Abstract In this paper the authors construct the 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 empirical study, the authors find that there indeed exists tax-effect in the interbank bond market. That’s, the Svensson model considering tax-effect has more power in the good-of-fitting.
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Received: 28 March 2008
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