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<?php
    $cat_all = get_terms( "category", "fields=all&get=all" );
    foreach($cat_all as $value):
 ?>
<p><a href="<?php echo get_category_link($value->term_id); ?>"><?php echo $value->name;?></a></p>
<?php endforeach; ?>

http://elearn.jp/wpman/function/get_terms.html