银行间市场浮息债券定价研究  

Study of the Pricing of Inter-bank Market’s Floating Rate Bond

作　　者：尹哲[1] 宋德舜 

机构地区：[1]北京大学政府管理学院 [2]诺安基金管理有限公司

出　　处：《投资研究》2013年第8期129-137,共9页Review of Investment Studies

摘　　要：本文给出了两个基于市场利率的浮息债券定价理论,然后选择具有一般均衡理论基础的CIR模型和基于具有纯无套利的Hull-White模型来建立利率期限结构的动态模型,并使用了时间序列和截面数据来估计利率模型参数。研究表明,无论哪种定价理论,都能得到接近市场价格的结果。这意味着,投资者和发行人在交易价格上能达成一致,从而吸引更多的投资者和发行人参与到浮息债市场中去,促进我国浮息债券市场和市场化利率体系的发展。This paper introduces two pricing theories about the floating rate bond. Using CIR model in the general equilibrium framework and the Hull-White model in the no-arbitrage framework, we build a dynamics model of the term structure of interest rate, and use time series data and cross sectional data to estimate the parameters. The empirical results show that no matter which pricing theory being used, we can get relatively accurate price. This indicates that the investors and the issuers can agree on the transaction price. As a consequence, it can attract more investors and issuers into the floating rate bond market, and accelerate the development of floating rate bonds market and the construction of the market interest rate system.

关 键 词：浮息债券定价 利率期限结构 CIR模型 Hull—White模型 

分 类 号：F224[经济管理—国民经济] F832.51