中国浮息债券基准利率选择研究

发布时间：2018-01-18 06:25

本文关键词：中国浮息债券基准利率选择研究　出处：《证券市场导报》2014年07期 　论文类型：期刊论文

【摘要】：依托浮息债券来规避利率风险,要求培育一个能够准确反映市场资金供求的利率作为基准。本文就1年期定期储蓄存款利率、3个月期及1年期Shibor、银行间7天回购移动平均利率和1年期银行间固定利率国债到期收益率共5个利率品种的基准性进行了分析。研究发现,在收益率曲线的短端,3个月期Shibor具有较强的基准地位,所以调息周期小于1年的浮息债券,可以选择与之期限相匹配的Shibor作为基准;在收益率曲线的长端,1年期银行间固定利率国债到期收益率具有较强的基准地位,因此调息周期为1年及1年以上的浮息债券可以选择该利率作为其基准。当然,这些利率的基准地位还不够牢固,仍需要制度上的保障。
[Abstract]:Relying on floating rate bonds to avoid interest rate risk, we need to cultivate an interest rate that can accurately reflect the supply and demand of market funds. This paper deals with the one-year term deposit rate, 3-month period and 1-year Shibor. The paper analyzes the benchmark of the average interest rate of 7 days repurchase between banks and the maturity yield of 1-year interbank fixed rate bonds. The study finds that the interest rate curve is short at the end of the yield curve. The three-month Shibor has a strong benchmark status, so the floating rate bond with a period of less than one year can be selected as the benchmark. At the long end of the yield curve, the maturity yield of 1-year interbank fixed-rate bonds has a strong benchmark position. Therefore, floating rate bonds with interest adjustment cycles of one year or more can choose that rate as their benchmark. Of course, the benchmark position of these rates is not strong enough and still needs institutional protection.
【作者单位】：海通证券债券融资部;
【分类号】：F832.51
【正文快照】： 引言基准利率(Benchmark Interest Rate)是在金融市场中发挥基础性指导作用的利率,其核心作用在于对金融资产定价提供参考和依据。一般而言,有效的基准利率应由金融市场主体在市场机制作用下自发调节而形成。当然,金融市场是一个大范畴,其涵盖了货币市场和资本市场两大类,而每

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