本研究主要在探討美國公債、美國國庫券、美國高收益公司債、美國投資級公司債、歐洲高收益公司債及歐洲投資級公司債間殖利率的關係，提供投資決策及學術研究參考。
研究結果發現，當期美國高收益公司債與投資級公司債利差及歐洲高收益公司債與投資級公司債利差呈現同向關係；與美國10年公債及3個月國庫券利差、美國3個月國庫券殖利率呈反向關係。以及美國10年公債與3個月國庫券利差影響美國高收益公司債與投資級公司債利差及歐洲高收益公司債與投資級公司債利差，美國高收益公司債與投資級公司債利差影響歐洲高收益公司債與投資級公司債利差，美國3個月國庫券利率則與各項利差無關。

SUMMARY

This study investigated the relationship among the yield rate of U.S. 10 year Government bond, U.S 3 month Treasury bill, U.S. high yield corporate bonds, U.S. investment-grade corporate bonds, European high yield corporate bonds and European investment-grade corporate bonds. Then time series methodologies such as regression analysis test, VAR has been applied

The results show some significant lead/lag relationships between these variables:The yield spread between U.S. 10 year Government bond and 3 month Treasury bills impacts the yield spread between U.S. high yield corporate bonds and investment-grade corporate bonds and the yield spread of European high yield corporate bonds and investment-grade corporate bonds, the yield spread between U.S. high yield corporate bonds and U.S. investment-grade corporate bonds impacts the yield spread between the European high yield corporate bonds and investment-grade corporate bonds, the relationship of 3 month Treasury bill is not apparently between the other yield spreads. These indicate financial factors do provide early information for economic recovery in the real sector.

Key Words：U.S. government bond、U.S. treasury bill、High yield corporate bonds、Investment-grade corporate bonds

INTRODUCTION

This study is to investigate the interaction of the yield spread between U.S. high yield corporate bonds and investment-grade corporate bonds, yield spread between European high yield corporate bonds and investment-grade corporate bonds, U.S. Government bonds and Treasury bills.

Review related literatures
Astrid Van Landschoot (2008)
This paper presents a systematic comparison between the determinants of euro and US dollar yield spread dynamics. The results show that US dollar yield spreads are significantly more affected by changes in the level and the slope of the default-free term structure and the stock market return and volatility.

Fabio Moneta (2005)
In particular, the historical predictive power of ten variations of yield spreads, for different segments of the yield curve, is tested using a probity model. The yield spread between the ten-year government bond rate and the three-month interbank rate outperforms all other spreads in predicting recessions in the euro area.

Hsiang-Chun Chen (2010)
For long-term cointegration test, it is positive relationship between the Yields of US Government Bond and Investment Grade Bond, but negative relationship between the Yields of US Government Bond and High Yield Bond.

Yin-Ru Ho (2011)
As for the long-term rate, the US has been the dominant player in setting world interest rates as a tool, and the results indicate that it is domestic rather than international risk factors that affect bond yield rates among euro area countries.

MATERIALS AND METHODS

This study applications empirical research methods include: 1. Correlation Coefficient Analysis, 2. Unit Root Test, 3. Regression Analysis, 4. Granger Causality Test, 5. Impulse Response Analysis, 6. Forecast Variance Decomposition, 7. Vector Autoregressive Model.

To investigate interrelations of the six observed values. we combined the six base data to generate four variables. The four variables are the yield rate of U.S. 3M Treasury bill, the yield spread between U.S. 10Y Government bond and 3M Treasury bill, the yield spread between U.S. high yield and investment-grade corporate bonds and the yield spread between European high yield and investment-grade corporate bonds.

RESULTS AND DISCUSSION

The empirical results from the regression analysis showed that four variables of the current data showing a relationship. The yield difference between U.S. high yield and investment-grade corporate bonds, the yield difference between European high yield and investment-grade corporate bonds, the yield difference between the U.S. 10Y Government bond and 3M Treasury bill are positively correlated. The yield rate of U.S. 3M Treasury bill is negative correlated with the other variables.

Granger causality test empirical results show that the yield spread between U.S. 10Y Government bond and 3M Treasury bill is Granger leading the yield spread between U.S. high yield and investment-grade corporate bonds, the yield spread between U.S. 10Y Government bond and 3M Treasury bill is Granger leading the yield spread between European high yield and investment-grade corporate bonds, the yield spread between U.S. high yield and investment-grade corporate bond is Granger leading the yield spread between European high yield and investment-grade corporate bonds. The yield rate of 3M U.S. Treasury bill did not have any variables Granger leading relationship.

The empirical results from the impulse response analysis showed that all the variables impacts itself positive reaction strong. In addition, in the case of relatively impulse response, the yield spread between U.S. high yield and investment-grade corporate bonds impacts the yield spread between U.S. 10Y Government bond and 3M Treasury bill strong and negative reaction, the yield spread between European High Yield and investment-grade corporate bonds impacts the yield spread between U.S. 10Y Government bond and 3M Treasury bill strong and negative reaction, the yield spread between European High Yield and investment-grade corporate bonds impacts the yield spread between U.S. high yield and investment-grade corporate bonds strong and positive reaction.

The forecast error variance decomposition empirical results show that all the variables self-explains high, especially in the yield rate of U.S. 3M Treasury bill and the yield difference between U.S. 10Y Government bond and 3M Treasury bill have the highest self-explanatory power, in addition, when prediction error, the yield spread between U.S. high yield and investment-grade corporate bonds would be explained by the yield difference between U.S. 10Y Government bond and 3M Treasury bill, the yield spread between European High Yield and investment-grade corporate bonds would be explained by the yield difference between U.S. 10Y Government bond and 3M Treasury bill and the yield spread between U.S. high yield and investment-grade corporate bonds.

CONCLUSION

We concluded that economic globalization now, the international community is closely related to economic information, a variety of bond yield rate is no exception. U.S. 10Y bonds yield rate influences to the U.S., the European high yield and investment-grade corporate bonds yield spread, while the U.S. high yield and investment-grade corporate bonds yield spread affects the European high yield and investment-grade corporate bonds yield spread in turn , so when making the bond investment decisions should spanned globalization angle considerations, it should not be considered a single region, or will cause each bond correlation risk of not fully considering produced.

In this study, the observed values are from January 4, 2010 until April 11, 2014, a total of 1,128 daily numbers of samples. During the period ,the United States kept long-term Federal Funds rate at historic lows, samples of the U.S. 3M Treasury Bill yield rate may be affected by the long term low-end Federal Funds rate, in future studies, the sample period can be extended and added factors to consider lifting interest rates.

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