國家主權評等與主權信用違約交換

Forecasting Sovereign Credit Ratings by Sovereign Credit Default Swap

在金融海嘯與希臘信貸危機中，我們不斷發現公債信用違約交換與總體經濟數據領先國家主權評等變化之現象。因此，本研究藉由檢視前期公債信用違約交換與前期總體經濟數據與本期國家主權評等之關係，希望能提高預測國家風險之能力。在實證中，我們發現前期公債信用違約交換價格越高、前期GDP 成長率越低、前期CPI 越高、及前期私人消費占GDP 之比重越高，則本期之國家主權評等越可能遭遇降等。本研究在實證過程中，將前期CDS 依其前期國家主權評等所屬組別進一步進行組內相對處理後所得之前期相對CDS，進行預測本期國家主權評等之實證結果皆不顯著，我們認為主要反應了目前CDS 市場中，有被設定為信用違約交換目標的公債國家相較於有獲得國家主權評等的國家，仍然屬於少數，因此其所蘊含市場對於國家風險的資訊量不足。

We have learned that sovereign CDS and economic data move in advance of sovereign credit ratings. Therefore, we check the relation between sovereign CDS one period ahead, economic data one period ahead, and current sovereign credit ratings to improve the ability of forecasting sovereign risk. According to our empirical result, the higher the previous sovereign CDS, the higher the possibility to be downgraded; the lower the previous GDP growth rate, the higher the possibility to be downgraded; the higher the previous CPI, the higher possibility to be downgraded; and the higher the private consumption over GDP, the higher the possibility to be downgraded. Also, we have found out that the relative CDS adjustment for the inter-class is currently useless. We expect further research with the completion of the CDS market.