中国定存浮息债定价研究

基于现金流分解法的思想,通过推导浮息债定价的理论模型,结合报价利差的历史数据,验证了浮息债报价利差的两个决定因素:一是定存利率和市场收益率的相对涨幅;二是加息预期的扭转。研究表明,只有在加息的中段和加息结束之后,定存浮息债才有资本利得;同时,在减息尾声,定存浮息债也有不错的资本利得。

Research on Pricing of Floating Rate Bonds Benchmarked with Time Deposit Rate in China

Based on the method of cash flow decomposition,with the pricing theoretical model of floating rate bonds deduced,it is testified that the interest margin of floating rate bonds pricing depends on the relative rising margin between time deposit interest rate and market rate of return,as well as switching of interest rate expectations.It is also shown that in the middle and after interest rate rise periods,in addition,at the end of interest rate drop periods,good capital profit is gained by floating rate bonds with time deposit rate.