浮动利率国债定价之谜的一种解说

On Exploring the Puzzle of Pricing the floating-rate T-bond

我国证券市场首只浮动利息债券 0 10 0 0 4的上市 ,给市场提出了浮息债券应如何定价的问题。在回顾债券定价理论和对我国债券市场交易价格进行实证分析后 ,本文认为 :交易所国债市场上 ,固定利息国债价值明显高估 ,浮动利息国债价值明显低估。当市场对未来 6- 10年的物价和银行存款利率形成比较符合经济现实的预期———即上升预期后 ,固息国债价格将下降 。

The first floating rate T bond (010004)has gone on public in Shanghai Stock Exchange Market. So the challenging question of how to price of the floating rate bonds is put forward. The Paper gives an answer. Having taken reference to the bond pricing theories and made the practical analysis on the trading prices on Shanghai bond market, the author gives his oinion that the fixed rate bonds has been over priced and the floating rate bond has been under valued. After the market expectation of the price index and the interest rate is modified, the price of the fixed rate bonds will go down and that of the floating rate bond will go up.