论我国国债期货的合约设计框架

发布时间：2018-01-12 20:40

本文关键词：论我国国债期货的合约设计框架　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：20世纪70年代以来,国际金融市场发生了重大变革,金融市场全球化、金融自由化、金融资产证券化成为这一时期的主要特点。与此相对应,大量复杂的金融工具被创造出来,国债期货正是其中最具代表性的一种,并获得了空前的成功,成为当时世界上交易量最大的一个金融合约。我国在20世纪90年代初曾进行过国债期货交易的试点,但由于多方面因素,导致交易进行仅两年半就被暂停。17年来我国经济金融环境发生了较大变化,我国已经具备恢复国债期货交易的必要性和可行性,探讨相关问题具有重要的理论意义和现实意义。而合约设计是恢复和发展国债期货交易的重要内容之一,对其研究有着重要的意义。本文先分析我国曾经国债期货交易试点失败的原因,其中合约设计不合理是我国国债期货交易试点失败的重要原因,具体而言,主要是标的资产单一且发行量太小、保证金水平设置不合理且执行不严格、涨跌幅制度不完善以及持仓控制制度形同虚设等几个方面,然后分析国债期货合约在标的资产、保证金制度、涨跌幅制度及持仓控制制度设置的经济原因,再借鉴发达市场的成功合约设计经验,总结国内国债期货试点失败的教训,提出我国国债期货合约设计方案。最后,我们发现,中国金融期货研究所正在进行的国债期货仿真交易的合约设计与我们的方案具有一致性。此外,我们讨论了目前通行的转换因子系统(CFS)的合理性,认为采用真正名义债券系统(TNBS)可能更有利于防止市场操控,促进市场的发展。
[Abstract]:Since 1970s, great changes have taken place in the international financial market. Globalization of financial market, financial liberalization and securitization of financial assets have become the main characteristics of this period. A large number of complex financial instruments have been created, and Treasury futures is one of the most representative of them, and has achieved unprecedented success, becoming the largest financial contract in the world at that time. In 1990s, our country carried out the experiment of treasury bond futures trading, but due to many factors. The transaction has been suspended for only two and a half years. In the past 17 years, the economic and financial environment of our country has changed greatly, and our country already has the necessity and feasibility of restoring the treasury bond futures trading. It is of great theoretical and practical significance to discuss the related problems, and the contract design is one of the important contents in the recovery and development of treasury bond futures trading, and the research on it is of great significance. This paper first analyzes the reasons for the failure of the national debt futures trading pilot in China, in which the unreasonable contract design is an important reason for the failure of the national debt futures trading pilot, specifically speaking. It is mainly that the underlying assets are single and the circulation is too small, the setting of margin level is unreasonable and the execution is not strict, the system of fluctuation and decline is not perfect, and the control system of holding positions is empty and so on. Then it analyzes the economic reasons of the setting of treasury bond futures contract in the underlying assets, margin system, fluctuation system and position control system, and then draws lessons from the successful contract design experience of developed markets. This paper summarizes the lessons of the failure of the domestic treasury bond futures pilot, and puts forward the design scheme of our country's treasury bond futures contract. Finally, we find out. The contract design of treasury bond futures simulation trading in China Financial Futures Research Institute is consistent with our scheme. In addition, we discuss the rationality of the commonly used conversion factor system (CFS). It is suggested that the use of the real nominal bond system (TNBS) may be more conducive to preventing market manipulation and promoting the development of the market.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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