企業負債比率與違約風險之關聯

Abstract

本研究主要探討企業負債比率及違約風險彼此間之關聯性。我們採用2008年至2013年，台灣上市企業之縱橫面資料，利用兩階段最小平方法檢測企業負債比率與違約風險之關聯性。實證結果發現，負債比率越高的公司，其企業違約風險亦會愈高；但違約風險的提高，實證上發現銀行考量風險溢酬，願意貸與企業更多資金，使得企業負債比率提高。此外，我們利用兩階度最小平方法所估計出的兩方程式，探討當影響負債比率及違約風險的外生變數改變時，兩主要變數將如何被影響。

This study focuses on the relationship between corporate debt ratio and default risk. We use the two-stage least square (2SLS) approach to examine the relationship between these two variables. All listed companies in Taiwan Stock Exchange except the financial enterprises from 2008 to 2013 are included as the data. Our major empirical results are as follows: Higher debt ratio will cause higher default risk. On the other hand, the raising default risk will increase the debt ratio. Besides, we use two equations estimated by our model to discuss how other exogenous variables influence main variables.