公司債券違約風險對債券利差與存續期間之影響

Abstract

債券結構模型預測債券的違約風險對債券的利差以及債券的存續期間有重要影響。本研究係參考Jacoby and Shiller（2010）的迴歸模型，利用台灣債券市場資料實證該債券結構模型。 本研究依照債券的信用評等將債券分類，以去除公司的財務槓桿對公司債券利差的影響，應用證券櫃檯買賣中心資料進行實證研究。首先，利用公債零息殖利率與普通公司債券零息殖利率估計違約風險利差。接著以政府公債零息殖利率變動與違約風險利差變動之關係，研究無風險利率對違約風險利差的影響。最後，以政府公債零息殖利率變動與公司債零息殖利率變動之關係，研究違約風險調整後存續期間與Macaulay存續期間之關係。 本研究使用台灣債券市場資料的實證結果，違約風險利差變動與公債殖利率變動為負相關，與Jacoby and Shiller（2010）使用加拿大債券市場資料的實證結果相同。實證結果也驗證了Acharya and Carpenter（2002）的模型，他們的模型預測違約風險會縮短債券的存續期間。

Structural models for valuing straight corporate bonds show that default risk have important implications for the yield spread and the bond duration. Based on Jacoby and Shiller（2010）, this study uses data from Taiwan bond market to test the hypotheses. First, we classify bonds according to their ratings. Using data from GreTai Securities Market, we estimate default spread as the difference between the zero-coupon yield of a straight corporate bond and the zero-coupon yield of a government bond with the same term to maturity. Then, we use the relationship between changes in government zero-coupon yield and default spreads to examine the impact of the risk-free rate to the default spread. Furthermore, we use the relationship between changes in government zero-coupon yield and corporate zero-coupon yield to examine the relationship between the risk-adjusted duration and the Macaulay duration. The results are consistent with that of Acharya and Carpenter（2002）.