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標題: 美國地方政府債券之承保風險與評價
Counterparty Risk and Pricing of US Municipal Bonds
作者: 高振維
Kao, Chen-Wei
Contributors: 徐俊明
Junming Hsu
財務金融系所
關鍵字: 承保風險;地方政府債券;債券保險;違約機率;流動性;邊際稅率;債券評價模型
counterparty risk;municipal bonds;bond insurance;probability of default;liquidity;marginal tax rate;bond pricing model.
日期: 2013
Issue Date: 2013-11-18 14:30:50 (UTC+8)
Publisher: 財務金融系所
摘要: 本論文旨在探討兩個有關美國地方政府債券議題: (1) 債券承保風險與地方政府債券殖利率之關係:(2) 影響地方政府債券評價之因子。
在承保風險議題中,實證結果指出美國地方政府債券殖利率與保險公司信用風險呈現正向關係,在控制不同風險因子(包含債券市場流動性、債券基本因素、利率與保險公司固定效果下)與利用不同流動性與保險公司風險衡量方法下,結果仍一致。另方面,本研究亦發現承保風險對於投機等級債券相較於投資等級債券影響較大,尤其在2008年金融危機期間,承保風險愈顯重要。
在債券評價議題中,本研究利用Fama and French (1993)三因子、債券流動性、違約風險、期間結構風險貼水與保險狀態來評價地方政府債券。實證結果指出,流動性與到期風險顯著影響債券報酬,其結果與公司債一致,且低品質債券與個別投資人持有之特性對於此兩個因素影響更加顯著。另外,本研究亦發現保險狀態(有保險債券報酬與沒有保險債券報酬之差異)對於債券報酬有顯著影響。
本論文對於文獻的貢獻在於:(1)保險公司的承保風險顯著影響美國地方政府債券殖利率;(2)債券特性包含流動性、期間結構風險與保險狀態會影響債券報酬。此發現建議地方政府債券投資人應重視保險公司信用風險,且對於品質較差、長期債券與未保險債券應要求更高風險溢酬。
This dissertation works on two issues related to municipal bonds: (1) how the counterparty risk of the municipal bond insurer affects bond yield and (2) factors that influence municipal bond returns.
On the first issue, I find that municipal bond yields are positively associated with insurers’ credit risk. This positive relation is robust when considering various related factors, including bond-market liquidity and bond-specific characteristics (tax, coupon, rating, age, and maturity), and when using alternatives measures of counterparty risk and liquidity. I also find that counterparty risk (1) tends to be more important for low-quality (i.e, low-rating) bond yields than high-quality bond yields, and (2) had a greater impact on bond yields during the 2008 subprime crisis period.
On the second issue, I employ Fama and French (1993) three factors, liquidity, default risk, term structure risk, and insurance status to price municipal bonds. The results show that in general liquidity and maturity risk significantly affect municipal bond returns, which are similar to corporate bonds. None the less, low quality and individual-holding bonds tend to be more sensitive to these two factors. My additional finding is that the insurance status (the premium between insured and uninsured bonds) also has a significant effect on bond returns.
This dissertation contributes the bond literature by showing that (1) insurer counterparty credit risk significantly affect municipal bond yields, and (2) bond specific characteristics including liquidity and maturity risk, and insurance status are significantly associated with bond returns. These two results indicate that municipal bond buyers do care about insurers’ credit and require greater premia for low-liquidity, long-lived, and uninsured bonds.
Appears in Collections:[依資料類型分類] 碩博士論文

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