Spillover Effect of Credit Risk-Empirical Evidence from Listing Companies in Taiwan

• Main Authors: CHENG, NING, 鄭寧
• Other Authors: CHANG, CHIA-CHIEN
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/6y772e

碩士 === 國立高雄科技大學 === 金融資訊系 === 107 === In the study, we use distance to default (DD) from KMV model to measure the credit risk. We use a vector autoregression model (VAR) and variance decomposition to examine spillover effect of credit risk, where the change of DD is endogenous variable and macroeconomic factors are exogenous variables. Based on the research period including the financial crisis and European debt crisis, we divided the full sample period into two periods, 2007-2012 as the crisis period, and 2003-2006 and 2013-2017 as the non-crisis period. We further investigate whether they have the different spillover effect in different period. The empirical result shows that credit risks of traditional industries and of electronics industries are mainly impacted by themselves. Moreover, traditional industries and electronics industries can influence each other. The credit risk of emerging industries does not spillover to other industries, whereas credit risks of traditional industries and electronics industries can spillover to emerging industries. Hence, the spillover effect of credit risk are asymmetry.