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    Title: 公司債信用價差分析 : 台灣與美國債券市場之實證探討
    Other Titles: The credit risk premium of corporate bond : the analysis of Taiwan and U.S. bond markets
    公司債信用價差分析 : 臺灣與美國債券市場之實證探討
    Authors: 李亞純;Lee, Ya-chun
    Contributors: 淡江大學財務金融學系碩士在職專班
    林允永;Lin, Yun-yung;李進生;Lee, Chin-shen
    Keywords: 信用價差;信用等級;利率期間結構;Credit Risk Premium;Credit Rating;Interest Rate Term Structure
    Date: 2007
    Issue Date: 2010-01-11 01:01:45 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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