美國公債、投資級債券與高收益債殖利率關係之研究

A Study of the Relationship among the Yields of US Government Bond、Investment Grade Bond and High Yield Bond

陳香君(Hsiang-Chun Chen)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.00869

摘要

本文選擇具有明確市場交易價格並為債券投資人主要觀察標的之美國十年期公債殖利率，美林投資等級公司債券指數殖利率及美林高收益債券指數殖利率為研究變數分析不同信評之海外債券於樣本期間及升降息環境時之價格變化(殖利率變動)情形。
研究架構上，先利用ADF檢定與PP檢定對以上三變數進行單根檢定及變數間VAR模型之建立，並進行共整合檢定，以誤差修正項估計其向量誤差修正模型，找出三變數間之長期均衡關係及短期動態調整方式。
實證結果所獲得的重要結論如下:
1.共整合檢定可知，長期下，投資級債利率與美國公債利率具正相關，而高收益債利率與美國公債利率間則呈現負相關。
2.當三者間之方程式脫離了長期均衡關係時，美國公債利率短期呈現上揚（價格下跌），投資級債利率及高收益債利率均呈現下跌（價格上漲），直至回復長期均衡。
3.美國公債利率、投資級債利率與高收益債利率之走勢均具持續性。
4.所有期間美國公債利率與前一期投資級債利率，均具顯著正相關。
5.所有期間高收益債利率與美國公債利率均無顯著相關。

關鍵字

利率 ； 利率波動 ； 景氣循環 ； 債券 ； 債券績效

並列摘要

The study adopted three bond benchmarks which have daily prices(called “Yield“；Yield to Maturity) and always observed by bond investors. The three Yields of bond benchmarks are Yields of US 10yrs Government Bond（called as “US Government Bond”）、Merrill Lynch Global Broad Market Index（called as “Investment Grade Bond”）and Merrill Lynch Global High Yield Index（called as “High Yield Bond”）We studied the relationship of YTM among different credit bonds (YTM) in the observation period.
For the study structure，we adopted ADF Test and PP Test to proceed the unit root test for above three YTMs of bond benchmarks，built up VAR Model，proceeded cointegration test，then built up VECM Model by error correction estimate to find out the long-term Equilibrium and the error correction in short term.
The conclusions are as below:
(1) For long-term cointegration test，it is positive relationship between the Yields of US Government Bond and Investment Grade Bond，but negative relationship between the Yields of US Government Bond and High Yield Bond.
(2) When they do not stand the Equilibrium，the Yield of US Government Bond willrise，but the Yields of Investment Grade Bond and High Yield Bond will drop，until the
Yields return to the Equilibrium.
(3) the Yields of US Government Bond 、Investment Grade Bond and High Yield Bond keep consistency.
(4) the relationship of Yields is apparently positive between US Government Bond and Investment Grade Bond which is one-month lagged.
(5) the relationship of Yields is not apparently between US Government Bond and High Yield Bond.

並列關鍵字

Interest rate ； bond ； bond performance

參考文獻

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