公司債與公債殖利率之利差影響因素-以台灣為例

Abstract

債券評價之結構模型已建立債券利率、股價波動度等變數在預測債券價格上的經濟理論基礎，而許多參考美國債券市場資料之文獻也發現股票和債券報酬率間具有密切關係，因此一些股票市場中的重要指標如股價淨值比和股價指數也能用以預測債券殖利率的變化，本研究欲探討這些重要變數與台灣公司債和公債間殖利率利差的關係。 我們擷取台灣債券交易市場的殖利率時間序列資料，利用向量自我迴歸模型及Johansen檢定發現這些變數與公司債和公債利差間具有共整合關係，且除了股價指數外皆能用以預測公司債與公債之利差。

The structural models of corporate bonds have together established the theoretical basis on how interest rates and stock volatility can be used to explain the price of bonds. Many literatures that based on U.S. bond market have also found the strong connection between stock market and bond market returns. Some of the most commonly used indexes in stock market such as price-to-book ratio and the change of stock index can also help to predict the change of yield to maturity. We are trying to investigate the relationships between these variables and the yield spreads between corporate bonds and government bonds. Having taken the time series data from bond market in Taiwan, we found that there are cointegrations between yield spreads and those variables by using vector autoregression model and Johansen test. And except for stock index, these variables can be used to predict the yield spreads from different term-to-maturity.