香港人民币企业债券发行特征及定价分析

Analysis on the Issuance Features and Pricing Determinants of CNY-Denominated Corporate Bonds in Hong Kong

完善香港人民币债券市场有助于促进香港人民币离岸金融中心的建设,推动人民币国际化进程。本文基于债券定价理论,分析了香港人民币企业债券的发行特征,研究了企业债券发行定价的影响因素。实证结果表明:(1)香港人民币企业债券期限以中短期为主,发行利率低于内地融资利率,发行人以非金融类企业为主,其久期较小,说明利率敏感度不高;(2)香港人民币企业债券定价的主要影响因素是无风险利率、期限、人民币升值预期以及内地债券发行利率,而违约风险、流动性风险没有明显影响。

Hong Kong＇s CNY-denominated corporate bond market is of great importance for the construction of Hong Kong RMB offshore financial centers and the promotion of RMB internationalization. Based on the bond pricing theory, this paper analyzes the issuance features and the factors affecting pricing of CNY-denominated corporate bonds, and concludes that （1） CNY-denominated corporate bonds issued in Hong Kong are mainly short-term, non-financial bonds and coupon rates are lower than bonds issued in the mainland; （2） risk-free rate, maturity, RMB appreciation expectation and coupon rates of bonds issued in the mainland have effects on the pricing process of CNY-denominated corporate bonds, while the effects of default risk and liquidity risk are not significant.