此篇論文試圖探究債券市場與貸款市場間的資訊傳遞，銀行之呆帳費用是裁決性項目且意味著借貸市場中產生壞帳的可能性，銀行之不良貸款是非裁決性項目且隱含著貸款的違約風險，此外，以評等為CCC之債券利差代表債券市場的違約風險。
為了觀察債券市場與借貸市場之間的動態關係，此篇論文更關注於時間序列方法，首先，我們採用多重迴歸方法來做初步探討，接序使用向量自迴歸模型、衝擊反應函數、格蘭傑因果關係檢驗來觀察動態關係，此篇論文使用1984年第一季至2015年第三季之美國銀行總體時間序列資料，資料來源於美國聯邦存款保險公司及資料庫Datastream。
實證結果顯示不良貸款與呆帳費用存在持續且顯著正相關，評等CCC債券之利差與呆帳費用存有持續且顯著正相關，評等CCC債券之利差亦與不良貸款存有持續且顯著正相關，上述結果支持信貸市場與債券市場之間存有特定之關聯性，且兩市場間並非有立即的資訊傳遞。

This study attempts to explore the information transmission between the bond market and the loan market. Bank loan loss provisions are a discretionary accrual that refers to the probability of bad loans on the loan market, and non-performing loans are an example of non-discretionary accrual that implies the default risk of loans. In addition, the CCC spread proxy to the default risk of the bond market.
In order to observe the dynamic relationship between the bond market and the loan market, this paper focus on a time-series method. First, we use a multiple regression to make a preliminary judgment. Further, we use the VAR (vector autoregression) model, the impulse response function and the Granger causality test to investigate the dynamic relationship between the bond market and the loan market. This research uses time series data at the aggregate level of United States banks for each quarter from 1984 first quarter to 2015 third quarter, which are collected from the Federal Deposit Insurance Corporation (FDIC) and the Datastream database.
The empirical results show that non-performing loans have a significant sustained and positive relation to loan loss provision. The CCC_spread has a significant sustained and positive relation to loan loss provision. The CCC_spread also has a significant sustained and positive relation to non-performing loans. The findings support the premise that the loan market and the bond market have a specific connection and that the information transmitted from one market to the other is not immediate.

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