利率市场化拓展研究——基于国债期货市场功能分析

发布时间：2018-01-17 13:46

本文关键词：利率市场化拓展研究——基于国债期货市场功能分析　出处：《宏观经济研究》2017年01期 　论文类型：期刊论文

【摘要】：本文在存贷款利率放开背景下,从国债期货核心功能出发,探讨利率市场化的可行路径。首先以VECM模型为基础,对国债期货价格发现进行实证研究,指出我国国债期货和国债现货价格具有双向引导关系,其中国债现货在价格发现占主导作用。随后对国债期货信息传播效率进行实证检验,指出10年期国债期货推出后,增强了5年期国债期货信息传播效率。然后基于DCC-GARCH模型,对样本分层,通过VAR套期保值模型,实证分析国债期货套期保值功能。接着归纳出当前推进利率市场化的可行路径:大力发展国债现货市场,丰富国债期货市场产品体系,央行发布国债收益率曲线,商业银行参与国债期货市场,疏通利率传导机制。最后,对我国利率市场化提出建议。
[Abstract]:Under the background of deposit and loan interest rate liberalization, this paper discusses the feasible path of interest rate marketization from the core function of treasury bond futures. Firstly, based on VECM model, empirical research on bond futures price discovery is carried out. The paper points out that the futures of treasury bonds and spot prices of treasury bonds have a bidirectional guiding relationship, in which the spot prices of treasury bonds play a leading role in the price discovery. Then, the paper makes an empirical test on the efficiency of information dissemination of treasury bonds futures. It is pointed out that after the introduction of 10-year Treasury bond futures, the information transmission efficiency of 5-year Treasury bond futures is enhanced. Then, based on DCC-GARCH model, the sample is stratified and VAR hedging model is adopted. Empirical analysis of treasury bond futures hedging function. Then summed up the current promotion of interest rate marketization feasible path: vigorously develop the spot bond market, enrich the national debt futures market product system. The central bank issues the yield curve of national debt, commercial banks participate in the treasury bond futures market and dredge the transmission mechanism of interest rate. Finally, the paper puts forward some suggestions on the marketization of interest rate in our country.
【作者单位】：西南财经大学金融学院;中国人民银行郑州中心支行;
【基金】：中央高校基本科研业务费专项资金(项目编号:JBK1507052)的资助
【分类号】：F832.51;F812.5
【正文快照】： _弓丨言率上限管制,利率市场化迈出关键步伐。国外经验表明,健全国债收益率曲线不仅需要发达的国债现货市场,还需要高效的国债期货市场。国债期货具备价格发现、信息传递、规避风险等功能,有利于提高市场效率,提升国债收益率曲线反映市场供求关系的有效性,有利于推动利率市场

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