中国市场的国债收益率曲线.ppt

* Prices: Summary Data from different sources are likely to be mixed Yield curves should be constructed from quotes Extremely illiquid market, price information is unreliable * Chinese bond market: analysis of price information State University Higher School of Economics Moscow Contents: * Chinese Bonds Market Overview Zero-coupon yield curve used by China Government Securities Depository Trust Cleaning Co., Ltd Applying EFFAS-EBC methodology to Chinese bond market Market overview * About 3946 bonds with total worth 44 526,7 billion RMB issued since 1998 Currently traded: 1912 bonds with outstanding amount 18 508 billion RMB About 1000 transactions a day with average daily turnaround about 160 billion RMB Bonds are traded at SSE, SZE, OTC and inter-bank markets Market Structure * Market Structure * Present Instruments * Treasure Bonds (Ministry of Finance). All terms. Bullet redemption. Majority has coupons. Central Bank Bills (Peoples Bank of China). Very short and short term. Majority are discounted. Government owned Banks All terms. Majority has coupons. Some have options. Corporate and Commercial Banks Bonds Others Outstanding Amount * Source: * 2009 Bond Issuance Non-Governmental Credit Bonds Source: Chinabond Source: Wind Info Current position: * Chinese Bonds Market Overview Zero-coupon yield curve used by CGSDTC Applying EFFAS-EBC methodology to Chinese bond market History of Yield Curves Development in China * Research Stage(1999-2001): The first treasury bond yield curve was created under the Discounted Cash Flow (DCF) method. Development Stage (2002-2005): Four yield curves, i.e. Inter-bank Treasury Bond, Exchange Treasury Bond, Treasury Bond (compounded) and Floating interest rate Treasury Bond, and Indices for Treasury Bond (Inter-bank and Exchange) were worked out by CGSDTC. The method of quadratic polynomial was adapted at this stage . Initial Application Stage (2006-now): CGSDTC has worked out a wide variety of yield curves and indices; the s