Title page for etd-0728113-192836


[Back to Results | New Search]

URN etd-0728113-192836
Author Chung-Chieh Wen
Author's Email Address No Public.
Statistics This thesis had been viewed 5578 times. Download 163 times.
Department Finance
Year 2012
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title CDS Spread Changes around Eurozone Debt Crisis--An Empirical Analysis of the Germany Financial Industry
Date of Defense 2013-07-12
Page Count 77
Keyword
  • Germany Financial Industry
  • Eurozone Debt Crisis
  • Credit Default Swap
  • Abstract Germany is the main member in Eurozone,but under the Sub-prime and Eurozone Debt Crisis, how’s Credit Default Swap(CDS) Spread interaction with Germany Financial Industries is our concern.We choose five financial Industries(Bank, Financial sector, Real estate, Non-life Insurance and Insurance)and German Sovereign CDS weekly database from Datastream ,and use VAR Model to analyze the relationships of the CDS indices between Germany Financial industries and Sovereign CDS around the Eurozone Debt Crisis.
      Our main finding shows that:Before the Eurozone Debt Crisis(2008-2009),also the period of Sub-Prime Crisis, only Germany Financial Sectors lead the Sovereign CDS in comparison with the Eurozone Debt Crisis break-out period(2010-2013).Besides, the key indicator--Non-life Insurance influence the most. Not only have a Granger causality effect to German Bank but Financial sector and Life insurance. Likewise, the Real estate is endogenous before the Eurozone Debt Crisis and has a positive strong correlation with other Financial Industries.
    By contrast, after Eurozone Debt Crisis (2010-2013), the causality effect between Sovereign CDS and five financial variances are weakening, but Non-life Insurance CDS series become an important determinant. Compared to the period of Sub-Prime Crisis, the impulse response analyses between five financial industries are convergent faster in the short term.
    Advisory Committee
  • Mei-Ling Yang - chair
  • Chun-Ping Chang - co-chair
  • Chien-Chiang Lee - advisor
  • Files
  • etd-0728113-192836.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2013-08-29

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys