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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101911

    Title: 10年期公債殖利率時間數列分析 : 以歐債危機期間義大利、西班牙與希臘為例
    Other Titles: Time-series analysis of Italy, Spain and Greece 10-years government bond yield during European debt crisis
    Authors: 劉人碩;Liou, Ren-Shyr
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 歐債危機;多變量GARCH模型;公債殖利率;外溢效果;european debt crisis;Multivariate GARCH Model;Bond Yields;Spillover Effects
    Date: 2014
    Issue Date: 2015-05-04 09:42:51 (UTC+8)
    Abstract: 本研究選取具有明顯赤字歐元區國家,即義大利、西班牙與希臘之10年期公債殖利率變動做為實證研究對象,本研究定義歐債期間起始自希臘面臨破產且得到第二次援助,利用三變量GARCH模型實證歐債期間,義大利、西班牙與希臘之10年期公債殖利率變動是否存在報酬外溢與波動外溢效果。
    The study selects a clear deficit in the euro area countries, namely Italy、Spain and Greece ,examines the interrelationship among 10-year Government bond yield rate, this study defines the period from Greece facing the danger of bankruptcy and getting second aid. Using three variables GARCH model to demonstrate whether or not exists return and volatility spillover effects.
    The empirical results show Italy to Greece existing return spillover effect, the possible reasons include the differences in geographic and economic system. There exists volatility spillover effect between three countries, Three closely related to the debt problems of representation.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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