2008年底的次貸風暴引發金融海嘯，使全球金融體系瀕臨瓦解，造成全球經濟動盪不安，各國央行希望藉由利率的調降來刺激經濟的發展。本文著重在高收益債券型基金價格，以利率為移轉變數，採用平滑移轉迴歸模型（Smooth Transition AutoRegression, STAR）觀察高收益債券違約率、利率、物價、匯率四者與高收益債券價格間的關係，發現市場確實產生結構性的變化。從高收益債券違約率來看，實證結果顯示，當利率遠大於或遠小於門檻值時，高收益債券違約率和高收益債券價格呈現負相關。此一發現可提供投資人作為投資決策之參考。 At the end of year 2008, global financial tsunami caused by subprime mortgage crisis has created unclear volatility on global market, central bank worldwide hope to stimulate economic development by lowering the interest rate. This research is aim to emphasize on price of high yield fixed-income bond fund, taking interest rate as transitional variable and employing Smooth Transition AutoRegression，STAR model to investigate the interacted relationship between the price of high yield fixed-income bond and four other factors: interest rate, price of good , currency exchange and default rate of high yield fixed-income bond, this results in structural change on market.. This studies shows that when the interest rate is far greater or far less than the threshold value, the default rate of high yield fixed income bond has negative relation toward the price of high yield fixed-income bond. This result provides efficient reference for investor on investment decision.
