有鑑於近年來貨幣市場利率處於低點,企業得以藉由直接金融降低籌資成本,促使公司債與金融債券發行量及次級交易量逐日增加。然公司債與金融債券之發行會因信用評等等級差異而會有不同的訂價利率。故藉由中華民國證券櫃檯買賣中心於2005年11月建置之公司債參考利率資料,選取2005年11月1日至2009年12月31日共1,043筆日資料,在取得較為公開、公正及即時之參考利率之後,先進行單根檢定,確立所選取之數據及各項變數數據處於定態狀況,配合本文延伸Duffee(1998)所建構之公司債信用風險溢酬模型,分析國內公司債信用風險溢酬變動與無風險利率期間結構變動、新台幣利率交換利率期間結構變動及90天商業本票利率之變動等指標利率之關聯性。藉此可以得知,當企業發行公司債或金融機構發行金融債券時,短天期之商業本票利率與長天期公債殖利率及新台幣利率交換,將會影響其成本之訂價利率高低。
Due to the money market rate staying at the low level these years, corporate obtained the lower funding cost and also boomed the primary and secondary bond market. Since the most important factor affects the bond pricing is the credit rating level. We use the corporate bond reference rate raw data which was established by Gre Tai Securities from Nov.01, 2005 to Dec.31, 2009 as my analyzing database. After the more reliable data is chosen, the Unit Root Test is proceed first to confirm those data is chosen and the numbers of the variables are on stationary status. Based on the analysis above, cooperating with our corporate bond credit risk premium model which derived from Duffee (1988). We analyze the correlation among the variation of local bond credit risk premium and the term structure of risk free rate, the term structure of TWD IRS rate, 90 days CP rate and other interest rate benchmarks. Based on the study above, when issuing corporate bond or bank debenture, we can conclude short-term CP rate, long-term government bond yield and TWD IRS rate which will influence pricing level significantly.