| Summary: | 碩士 === 東海大學 === 財務金融學系 === 101 === Previous literature considers only single-level variables that determine the credit spread. On the basis of the primary market data from January 2001 to December 2012 in Taiwan, our study not only investigates the variables at the firm, market, and country levels, but also examines them from an integrated aspect in order to better understand the key factors that influence the credit spread. Major empirical findings can be summarized in five points. First, market-level variables show the least influence on the credit spread among the three levels, implying that the bond market remains immature in Taiwan. Second, integrating three levels better explains the credit spread, with predominance of the country-level variables. Third, the dummy variable for tranching exerts a negative influence on the credit spread over the whole sample but this effect disappears after the announcement of the ban on it in December 2005. Fourth, the result for the value of the government bonds outstanding and 180-day stock market volatility appears mixed across the regressions. Eliminating observations with the negative credit spread, the result turns consistent. Finally, the collateral and tranching play a more important role in determination of the credit spread as we only consider non-financial bonds than as we consider both non-financial and financial bonds.
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