非含权固定利率城投债发行定价研究  

Municipal Bonds' Pricing Research Based on Fixed Rate

作　　者：徐春骐[1] 杨建国[2] 赵凌 

机构地区：[1]中国地质大学(北京)人文经管学院 [2]中国人民大学后勤集团 [3]中央国债登记结算有限公司中债估值中心

出　　处：《科学决策》2017年第5期64-78,共15页Scientific Decision Making

摘　　要：基于2008-2016年中国城投债分布规律的统计研究,定量分析地方国有企业非含权固定利率城投债发行利率受其发行方式、有无担保、城投债级别、行业等因素影响。研究结果表明:(1)2014-2016年城投债平均发行利率呈下降趋势;(2)就公募发行而言,2014-2016年全行业地级市城投债发行利率平均高于省级38个基点,地级市高于县级市16个基点,县级市债券平均高于省级21个基点,具有地级市最高、县级市次之,省级最低特点;(3)就私募发行而言,2015-2016年地级市发行利率平均高于省级32个基点,县级市平均高于省级37个基点,县级市与地级市没有明显的统计规律,省级最低;(4)公募发行利率低于私募。近三年省级公募发行利率平均低于私募118个基点、地级公募平均低105个基点、县级市公募平均低119个基点。定量化研究成果对债券估值实务具有一定的借鉴意义。Based on the method of statistics, this paper studies the distribution of China＇s munici- pal Bonds in 2008-2016, and analyses quantificationally the impact of factors such as issue mode, administrative level on fixed and non-optional municipal Bonds＇s issuing rate of the local state-owned enterprises＇. The results show that： （ 1 ） The average issuing rate of China＇s munici- pal Bonds is declining in 2014-2016. （2） On the issue of public offering, during 2014-2016, the whole industry prefecture-level municipal Bonds＇average issuing rate is 38 basic points higher than the provincial-level and is 16 basic points higher than the county-leveL The county-level is 21 basic points higher than the provincial-leveL In a word, the highst is the prefecture-level, the second is the county-level, the third is the provincial-leveL （ 3 ） In terms of private placement, during 2015-2016, the prefecture-level municipal Bonds＇average issuing rate is 32 basic points higher than the provincial-level, the county-level is 37 basic points higher than the the provinciallevel. In a word, the county-level city and the prefecture level have no obvious statistical law, the provincial-level is the lowest. （ 4 ） Public offering issuing rate is lower than the private. In the re- cent three years, the provincial-level public offering is 118 bascic points lower than the private, the prefecture-level is 105 basci points, the county-level is 119 basic points. Quantitative research has a certain reference significance on the bond valuation practice.

关 键 词：城投债 固定利率 债券定价 

分 类 号：F810.5[经济管理—财政学]