債券流動性風險與信用風險關聯性之研究

The Relation Between Liquidity Risk and Credit Risk on the Treasury Yield and Corporate Bond Yield Spread

白玉霜(Yu-Shuang Bai)

指導教授 ： 賀蘭芝

元智大學/管理學院/管理研究所/碩士(2002年)

摘要

中文摘要
一般來說，固定收益證券存在價格差異(Yield Spread)，導致如此的價格差異可由固定收益證券的三大主要特徵來說明：(1)公司無法如期償還債務而違約的信用風險。(2)債券價格受到利率變化而波動的利率風險。(3)債權人無法將債券賣出的流動性風險。因此，在控制利率風險後，本文旨在研究債券價差中信用風險與流動性風險的關聯性。
本文結構主要包含兩部分，第一部份利用OLS分析零票息債券的初級公開發行市場。第二部分利用LISREL檢驗投機級債券的次級市場。我們的OLS和LISREL與文獻比較有一致性的結果：流動性風險與信用風險分別與債券價差成正相關，更重要的是，我們發現流動性風險與信用風險成正相關，流動性風險對債券價差的影響勝於信用風險。如此的發現對未來債券的風險管理將有所助益。

關鍵字

價格差異 ； 流動性風險 ； 信用風險 ； 普通最小平方法 ； 線性結構關係 ； 初級公開發行市場 ； 次級市場

並列摘要

Abstract
General speaking, yield spread on fixed-income securities is in terms of three major characters:(i) the default risk that the firm can’t pay or pays off less than promised pa- yment, i.e., credit risk ;(ii) bond price is sensitive to interest rate change, i.e., interest rate risk ; and (iii) the risk that the holder will be unable to sell the instrument, i.e., li- quidity risk. Therefore, we are interesting in the relation between liquidity and credit risk on yield spread of treasury and corporate bond, after controlling interest rate risk.
The structure of the paper includes two major segments. In first portion, we use or- dinary least squares (OLS) method to analysis zero-coupon bonds in initial public of- fering market (IPO). In second portion, we employ linear structural relationships (LISREL) model to examine speculative-grade debt in secondary market (SEC). Our empirical results of OLS and LISREL methods are consistent with previous literature liquidity risk and credit risk should be positively correlated with yield spread of trea- sury and corporate bond. Most important of all, we find positive correlation between liquidity risk and credit risk. The effect of liquidity risk on yield spread is larger than the effect of credit risk on yield spread. These meaningful finds could make a contr- ibution to further improvement on risk management of fixed-income securities.

並列關鍵字

Yield Spread ； Liquidity Risk ； Credit Risk ； Ordinary Least Squares (OLS) ； Linear Structural Relationships (LISREL) ； Initial Public Offering (IPO) ； Secondary Market (SEC)

參考文獻

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2.Altman, E. I.(1968). Financial Ratio, Discriminant Analysis

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the Yield on U.S. Treasury Securities. Journal of Finance.