Subprime Crisis Impacted on U.S., Europe and Emerging Bond Market - Discussing Impulse, Spillover and Contagion Effect

• Main Authors: Chi-Feng Tang, 湯騏逢
• Other Authors: Shu-Lien Chang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/4yd8z4

碩士 === 銘傳大學 === 財務金融學系碩士班 === 97 === This study establishes a STVAR-GJR-GARCH model to test the impact, volatility spillover and contagion effects of U.S. - and Europe- (Emerging-) bond market after subprime crisis. The empirical results show that the subprime crisis had a significant impact (non-significant impact) on the expected returns of U.S. and Emerging- (Europe-) bonds. Moreover, this study explores whether the volatility spillover effects of Europe- and Emerging market-bond occur by transmission of the volatility of U.S. bond market. This study explores the causal direction between U.S. - and Europe- bond (U.S.- and Emerging- bond) indexes in the pre- and post- periods of subprime crisis. Furthermore, this study analyzes whether the lead/lag relationship between U.S.- and Europe- bond (U.S. - and Emerging- bond) indexes changes after this crisis. After the subprime crisis, the causal relation between U.S.- and Europe- bond markets is confused due to the synchronous risk contagion. Moreover, the crisis would increase the reciprocal effect from Emerging-bond market to U.S.- (Europe-) bond market. Conclusively, the research proves that contagion effects existed in U.S.- and Europe- (Emerging-) bond markets.