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基于香港离岸人民币公司债券的特点,以结构模型为基础,引入卖空约束系数量化卖空约束程度。使用无本金交割远期外汇交易(NDF)衡量汇率预期因素,使得修正后的债券发行定价模型更具解释力.实证结果表明卖空限制对香港离岸人民币债券的理论价格有显著影响。汇率预期因素使得人民币债券解释能力得到进一步提高,由于缺乏离岸人民币国债利率曲线,模型对10年以上香港离岸人民币长期债券定价的解释能力不足.基于此,提供了促进香港离岸人民币债券市场发展的政策建议。
Based on the characteristics of offshore RMB corporate bonds in Hong Kong and based on the structural model, a short selling constraint is used to quantify the degree of restraint of short selling. The use of non-deliverable forward foreign exchange (NDF) measures of exchange rate expectations makes the revised bond issuance pricing model more explanatory, and the empirical results show that short selling restrictions have a significant effect on the theoretical price of offshore RMB bonds in Hong Kong. Due to the lack of exchange rate curve of offshore RMB-denominated treasury bonds, the model can not explain the pricing of offshore long-term RMB offshore bonds in Hong Kong for more than 10 years due to the expected factor of exchange rate, which further improves the ability to interpret RMB bonds. Based on this, Policy recommendations for development.