本文主題為探討國內公司債的信用價差與景氣循環的關係，由於國內公司債市場不如國外市場般的架構健全及資料庫完整，而國內以公司債做為籌資管道的吸引力不夠，以及信用評等不普及與發行量明顯不足下，使得研究範圍的資料與樣本數量明顯不足。2000年在主管機關的努力下，國內公司債市場逐步落實信用評等機制，與過去相較，無論在發行量及次級交易量皆明顯成長。使本研究得以有機會取得國內近7年完整的5年期普通公司債發行資料。針對理論信用風險模型，用實證的方法解開2000年到2007年間臺灣公司債市場信用價差的謎團，在傳統迴歸分析方法下及理論模型所建議的變數，得出不論信評的概略分類或仔細分類其調整後R 值在13.6%到19.5%變化不大，增加景氣循環變數(包括每日之台灣股價指數月報酬，10年期指標公債，新台幣對美元匯率)之後，調整後R 值則有57.8%的解釋能力，另外將整個信用評等替換掉後平均仍有56.3%的解釋力。實證結果得到景氣循環對台灣的信用價差佔有非常重要的影響，反倒是信用評等對台灣公司債市場的信用價差似乎影響不大。該結果與Chikashi Tsuji(2005)結論相近。 This paper explores the effect of economic factors on corporate bond yields in Taiwan. According to theoretical model of credit risk, the determinants of credit spreads are the differences in credit quality between corporations. However, considering several theories, credit spreads may also be influenced by other macroeconomic and financial variables as candidate proxies. Moreover, these models do not explicitly specify a relationship between spreads and the dynamics of economy. The paper aims to empirically test the explanatory power of the factors implied by the theory on credit spreads, and we attempt to economically approach the “relationship” by testing the explanatory power of other economic factors such as credit rating, investor’s preferences, and business cycle.
The significant contribution of this paper is to have analyzed credit spreads in Taiwan. That is, from the fiscal years 2000 to 2007, the explanatory power of the variables suggested by theoretical models (as measured by the adjusted R-squared) is only around 13.6%, and only around 19.5% with the addition of the careful credit rating. We have emphasized the importance of the business cycle, this result clearly demonstrate the importance of the business cycle and macro-dynamics in explaining credit-spread changes. Thus, credit rating added, credit spreads in Taiwan cannot be sufficiently explained, which confirms our suggestion that credit spreads in Taiwan are quite puzzling.
