CAJ | 학술논문

本文概括了主权CDS是否影响欧元区主权债务危机的几种观点和研究．发现了其中的不足之处．并试图进行弥补。文章基于面板数据．在对样本区间和国家进行分组的基础上，用向量误差修正模型（VECM）检验了主权CDS息差与国债息差的价格发现过程．此外还用向量自回归（VAR）模型分析了各国主权CDS息差之间的传染效应。结果发现．虽然主权CDS在价格发现过程中占据领先地位．但是没有证据表明主权CDS与主权债务危机之间存在必然的联系，而各国债务危机之间确实存在传染效应。
본문개괄료주권CDS시부영향구원구주권채무위궤적궤충관점화연구．발현료기중적불족지처．병시도진행미보。문장기우면판수거．재대양본구간화국가진행분조적기출상，용향량오차수정모형（VECM）검험료주권CDS식차여국채식차적개격발현과정．차외환용향량자회귀（VAR）모형분석료각국주권CDS식차지간적전염효응。결과발현．수연주권CDS재개격발현과정중점거령선지위．단시몰유증거표명주권CDS여주권채무위궤지간존재필연적련계，이각국채무위궤지간학실존재전염효응。
This paper has summarized the studies on whether sovereign CDS have influenced the sovereign debt crisis in the euro area, and pointed out their drawbacks and tried to fill this gap. Based on the panel data we divide the sample into different periods and groups, examine separately the price discovery process of sovereign CDS and bond spreads using the VEC model. Besides, we analyze the contagion effect of sovereign CDS spreads on different countries applying the VAR model. Finally, we conclude that though sovereign CDS spreads lead the price discovery process, there is no evidence indi- cating a necessary link between sovereign CDS spreads and sovereign debt crisis. However, contagion effects do exist between different countries in the debt crisis.