德國身為歐盟區的主要會員國，接踵而來次貸與歐債危機對於德國金融產業信用違約交換(CDS)之間如何作用是我們所重視的，本文使用Datastream 資料庫中銀行、金融、房地產、產物保險、壽險等五大部門，以及德國主權指數五年期CDS價差之週資料，以向量自我迴歸(VAR)時間序列方法分析歐債前後德國金融產業間信用價差的變動及其主權國家債信之間的關係。
結果發現：2008-2009年歐債危機前，亦為次貸期間，僅金融產業變數為德國主權債券5年期CDS的領先指標，其中又以產物保險指標中最為關鍵變數，不僅影響銀行業，還對德國金融業、人壽保險業都有正向的因果關係。同時歐債前房地產業CDS較歐債後有內生性問題且與其他金融產業相關性高。反觀，歐債危機發生之後(2010年至2013年間)，五大金融產業間與德國主權5年期CDS點數互相因果關係削弱，產物保險成為最具影響主權CDS的領先指標。而金融產業間相互之間衝擊反應較歐債前更早收斂回穩。

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.

論文審定書…………………………………………………………… i
誌謝…………………………………………………………………… ii
中文摘要……………………………………………………………… iii
英文摘要……………………………………………………………… iv
目 錄…………………………………………………………………… v
表目錄………………………………………………………………… vii
圖目錄…………………………………………………………………. viii
第一章、前言…………………………………………………………… 1
1.1研究背景及動機………………………………………………… 1
1.2文獻回顧…………………………………………………………… 3
第二章、德國金融情勢分析及CDS交易說明………………………… 7
2.1 德國總體經濟及歐債影響………………………………………… 7
2.2德國金融業(銀行、金融服務、房地產、保險業)現況………… 12
2.3 CDS介紹及交易說明…………………………………………… 20
第三章、研究方法…………………………………………………… 22
3.1 資料來源與變項說明 …………………………………………… 22
3.2 研究架構 ………………………………………………………… 24
3.3 研究方法 ………………………………………………………… 25
第四章、實證分析及結果 …………………………………………… 30
4.1 敘述統計 ………………………………………………………… 30
4.2 相關係數 ………………………………………………………… 36
4.3單根檢定 ………………………………………………………… 37
4.4 Granger因果關係 ……………………………………………… 38
4.5向量自我迴歸 …………………………………………………… 41
4.6變異數分解 ……………………………………………………… 43
4.7衝擊反應函數 …………………………………………………… 47
第 五 章、結論 ………………………………………………………49
參考文獻 ………………………………………………………………51
附錄一 …………………………………………………………………55
附錄二 …………………………………………………………………62

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