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.