本研究探討在總體經濟不確定性下，對美國、歐洲、亞洲之投資等級公司債券及高收益公司債券相關係數之關聯。採取美林債券指數之美國、歐洲、亞洲之投資等級公司債券指數，及高收益公司債券指數共六大指數為參數，同時以美國、單一歐元區、及美林亞洲投資等級公司債券及高收益公司債券指數之成份國家為總體經濟指標，分別代表美國、歐洲、亞洲總經因子。在總體經濟變數方面，本論文參考過去文獻採取消費者物價指數與經濟成長，為總體經濟不確定性之因子。利用向量誤差修正模型，測試美國、歐洲、亞洲投資等級公司債指數及高收益公司債指數相關係數變動是否與總體經濟不確定性之變動有關聯。
實證結果顯示經濟成長及通貨膨脹之不確定性下與投資組合相關係數的關聯有所不同。當美國消費者物價水準不確定性下降時，美國投資等級公司債券與美國高收益公司債券投資組合，能獲得最佳風險調整後報酬。而在美國經濟成長不確定性上升時，則美國投資等級公司債券與亞洲高收益公司債券之投資組合，也可達最適報酬化。另一方面，亞洲通貨膨脹不確定上升時，則亞洲投資等級公司債券與美國高收益公司債券，或與歐洲高收益公司債券之投資組合，也皆能達到最佳債券資產配置效率。
本研究提供資產管理債券基金經理人在面對總體經濟不確定時，達到風險分散效率最佳化之策略，以獲得投資組合最適報酬。

This study focuses on the correlation coefficient between bond indices and macroeconomic factors. We apply the Consumer Price Index (CPI) and the Gross Domestic Product (GDP) to be the proxies of the macroeconomic uncertainty. Regarding bond indices, we adopt the Merrill Lynch investment grade corporate bond index and high yield corporate bond index. Our data samples include the United States, Europe, and Asian countries. Furthermore, the vector error correction model (VECM) is used to examine the effects of uncertainty in macroeconomic variables on correlations between bond indices. The empirical results show that the economic growth and inflation uncertainty have different effects on correlations between bond indices. When the inflation uncertainty in the U.S declines, the best strategy is to invest in Portfolio 1(United States investment grade and United States high yield corporate bond). However, as economic growth uncertainty in the U.S. rises, investors should choose Portfolio 8 (United States investment grade and Asia high yield corporate bond). On the other hand, when inflation uncertainty in Asia rises, diversifying into Portfolio 5 and Portfolio 7 benefits investors. As facing changes in macroeconomic uncertainty, the results of our study provide fund managers investment strategies and benefit them from effectively adjusting their asset allocations.

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