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。
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.
出处
《商业经济与管理》
CSSCI
北大核心
2008年第9期36-40,共5页
Journal of Business Economics
基金
2004年教育部新世纪优秀人才支持计划资助
关键词
利率曲线结构
税收效应
隐含税率
interest rate term structure
tax effect
implicit tax rate
