The Relationship between Macro Environment、Yield Curve and Credit Spread of Corporation Bonds

自2008年金融風暴以後，國內公司債發行金額出現成長趨勢，不論是受到經濟成長或投資金額增加刺激，2010年起公司債買賣斷金額回復到2005年水準，櫃檯買賣中心也在2005年11月1日時建置公司債殖利率參考曲線，協助投資人交易到更好的價格。公司債成交利率除了利率風險、長期公債利率走勢影響外，也受到信用風險與發行個體財務風險的衝擊。依據Longstaff and Schwartz (1995) 二因子模型與Duffee (1998) 對不同穆迪信用評等的公司債券與無風險利率差異的研究，本文以中華信評公司債2010年到2014年AAA、AA+、AA-、AA 四種等級的公司債作為研究標的，透過VAR 模型分析不同到期時間與信用評等級對信用利差的影響。Since the financial crisis occurred in 2008, the issue amount of local corporation bonds grew as well, no matter is the economy recovered affect or investing quote stimulate, the trading value recovery to the standard of 2005,and also Gre Tai Center established the yield curve to assist investors for better transaction result. Common determinants of corporation bond transaction risks are including interest rate risks, long government bond interest rate and credit risks from issuer’s financial structure. According to the two factors of interest model of Longstaff and Schwartz (1995) and empirical result of Moody’s corporation bonds credit spread from Duffee (1998) , this thesis takes Taiwan Rating AAA+、AA+、AA-、AA corporation bonds as observed samples, to testify the development of the same matured corporation bonds credit spreads between different macro circumstances and the direction of corporation bonds credit spreads while the long government bond interest change