固定收益平台报价与国债收益率曲线实证研究  

Empirical Research on quote of fixed income platform and Treasury bond yield

作　　者：陈震[1] 王奕俊[2] 

机构地区：[1]复旦大学经济学院,200439 [2]同济大学职教学院,200092

出　　处：《上海经济研究》2009年第9期28-35,共8页Shanghai Journal of Economics

摘　　要：固定收益平台是上交所于2007年正式起用的又一债券交易系统,本文通过对平台报价数据进行综合比较分析发现:固定收益平台报价与银行间最优报价的差异较小;固定收益平台报价收益率与全市场国债到期收益率较为接近;在没有平台报价数据的情况下估计的全市场收益率曲线较正常值发生了一定幅度的偏差,并据上述结论提出了相关的政策建议。Fixed Income platform is a bond trading system launched by SSE in 2007. Based on comparative analysis of the price quotations from the platform, this paper derived the following conclusions： （ 1 ） The difference of price quotations between Fixed Income platform and the Inter - bank platform is small ; （2） The quoted yield to maturity from Fixed Income platform is close to that of the treasury bond of the aggregated market ; （3） Without data from Fixed Income platform, there is a certain deviation between the estimated aggregated market yield curve and the actual yield. Corresponding suggestions were proposed.

关 键 词：固定收益平台 国债 收益率曲线 

分 类 号：F830.91[经济管理—金融学]