信用風險在評價公司在的過程中扮演非常重要的角色，本研究採用Longstaff and Schwarts （1995） 所延伸之多因子模型，並採用一般動差法（GMM）估計之，探討信用價差變動的影響因子，其中包括前期信用價差、利率、股價報酬、公債在外流通餘額、貿易帳餘額、公債與公司債新發行比例以及中長期利差；除此之外，本研究更區分不同產業、信用評等以及到期年限的公司債作分析，以使影響因子能更有效的分析信用價差。

本研究以台灣公司債為樣本實證發現，10年期公債利率、貿易帳餘額、公債與公司債新發行比例、公債在外流通餘額以及前期信用價差對公司債信用價差有顯著的影響，且符合預期假說；而股價報酬以及公債長中期利差的變動對信用價差變動，則無明顯影響。 另外除了信用價差落後一期變動量對不同類別樣本有一致性的結果，其他變數皆對不同產業、信用評等、到期年限的信用價差有不同的敏感度。

Credit risk plays a very important role in the valuation of corporate bonds. This research extends Longstaff and Schwarts (1995) multi-factor model and adopt Generalized Method of Moments (GMM) to probe into the influence factor of the credit spread, including the credit spread in the earlier stage, interest rate, stock return, the government bond outstanding, trade balance, the proportion of new issue of corporate bonds and government bonds, and medium and long-term spread of interest rate; Furthermore, this research distinguishes different industries, credit rating and the maturity of corporate bonds to analyze in order to assay the influence factor of credit spread can be more effective.

Based on the finding of the empirical study of Taiwan corporate bonds, 10-year bonds interest rate, trade balance, the proportion of new issue of corporate bonds and government bonds, the government bond outstanding and the credit spread in the earlier stage have a significantly relationship with the credit spread of the corporate bonds that is consistent with the expectation hypothesis; stock return and the change of interest differential of long-middle period for government bonds have no significant influence on the change of the credit spread. In addition, the lag one period’s variation of credit spread between different categories of sample have a consistent result; different industries, credit rating and the maturity of corporate bonds have differential sensitivity in other variables.

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