The relationship between macroeconomic variables and yield to maturity of bonds

• Main Authors: Chi-Wei Tsou, 鄒騏鍏
• Other Authors: Man-Hwa Wu
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/90284575276321817581

碩士 === 銘傳大學 === 財務金融學系碩士班 === 102 === Bond is always considered as a stable revenue and lower risk of financial instruments. Bond yields are not only affected by the coupon rate, maturity and bond prices, but also the economic environment. Among the macroeconomic variables, interest rates, inflation and real economic activity have stronger effects on bond yields. Because the interest rate has high correlation to the bond yield, so we do not include the interest rate in our empirical 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 the consumer price index, the one-year treasury bill yield, the ten-year treasury note yield, the AA rating corporate bond yield, the BBB rating corporate bond yield, the BB rating corporate bond yield, the B rating corporate bond yield and the CCC rating corporate bond yield, and quarterly data of the real GDP from February 2002 to October 2013. The empirical results of VAR model reveal that real economic activity Granger-causes the AA rating corporate bond yield, the BBB rating corporate bond yield and the B rating corporate bond yield. Real economic activity and inflation will be leading indicators of ten-year treasury note yields and one-year treasury bill yields. We analyze the bond yield curve and infer that the yield curve can predict the recession phase of the business cycle. 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.