淡江大學覺生紀念圖書館 (TKU Library)

系統識別號 U0002-1301200821124400
中文論文名稱 台灣債券市場信用價差與景氣循環之實證分析
英文論文名稱 Taiwan Bond Market The Analysis of Credit spread and business cycle
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 1
出版年 97
研究生中文姓名 邱士中
研究生英文姓名 Shih-Chung Chiu
學號 794490119
學位類別 碩士
語文別 中文
口試日期 2008-01-01
論文頁數 40頁
口試委員 指導教授-聶建中
中文關鍵字 信用價差  景氣循環  信用風險  公司債 
英文關鍵字 Credit spread  Credit risk premium  Business cycle  Corporate bond 
中文摘要 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。
英文摘要 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.
論文目次 目 錄 I
圖表目錄 II
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機及目的 2
第三節 本文架構 6
第四節 實證流程 7
第二章 文獻探討 8
第三章 資料與研究方法 15
第一節 資料來源與處理 15
第二節 研究方法 19
第四章 實證結果與分析 21
第一節 公司債信用價差與各項指標間關聯之迴歸分析 21
第二節其他測試 23
第五章 結論與建議 33
參考文獻 34

圖一:近來台灣直接金融與間接金融比例 5
圖二:近來台灣債券市場與股票市場成交金額比較 5
圖三:近年來台灣債券市場發行種類與金額 6
表一:變數資料 18
表二:理論模型決定因子的解釋力 22
表三:將信用評等細分後的解釋力 ............... 24
表四:將隔拆利率換成公債附買回利率的解釋力 25
表六:加入總經變數後的解釋力 27
表七:將信用評等替換掉的解釋力 29
表八:換每日90天股價指數報酬 29
表九:換每日120天股價指數報酬 30
表十:換每日150天股價指數報酬 30
表十一:換每日180天股價指數報酬 30
表十二:當期隔拆與7天前隔拆利率變動的解釋力 32
表十三:當期隔拆與15天前隔拆利率變動的解釋力 32
表十四:當期隔拆與30天前隔拆利率變動的解釋力 32

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