公司債信用價差分析─台灣與美國債券市場之實證探討

The credit risk premium of Corporate Bond – The Analysis of Taiwan and U.S. bond markets

李亞純(Ya-Chun Lee)

指導教授 ： 林允永 ； 李進生

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00683

摘要

有鑑於近年來公司債發行量及交易量逐漸增長，惟公司債之發行公司因信用等級之不同而有不同之利率定價，故為探討實務上公司債之定價與市場主要利率指標間之關係，本文將依據Duffee (1998)所建構之公司債信用價差模型，分析台灣及美國公司債信用價差與政府公債及90天期商業本票、3個月期倫敦金融市場拆款利率（Libor）等利率指標之關聯性。

實證結果發現台灣及美國市場之公司債不論信用等級為何，其公司債信用價差之變動與同年期公債利率期間結構之斜率變動皆呈負相關，且亦分別與90天期商業本票利率變動及3個月期倫敦金融市場利率變動呈負相關。該結果與Duffee之論點相符。

關鍵字

信用價差 ； 信用等級 ； 利率期間結構

並列摘要

In recent years corporate bond issuance and trading volume increased dramatically. Each corporate bond has different pricing due to credit ratings of the issuing corporation. In order to analyze the real market practice, this paper applies Duffee’s (1988) approach to investigate the relationship between credit risk premium and the slope of the Treasury yield curve at given maturity, the 90-day commercial paper, and the 3 month London Inter Bank Offered Rate (LIBOR).

The results, in both Taiwan and the U.S. bond markets, display negative correlation between corporate credit risk premium and the slope of the Treasury yield curve at given maturity of the corporate bond, regardless of the corporate credit rating. The results also show negative correlation between the corporate risk premium and 90-day commercial paper yield and the 3-month LIBOR. Both outcomes correspond to Duffee’s (1998) results.

並列關鍵字

Credit Risk Premium ； Credit Rating ； Interest Rate Term Structure

參考文獻

3. 林家豪(2006) 公司債信用風險溢酬探討─國內債券市場之實證研究

1. Black F.and M.Scholes (1973),”The Pricing of Options and Corporate Liabilities” Journal of Political Economy 81, p.637-59

2. Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root

Journal of the American Statistical Association 74, p.427-31

3. Duffee, Greory R (1998) “The Relation Between Treasury Yield and Corporate Bond Yield Spreads”The Journal of Finance,53 p.2225-2242