永續發展與政治經濟不確定性對主權債信用違約交換之影響;The Impact of Sustainable Development and Economy Political Uncertainty on Sovereign Credit Default Swaps

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/92699

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/92699

Title:	永續發展與政治經濟不確定性對主權債信用違約交換之影響;The Impact of Sustainable Development and Economy Political Uncertainty on Sovereign Credit Default Swaps
Authors:	柯勁廷;Chin-Ting, Ko
Contributors:	財務金融學系在職專班
Keywords:	政治經濟不確定性;環境指數;碳排放總量;主權債信用違約交換
Date:	2023-07-25
Issue Date:	2024-09-19 16:14:03 (UTC+8)
Publisher:	國立中央大學
Abstract:	隨著聯合國的永續發展目標，世界各國對於永續發展的意識逐漸抬頭，關於永續發展對主權債的影響逐漸有投資者開始關注。鑒於永續發展的議題使投資人開始關注永續發展對主權債的影響以及「地緣經濟衝突風險」及「環境面風險」的背景之下，本研究探討永續發展與政治經濟不確定性對主權債信用違約交換之影響。本文採用下列國家美國、英國、加拿大、德國、法國、義大利、日本、巴西、俄羅斯、印度、中國、墨西哥、韓國、澳洲，資料期間為2009年至 2020年。整體結果表示政治經濟風險越高主權債CDS價格越高，主權債的信用風險越大。環境指數對 CDS無顯著影響。當同時考量環境指數分別與碳排放總量進行交叉相乘後，發現碳排放總量越高且環境指數越高主權債CDS價格越高，主權債的信用風險越大;With the United Nations′ Sustainable Development Goals, countries worldwide are increasingly aware of sustainable development, and investors have begun to pay attention to the impact of sustainable development on sovereign debt. Given the background of "geopolitical-economic conflict risk" and "environmental risk," this study examines the influence of sustainable development and political-economic uncertainty on sovereign debt credit default swaps (CDS). The countries selected for this study include the United States, United Kingdom, Canada, Germany, France, Italy, Japan, Brazil, Russia, India, China, Mexico, South Korea, and Australia, covering the period from 2009 to 2020. The overall results indicate that higher political-economic risk leads to higher sovereign debt CDS prices and increased credit risk. The environmental index has no significant impact on CDS. However, when considering the interaction between the environmental index and total carbon emissions, it is found that higher total carbon emissions and a higher environmental index lead to higher sovereign debt CDS prices and increased credit risk.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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