国债期货对国债收益率曲线动态的影响

发布时间：2018-05-08 06:02

本文选题：国债期货 + 国债收益率曲线　；参考：《商业研究》2017年05期

【摘要】：国债期货市场的建设对健全国债收益率曲线具有重要意义。本文利用主成分分析方法对国债收益率曲线进行降维分析,研究国债收益率曲线水平、斜率和曲率因子在国债期货上市不同阶段的特征,并通过滚动窗口的Granger因果检验探究国债期货与国债市场的动态关系。结果发现,国债期货的上市交易使收益率曲线水平因子的波动性明显降低,斜率因子和曲率因子也大幅减小,这说明国债期货的上市交易提高了我国国债现货市场的成熟度,促进了国债收益率曲线的完善;进一步研究发现国债期货对债券市场具有一定的价格发现功能,但功能发挥不够;债券现货市场对期货市场不具备价格发现功能,期货和现货市场的期限价差相互影响,且现货对期货的影响更显著。
[Abstract]:The construction of treasury bond futures market is of great significance to improve the yield curve of national debt. In this paper, the principal component analysis (PCA) method is used to reduce the dimension of the bond yield curve, and the characteristics of the curve level, slope and curvature factor in the different stages of treasury bond futures listing are studied. And through the rolling window Granger causality test to explore the bond futures and bond market dynamic relationship. The results show that the volatility of the level factor of the yield curve is obviously reduced, and the slope factor and curvature factor are also greatly reduced, which indicates that the listing of the treasury bond futures enhances the maturity of the spot market of national debt. Promote the perfection of bond yield curve; further study found that bond futures have a certain price discovery function on the bond market, but the function is not enough; the bond spot market does not have the price discovery function to the futures market, the bond spot market does not have the price discovery function to the futures market, The term spread between futures and spot markets affects each other, and spot has a more significant impact on futures.
【作者单位】：中国人民大学财政金融学院;宁波大学商学院;
【基金】：国家自然科学基金项目“有效风险管控策略对产业安全维护效应研究:基于远景理论的微观分析”,项目编号:71473137
【分类号】：F812.5;F724.5

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