countries
| Autor: | Bo-Hao Su, 蘇柏豪 |
|---|---|
| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 We study the credit risk among euro countries. We are interested in the factors which make basis deviate 0. We use the model with only local factors, and the model with both local and global factors, to analyze whether include the global factor could improve the explanation of basis or not. The result show that including global factors could significantly improve the model explanation. Besides, we divide our sample into 3 parts according to the subprime mortgage crisis and European debt crisis, we found that local factors lose influence during the period of subprime mortgage crisis, but still have good explanation during the period of European debt crisis. On the other hand, global factors lose influence during the period of European debt crisis, but still have good explanation during the period of subprime mortgage crisis, which could infer that local factors and global factors act differently in different type of crisis. In the last, we used Chow test and found that there are strong evidences show that each crisis changed the structure of credit risk. This result is in line with our previous finding that why local factors and global factors act differently during different period. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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