本篇研究檢視拉丁美洲包括阿根廷、巴西、智利、哥倫比亞、墨西哥、祕魯等六個國家主權債信用違約交換價格與匯率間的資訊傳遞。
本研究利用2007年12月至2017年11月間月資料以GARCH回歸模型測試主權債信用違約交換價格及遠期匯率之間的互動關係。結果顯示當市場波動率(VIX)較高，即市場不確定性技高的狀態下，大部分拉丁美洲國家前一期匯率貶值會造成本期的主權債信用違約交換價格上升。也就是說，匯率貶值造成主權債信用風險增加，這是符合預期的，但是沒有發現主權債價格變動對匯率變化有顯著的影響。當我們以VIX指數視為外生變數時，匯率的變動和主權債信用違約交換的價格變動都會受到VIX指數的影響，也就是當VIX越大，這些拉丁美洲國家的匯率會貶值，而同時主權債信用違約交換的價格也會上升。主權債信用違約交換價格本身的落後期為控制變數後，本研究發現只有巴西的資料顯示這兩者的變動有互相領先落後關係，也就是巴西的匯率變動和主權債信用違約交換價格的變動為一個反應系統。此外波動率指數對於信用違約交換價格影響也是呈現正向顯著。最後在一般化的衝擊相關數據下發現，巴西匯率和主權債信用違約交換價格的變動會受到前一期另一個變數的影響。

This study investigates the information transfer of main creditor’s right credit default swap price and exchange rate among six countries, including Argentina, Brazil, Chile, Colombia and Peru in Latin America.
With the data from December 2007 to November 2017, GARCH regression model is used to test the interactions between main creditor’s right credit default swap price and long term exchange rate. Results show that when VIX is higher, which means that as the market turbulence is higher, the previous term of exchange rate decrement would result in the increase of current main creditor’s right credit default swap price in most Latin American countries. In other words, decrement of exchange rate would result in the increase of main creditor’s right credit risk, which is expected. However, there is no significant influence found with the change of main creditor’s right price toward exchange rate change. As exogenous variable is set to be VIX Index, exchange rate change and the price change of main creditor’s right credit default swap price are affected by VIX index. It is to say that the bigger VIX is, the exchange rate of the above Latin American countries would face decrement. Meanwhile, the price of main creditor’s right credit default swap price would increase. When in the behind phase, as the main creditor’s right credit default swap price becomes controlled variable, it is found in the study that only the data of Brazil shows that the change in between the two has the lead-lag relationship. In other words, the exchange rate change and the main creditor’s right credit default swap price change is a react system. In addition, the influence of VIX index toward the credit default swap price is significantly positive. At last, with the generalized impact related data, it is found that the change of exchange rate and main creditor’s right credit default swap price would be affected by another variable from previous term.

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