在2008年金融風暴以後，高收益債基金的配息，成為喜歡高配息的國內投資人最愛的基金投資商品之一。因此了解高收益債價格的趨勢及高收益債的影響因素就成為近年來國內投資人最關心的議題。
過去研究只要都是研究高收益債券價格趨勢，並沒有分別針對不同信評高收益債的價格走勢作分析，因此本研究主要目的就是分析美國10年指標國債殖利率與不同信評高收益債殖利率走勢關聯性。本研究主要是以美國10年指標國債殖利率，分別與BB、B及CCC三種不同信評的高收益債券殖利率進行共整合檢定，以及以VAR來進行衝擊反應分析、Granger因果檢測還有向量誤差修正模型（VECM）的實證研究。
研究結果發現，美國10年指標國債殖利率與高收益債殖利率之間都存在共整合關係；衝擊反應分析結果顯示，美國10年指標國債殖利率衝擊變化對高收益債券殖利率帶來影響，對低信評的CCC級債券殖利率影響最大，也就是衝擊變化對信評越低殖利率越高的債券影響越大，影響時間迅速在隔一個交易日就反應，實際投資上必須特別留意CCC級信評的高收益債券的投資佔比。Granger因果關係檢定方面，美國10年指標國債殖利率僅對三種不同信評高收益債殖利率有Granger單向的因果關係。

After the 2008 financial turmoil, the dividend yield of high yield bond funds has become one of the fund's favorite investment products for domestic investors who like high dividend yields. Therefore, understanding the trend of high-yield bond prices and the influencing factors of high-yield bonds has become a topic of most concern to domestic investors in recent years.
In the past, as long as the research was on the trend of high-yield bond prices, it did not separately analyze the price trends of high yield bonds with different credit ratings. Therefore, the main purpose of this research is to analyze the yield of US 10-year treasury bonds and the high-yield bond yields with different credit ratings. Relevance of interest rate trends. This research is mainly based on the 10-year US government bond yield and the BB, B, and CCC ratingt hree high yield bond yield co-integration tests, and VAR for shock response analysis, Granger causality test, and vector error. Empirical analysis of the modified model (VECM).
The research results show that there is a co-integration relationship between the 10-year U.S. treasury bond yield and the high-yield bond yield; the shock response analysis results show that the impact of the 10-year Treasury yield shock impact on the high-yield bond yield. The impact on the yield of CCC rating bonds with low credit rating is the largest, that is, the impact of changes on the bond with lower credit rating is greater, and the impact time is quickly reflected every other trading day. You must pay special attention to CCC rating in actual investment. Proportion of investment in high-yield bonds rated by credit rating. In terms of Granger causality test, the US 10-year treasury bond yield has a Granger one-way causality only for three different credit rating high yield bond yields.

論文審定書 i
摘　要 ii
Abstract iii
目　錄 iv
圖　次 vi
表　次 vii
第一章　緒論 1
第一節　研究的背景及動機 1
第二節　研究目的 2
第三節　研究流程 3
第四節　研究的範圍及限制 4
第二章　文獻探討 5
第一節　高收益債發展歷史 5
第二節　美國高收益債券發展沿革 12
第三節　高收益債相關研究 14
第四節　分析理論 17
第三章　研究設計 23
第一節　研究結構 23
第二節　研究模式 23
第三節　研究方法 23
第四節　研究的變數及範圍 24
第四章　實證分析 25
第一節　變數簡介 25
第二節　實證分析結果 28
第三節　實證結果彙整 39
第五章　結論與建議 40
第一節　結論 40
第二節　建議 40
第三節　管理意涵 41
第四節　研究限制 42
參考文獻 43
一、中文 43
二、英文 43
三、網路 45

一、中文
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李信宏，2014，美國量化寬鬆政策對於高收益債券價格之影響，輔仁大學金融與國際企業學系金融碩士在職專班碩士論文。
陳香君，2010，美國國債、投資級債券與高收益債殖利率關係之研究，國立臺灣大學經濟學研究所碩士論文。
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曾楷媜，2017，高收益債利差與股債投資策略，國立高雄應用科技大學金融系金融資訊碩士在職專班碩士論文。
蔡盟文，2017，美國聯邦基金利率、S&P500指數與美國高收益債指數的聯動分析，國立中興大學應用經濟學系所碩士論文。
二、英文
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Bernanke, B. S. 1986. Alternative Explanations of the Money Income Correlation, Carnegie-Rochester Conference Series on Public Policy, 25:49-100.
Blanchard, O. and Watson, M. 1984. Are Business Cycles All Alike? , Working Paper 1392, National Bureau of Economic Research.
Dickey, D. A. and Fuller, W. A. 1979. Distribution of Estimator for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74: 427-431.
Engle, R.F. and Granger, C.W.J. 1987.Co-Integration and Error Correction：Representation, Estimation, and Testing, Econometrica, 55 March:251-276.
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Granger, C., 1969 , Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica , 37 (3) , pp. 424–438.
Granger, C. and Newbold, P. 1974. Spurious Regressions in Econometrics, Journal of Econometrics, 2 (2) : 111-120.
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三、網路
中華民國投信投顧公會，2020，「境外基金統計資料」，https://www.sitca.org.tw/ROC/Industry/IN3001.aspx?PGMID=IN0301，05/02/2020
Federal Reserve Bank of St. Louis，2020，Economic Reserach， https://fred.stlouisfed.org/，05/02/2020