債券到期收益率是否為一項領先指標？

Is the Yield to Maturity of Bonds a Leading Indicator?

總體經濟因素中之利率、通貨膨脹以及實質經濟活動等變數對債券之到期收益率的影響尤其重要。由於考量利率與債券之間的相關性太高，故在實證模型中不納入利率。故本研究探討總體經濟變數與不同期間公債到期收益率間之關係，以及總體經濟變數與不同信評等級公司債到期收益率間之關係，採用2002年2月至2013年10月消費者物價指數、一年期政府公債、十年期政府公債、信評等級AA級公司債、BBB級公司債、BB級公司債、B級公司債、CCC級公司債到期收益率的月資料與實質國內生產總值（Real GDP）的季資料。在VAR模型實證結果顯示，一年期公債到期收益變動率為通貨膨脹的領先指標；實質經濟活動對一年期及十年期公債到期收益變動率有單向Granger因果關係：而實質經濟活動與通貨膨脹為長期公債到期收益變動率與不同信評等級之公司債到期收益變動率的領先指標。另外在殖利率曲線分析，發現隨著債券的信評等級越差，所隱含的風險溢酬也越高。在預測景氣上，可以將公司債殖利率上升與政府公債殖利率出現反轉視為景氣轉弱的訊號。

Among the macroeconomic variables, interest rates, inflation and real economic activity have stronger effects on bond yield. Because the interest rate is high correlation to the bond yield, so we won’t use the interest rates in this study. The purpose of paper is to examine the relationship between macroeconomic variables and different maturity of treasury bond yields, and explore the relationship between macroeconomic variables and different credit rating of corporate bond yields. We use monthly data of federal funds rate, consumer price index, real GDP, one-year treasury bill, ten-year treasury note, AA rating corporate bond yield, BBB rating corporate bond yield, BB rating corporate bond yield, B rating corporate bond yield and CCC rating corporate bond yield, and quarterly data of real GDP from February 2002 to October 2013. The empirical results of VAR model reveal that the change of one-year treasury bill yield would be the leading indicator of inflation. Real economic activity Granger-causes the change of one-year treasury bill yield and the change of ten-years treasury note yield. Real economic activity and inflation will be leading indicators of the change of ten-years treasury note yield and different credit rating corporate bond yields. We find that the lower of the bond’s rating, the higher of the risk premium by analyzing the bond yield curve. On the side of predicting business cycle, the rise of corporate bond’s yields and the reverse of treasury bond’s yield can be regarded as a signal of recession.