報酬震盪、資訊透明度與信用利差期間結構分析:理論與實證研究

Abstract

本篇論文除了探討資訊透明和跳躍擴散模型的差異，並且將跳躍擴散與資訊透明度結合在同一模型，研究其信用利差的變化。對於此兩種模型都可以對Merton(1974)和Black and Cox(1976)在短期信用利差為零的狀況有所解釋，不過資訊透明度跟跳躍擴散模型除了在短期信用利差有所解釋外，兩者之間的差異性令人好奇。實證研究說明報酬震盪和資訊透明度都對信用利差有顯著的解釋能力，並且發現資訊透明度有反轉的特性，證實與報酬震盪不同。

This paper explores the impacts of return shocks and accounting transparency on the term structure of credit spread. We incorporate these two risk factors into one model, and examine their impacts on the credit spread in different scenarios. Although return shocks and accounting transparency both aid to explain the nonzero short-term credit spreads observed in the bond markets (Merton.1974 and Black and Cox.1976), their features have not been well investigated. Our empirical analysis indicates these two factors may play different roles in explaining credit spreads.