債券信用價差的預測行為

The Forecasting Behavior of Bond Credit Spread

吳曼華(Man-Hwa Wu)；顏慈均(Tzu-Chun Yen)

信用價差 ； 經濟成長 ； 信評等級 ； 收益率 ； 信用價差的斜率 ； 曲度 ； Credit spread ； Economic growth ； Credit ratings ； Slope default risk ； Curvature of credit spread

計量管理期刊

18卷2期（2021 / 11 / 01）

49 - 74

繁體中文

信用價差為反應市場對未來公司違約風險的預期，投資人可以藉由觀察信用價差的行為來預測未來的經濟成長或衰退，本文使用2009年1月到2018年9月，不同信評等級的公司債與公債的收益率，衡量信用價差的斜率（違約風險）及曲度，進一步探討信用價差是否能成為預測經濟成長或衰退的領先指標。當工業生產指數成長率下降時，投資級信評中之較高信評等級（AA級以上）債券的信用價差越小、違約風險也越小，最高信評AAA等級債券的曲度則越大；然而投資級信評中之較低信評等級（BBB級）債券的信用價差則越大、違約風險也越高。表示短期的殖利率高於長期的殖利率，出現殖利率倒掛的現象，可以反應出總體經濟的反轉為衰退，代表景氣開始即將變壞，是投資很重要的領先指標。

Credit spread can reflect the market's expectation of the default risk of corporate bond in the future. Investors can predict economic growth or recession by observing the behavior of credit spread in the future. The paper uses corporate bond yields with different credit ratings and treasury bond yields to measure the slope default risk and the curvature of credit spread from January 2009 to September 2018. Furthermore, we explore that if the credit spread can be a leading indicator of economic growth or recession. When the growth rate of the industrial production index declines, the smaller the credit spread of the higher credit rating (above AA-rated) bonds of the investment grade credit rating, and the smaller the default risk, and the greater the curvature of the highest credit rating AAA-rated bonds. However, the higher the credit spread of the lower credit rating (BBB-rated) bonds of the investment-grade, the higher the risk of default. It indicates that the short-term yield is higher than the long-term yield, and it shown that the inverted yield curve. It may reflect the recession of economy, which means that the economy is beginning to deteriorate and it is an important leading indicator of investment.

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