| 银行间债券市场收益率曲线税收效应实证研究 |
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| 引用本文： | 刘晓曙,郑振龙. 银行间债券市场收益率曲线税收效应实证研究[J]. 商业经济与管理, 2008, 203(9) |
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| 作者姓名： | 刘晓曙 郑振龙 |
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| 作者单位： | 厦门大学,金融系,福建,厦门,361005 |
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| 基金项目： | 教育部跨世纪优秀人才培养计划 |
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| 摘 要： | 文章利用品种相对较多、交易相对较活跃的银行间债券市场中的无风险债券来构建收益率曲线.由于投资者面临不同的税收待遇,税收因素是否显著影响投资者对债券的定价与市场收益率曲线的形状是个重要的研究课题.通过实证比较分析,发现我国银行间债券市场收益率曲线存在税收效应.也就是说,考虑了税收影响的Svensson模型具有更好的拟合能力.
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| 关 键 词： | 利率曲线结构 税收效应 隐含税率 |
Empirical Study of Tax-Effect in the Interbank Bond Market |
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| LIU Xiao-shu,ZHENG Zhen-long. Empirical Study of Tax-Effect in the Interbank Bond Market[J]. Business Economics and Administration, 2008, 203(9) |
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| Authors: | LIU Xiao-shu ZHENG Zhen-long |
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| Affiliation: | LIU Xiao-shu,ZHENG Zhen-long(Department of Finance,Xiamen University,Xiamen 361005,China) |
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| Abstract: | In this paper the authors construct an interest rate term structure using the risk-free bond in the interbank bond market.Due to different investors having different tax rate,whether there is tax effect in the bond market is an important issue.Through an empirical study,the authors find that there indeed exists tax-effect in the interbank bond market.That is,the Svensson model considering tax-effect has more power in the good-of-fitting. |
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| Keywords: | interest rate term structure tax effect implicit tax rate |
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