本研究以拉丁美洲五個主要經濟體（巴西、智利、哥倫比亞、墨西哥與祕魯）為樣本，探討匯率超額報酬與主權信用違約交換(CDS)之間的關係，並進一步檢驗危機期間傳遞差異以及匯率超額報酬之波動特性。本文使用 2009 年 1 月至 2022 年 12 月之月資料，以 5 年期美元計價主權 CDS（風險水準指標）、匯率超額報酬及全球市場控制變數（S&P 500 報酬）建構實證模型；方法上先以 OLS 檢驗 CDS 對匯率超額報酬的預測關係，再以 GARCH(1,1) 與 EGARCH(1,1) 同時估計均值與變異數波動，並納入危機虛擬變數與交互作用項以檢驗危機放大效果與不對稱波動。實證結果顯示，多數國家之 CDS 風險水準對後續匯率超額報酬具有顯著解釋力，支持主權風險可作為匯率風險溢酬的重要資訊來源；然而，危機期間的交互作用效果整體上並不顯著，顯示 CDS與FREX的傳遞機制在危機與常態期間差異有限。波動面向上，匯率超額報酬呈現明顯的波動叢聚與持續性，且部分國家存在壞消息較易放大波動的跡象，但其顯著性因國別而異。整體而言，本研究提供拉丁美洲新興市場主權信用風險與匯率風險溢酬之間存在定價關係的實證證據，並對投資風險管理與跨市場風險監測具有實務意涵。

This study investigates the relationship between exchange rate excess returns and sovereign credit risk in five major Latin American economies: Brazil, Chile, Colombia, Mexico, and Peru. Using monthly data from January 2009 to December 2022, this thesis examines whether sovereign credit default swap (CDS) spreads contain useful information for explaining exchange rate excess returns. The 5-year USD-denominated sovereign CDS spread is used as a market-based proxy for sovereign credit risk, while exchange rate excess return is used to measure the compensation investors require for bearing currency risk. The S&P 500 return is also included as a global market control variable.
The empirical framework combines ordinary least squares (OLS), GARCH(1,1), and EGARCH(1,1) models. OLS regressions are first used to examine the average relationship between sovereign CDS spreads and exchange rate excess returns. GARCH models are then applied to capture volatility clustering and persistence, while EGARCH models are used to test whether negative shocks have a stronger effect on volatility than positive shocks. In addition, crisis dummy variables and interaction terms are included to examine whether the CDS-FREX transmission mechanism changes during crisis periods.
The results show that sovereign CDS spreads have positive and significant explanatory power for subsequent exchange rate excess returns in most countries. This finding supports the view that sovereign credit risk is priced in currency risk premia. However, the crisis interaction effects are generally insignificant, suggesting that the marginal effect of CDS spreads on exchange rate excess returns does not change substantially between crisis and non-crisis periods. The volatility results further show clear volatility clustering, strong persistence in some markets, and asymmetric volatility responses in selected countries.

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