| 关于Shibor基准性建设及其浮息债价值的探讨 |
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| 引用本文： | 翟晨曦,丁洁. 关于Shibor基准性建设及其浮息债价值的探讨[J]. 中国货币市场, 2011, 0(5): 32-37 |
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| 作者姓名： | 翟晨曦 丁洁 |
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| 作者单位： | 国家开发银行资金局; |
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| 摘 要： | 自2010年底以来,Shibor利率持续走高,国内Shibor—OiS差水平显著放大,文章从多个角度分析了引起Shibor利率走高的因素,探讨了当前Shibor浮息债价值水平与配置机会,并以3个月Shibor为考察指标实证分析了Shibor定价的参考因素。针对Shibor基准利率建设中存在的不足,从增强Shibor利率可交易性、逐步建立基于Shibor基准的统一定价体系等方面提出了发展建议。
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| 关 键 词： | Shibor 定期存款利率 浮息债 |
An analysis on the development of Shibor as a benchmark and its value to floating rate bonds |
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| Zhai Chenxi,CFA,Trader,Treasury & Financial Markets Department,China Development Bank Ding Jie,China Development Bank. An analysis on the development of Shibor as a benchmark and its value to floating rate bonds[J]. China Money, 2011, 0(5): 32-37 |
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| Authors: | Zhai Chenxi CFA Trader Treasury & Financial Markets Department China Development Bank Ding Jie China Development Bank |
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| Affiliation: | Zhai Chenxi,CFA,Trader,Treasury & Financial Markets Department,China Development Bank Ding Jie,China Development Bank |
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| Abstract: | Since the end of 2010,Shibor interest rates have risen continuously and domestic Shibor-OIS spreads have widened to a remarkable extent.This paper considers various angles in analyzing factors that cause Shibor interest rates to rise,discusses the valuation levels and allocation opportunities of current Shibor floating rate bonds,and studies the reference factors for Shibor pricing by using 3M Shibor as a actual case.To address the inadequate development of Shibor benchmark interest rates,the paper puts for... |
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| Keywords: | Shibor fixed-term deposit interest rates floating rate bond |
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