信用利差期間結構之實證分析:跳躍恐懼vs.資訊揭露

Abstract

本研究利用2006到2008年的美國市場的公司債券進行實證分析，目的在於探討以跳躍及資訊揭露對於信用利差結構的影響及差異。研究結果顯示跳躍和資訊揭露的確都會對信用利差造成影響，而跳躍對於短期的影響較大，資訊揭露則對短期和長期的影響都大於中期許多。但是在金融海嘯來臨時，跳躍對信用利差的影響方向與以往不同，可能是因為投資者在這種不景氣的時刻都會要求較高的信用利差，所以對於跳躍的感受與過往不一致。並且實證結果顯示，在關鍵的時刻，信用評等的確是有效的。

This paper examines both impacts and difference of jump and information disclosure on the term structure of credit spread using American data from 2006 to 2008. Empirical results show jump and information disclosure indeed impact credit spread, especially jump for short-term; information disclosure for short-term and long-term. However, the impact of jump on credit spread is not obvious like earlier results when financial crisis is coming, and it shows a situation that credit spreads are substantially rise in any bonds. Maybe it is mean that investors charge a significant risk premium for credit risk whether jump goes up or down. Furthermore, credit rating is efficient at critical time.