摘要
本文探討於歐洲主權債務危機時期，核心國家與邊緣國家的主權債務違約風險與不同區域共同因素之關係，並透過邊緣國家主權債務違約共同因素與此12個國家的相互關係，以檢視2009年邊緣國家的主權債務違約是否造成各國金融蔓延。本文依據Stock and Watson（1998, 2002）的主成分分析法（principle component analysis），找出影響市場變動的擴散指標（diffusion index），透過向量自我迴歸模型（VAR）以檢視歐洲國家間主權信用違約交換溢差共移與相互因果關係。實證結果顯示邊緣國家的共同因素確實對於不同國家的主權債務違約風險具顯著的預測力，且義大利、葡萄牙、希臘、西班牙的債務違約風險也可顯著地預測邊緣國家與核心國家的共同因素。此相互因果關係顯示邊緣國家債務違約造成區域國家的金融蔓延效果，且區域國家之金融不穩定也更進一步影響歐洲債務違約之源頭國家。本文有二主要貢獻。第一，本文實證結果呼應事實，歐洲債務危機由歐陸邊緣國家延燒到核心國家。本文發現希臘、葡萄牙和愛爾蘭此3國的債務違約進一步擴大邊緣國家的主權債務違約風險，符合此3國主權債務問題最嚴重的事實。我們也發現比利時、法國等核心國家受到邊緣國家債務違約之顯著影響，此實證結果符合法國銀行業被調降信用評等、比利時與法國合資的跨國銀行接受政府紓困之事實。第二，本文運用可代表國家風險之主權信用違約交換溢差（sovereign CDS spreads）資料，實證結果確實描述出不同國家的主權債務違約風險與不同區域共同因素之顯著提前、落後與相互因果關係，成功地說明了國家間風險蔓延之相互關係。目前，運用信用違約交換溢差（CDS spreads）探討蔓延效果的相關文獻中，較欠缺專注於蔓延效果傳遞管道的文獻，本文補足此類文獻之不足。
關鍵詞：主權債務違約、金融蔓延、擴散指標、向量自我迴歸模型（VAR）
Abstract
The sovereign debt default of periphery countries depressed the economies of Eurozone and flooded to others outside the Eurozone. Through the relationship between sovereign debt default risks and the common factors of different regions, we inspected the financial contagion effects of several European countries during and in the aftermath of debt default era, especially the interactions of sovereign debt default in core countries with those in periphery countries. Based on the principal component analysis (PCA) of Stock and Watson (1998, 2002), we used the sovereign debt default swaps (CDS) spreads of European countries to construct the diffusion indexes. Our empirical results showed that the common factors in periphery countries significantly predicted the sovereign debt default risks of several countries, and the sovereign debt default risks in Italy, Portugal, Greece, and Spain also significantly predicted the common factors in periphery countries and core countries. This granger causality showed the financial contagion effects which spread from periphery countries to regional countries, and the financial instability of regional countries also speeded up the sovereign debt default in those originating countries in the peripheral area. We had two major contributions. First, corresponding to the facts, our empirical results showed that the sovereign debt default crisis spread from periphery countries to core countries. Our empirical results also concluded that the debt default in Greece, Portugal, and Ireland, had further expanded the sovereign debt default risks of periphery countries, which met the actual circs, of those countries facing the most serious risks of debt distress. At the same, our empirical results concluded that the core countries, Belgium, and France, were significantly affected by the sovereign debt default in periphery countries, which also met the actual circs that the banking industry in France had credit falling and the multinational banks, the joint ventures established by Belgium and France, received the government bailout funds. Second, we used the CDS spreads data to proxy the sovereign debt default risks, which exactly showed the significant lead, lag, and causality relationship between the sovereign debt default risks and the common causes of several countries, and which successfully represented the interactions between financial crisis contagion effects of several countries. Until now, a shortage of literature applied the CDS spreads to discuss the passing through channels of contagion effects, and this paper made up for the deficiency.
Keywords: Sovereign debt default risks, Financial contagion effects, Diffusion indexes, VAR
JEL Classification Code: F30, F34, F36, F41