本篇研究檢視了金融危機與希臘主權債危機對六個亞洲國家在雷曼兄弟破產案發生前後的資訊傳遞。本文利用了2004年到2010年間週資料以面板研究及自我相關條件異質變異模型去測試在主權債信用違約交換及其他全球財務變數之間的資訊傳遞。
結果顯示金融危機及希臘主權債危機對亞洲國家主權債信用違約交換市場有顯著的影響。大部分之全球財務變數如：波動率指數、標準普爾500指數、十年期美國公債殖利率、美國公司債利差等都可以幫助預測亞洲主權債信用違約交換。相較於雷曼兄弟破產前，在雷曼兄弟破產案發生後亞洲國家主權債信用違約交換報酬對於希臘與德國信用違約交換利差變得更為敏感。

This paper tests for the information transmission of the financial and Greek sovereign debt crises to six Asian countries before and after the bankruptcy of Lehman Brothers. We use weekly data form 2004 to 2010 to investigate the patterns of information transmission between sovereign debt credit default swap (CDS) and other global financial variables with panel regression and GARCH models.
Results show that there are strong impacts of U.S. financial crisis and Greek sovereign debt crisis on Asian sovereign CDS markets. Most of these global variables such as VIX, S&P 500 stock index, 10-year U.S. Treasury rate, and U.S. corporate default yield spread can help predict Asian sovereign CDS spreads. Following the collapse of Lehman Brothers in the U.S., Asian CDS spread return has become more sensitive to changes in Greek CDS spreads relative to German CDS spreads compared to the pre-Lehman sub period.

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