台灣從2009年至今長達10年的定存利率低，導致定存族紛紛尋求較高的收益，而各家銀行也因存放利差縮小無利可圖，轉往發展財富管理業務，賺取無風險的手續費收入，代為銷售基金及保險，致使資金也紛紛轉向風險性資產。　　　而高收益債券兼具股票與債券的優點，已成為當今十分熱門的投資理財工具。
本研究的目的在於探討經過美國低利率及升息循環下，全球高收益債券基金及新興市場債基金受股市、匯市及債市的影響，採用非線性平滑移轉模型以標準普爾500指數為門檻變數，觀察聯博全球高收益債券基金、富蘭克林坦伯頓新興國家固定收益基金與美元指數、美國10年期公債殖利率在標準普爾500指數低於或高於門檻時對其之變動如何產生影響。
本研究發現當標準普爾500指數由門檻之下轉換於門檻之上時，其呈現移轉速度顯著正相關，影響高收益債的走勢。而美國10年期公債殖利率無顯注影響，此一發現，可以提供市場投資人在投資高收益債及新興市場債基金投資策略時調整的參考依據。

From 2009 until now, Taiwan has had low term deposit interest rates for a decade, resulting in terms of depositors’ search for higher yields. Meanwhile, the banks turned to wealth management undertakings to earn income from risk-free handling fees, engaged in representative funds and insurance sales because of the narrowed deposit spreads that led to unprofitability, causing funds to influx to risky assets. Due to the advantages of the high-yield bonds, stocks and bonds, they have become popular investment and financial management tools.
The purpose of this research is to explore the impact of global high-yield bond funds and emerging market bond funds subject to the stock market and foreign exchange market impacts under the cycle of low interest rate and interest rate hikes in the United States. The Non-linear Smooth Transition Model was adopted, with the Standard and Poor’s 500 Index as the threshold variable, to observe the ABITL Global High Yield Fund-TA TWD, Franklin Templeton Emerging Markets Bond Fund A (Mdis) and US Dollar Index and the Standard and Poor’s 500 Index lower or higher than the threshold and how the change affects the United States 10-year bond yield.
The study found that when the Standard and Poor’s 500 Index turned from below the threshold to above the threshold, the speed of the transfer presented showed a significant correlation, which affected the trend of high-yield bonds. On the other hand, no significant impact was seen in the United States’ 10-year bond yield. This finding shall serve as a reference for market investors when investing in high-yield bonds and adjusting market bond fund investment strategies.

目  次
表  次	III
圖  次	IV
第一章　緒論	1
第一節 研究背景與動機	1
第二節 研究目的	4
第三節 研究架構與流程	6
第二章　理論與文獻探討	8
第一節 S&P500指數簡介及相關文獻探討	9
第二節 高收益債券簡介及相關文獻探討	11
第三節 新興市場債券簡介及相關文獻探討	15
第四節 美元指數簡介及相關文獻探討	17
第五節 美國10年期公債殖利率簡介及相關文獻探討	19
第三章　研究方法	21
第一節 單根檢定法	22
第二節 平滑移轉迴歸模型	26
第四章　實證結果與分析	32
第一節 研究資料來源與敘述統計分析	32
第二節  單根檢定結果	37
第三節  模型參數估計與分析	39
第五章　結論與建議	46
第一節 結論	46
第二節 建議	48
參考文獻	50

表  次
表 4-1-1各變數的敘述統計量	32
表 4-2-1聯博全球高收益債券、富蘭克林坦伯頓新興國家固定收益、美元指數、美國10年期公債殖利率及標準普爾500的單根檢定	38
表 4-3-1聯博全球高收益債券基金邏輯型模型參數估計	40
表 4-3-2各解釋變數聯博全球高收益債券基金之影響關係	41
表4-3-3富蘭克林坦伯頓新興國家固定收益基金邏輯型模型參數估計	42
表4-3-4各解釋變數富蘭克林坦伯頓新興國家固定收益基金之影響關係	43
圖  次
圖 1-3-1研究流程	7
圖3-2-1邏輯型函數圖形	29
圖3-2-2指數型函數圖形	30
圖4-1-1聯博全球高收益債券基金淨值走勢圖	34
圖4-1-2富蘭克林坦伯頓新興國家固定收益債基金淨值走勢圖	34
圖4-1-3美元指數走勢圖	35
圖4-1-4標準普爾500指數走勢圖	35
圖4-1-5美國10年期公債殖利率走勢圖	36
圖4-3-1GBJB平滑移轉迴歸模型圖	45
圖4-3-2EMJB平滑移轉迴歸模型圖	45

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