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本文基于理性预期理论,采用中国银行间市场交易商协会发布的“指导下限”作为市场成员事前对企业类债券发行利率的预期,建立了描述发行利率波动的模型。根据对2010年5月至2012年6月发行数据的分析,该预期能有效解释债券发行利率。本文同时发现债券种类和结构会影响债券发行利率,但债券回售和赎回条款未被有效定价。此外,准备金上调和负面信用事件冲击会导致债券发行利率升高。
Based on the theory of rational expectations, we use the “lower limit of guidance” issued by the China Association of Banks Market Traders as the expectation that market members issue the interest rate of corporate bonds in advance, and establish a model describing the issue of interest rate volatility. According to the analysis of the data released from May 2010 to June 2012, the expectation can effectively explain the bond issue rate. This article also found that the type and structure of bonds will affect the bond issuance rates, but the bond sales and redemption terms are not effectively priced. In addition, the reserve increase and the impact of negative credit events will lead to an increase in bond issuance rates.