国债收益率曲线与国债期货的互动关系研究

China Financial Futures Exchange officially launched the Treasury bond futures simulation trading on February 13, 2012. The Treasury bond future, which has been suspended for 17 years, will be restarted transaction soon. However, do we have the condition to re-launch the Treasury bond futures trading? If not, how to improve? The scholars only carry out a theoretical analysis aiming at this problem, and the point of view lack of convincing. So we will firstly use empirical method to conduct in-depth analysis. Specifically, this project analyses the feasibility of Treasury bond futures based on the Treasury yield curve, namely by comparing our country's Treasury yield curve with the Treasury yield curve of developed countries to get the conclusion: Firstly, in order to compare the Treasury yield curve with these countries, we compare some interest rate term structure models and methods, and propose a modified multi-factor CIR model, Kalman filter method to estimate the parameters of the Treasury yield curve. Secondly, we will compare the smoothness of the Treasury yield curve of the United States, Japan, German and China; also the volatility of the yield curve by using the GARCH model, combined with the current situation and to examine our conditions with the launch of the T-bond futures. Finally, to explore the necessity of Treasury bond futures, we will judge whether the Treasury futures can impact the bond Spot based on the smoothness of the Treasury yield curve and the volatility of the bond spot.By examining the interaction of Government debt yield curve and T-bond futures,we expand the theory research of this field.

2012 年2月13日中国金融期货交易所正式启动国债期货仿真交易，暂停17 年的国债期货交易又重提上议事日程，然而我国是否具备重推国债期货交易的条件？利率市场化程度是推出国债期货的首要条件，虽然我国各期限存、贷利率实现了有限浮动，但利率尚未完全市场化。在利率未完全市场化情况下，国债收益率曲线成熟度可作为利率市场化程度的重要指示器。目前对于国债期货可行性的研究大多通过定性分析国债市场运行状况进行推定，极少有学者从国债收益率曲线角度进行论证。本课题另辟蹊径从国债收益率曲线成熟度角度研究国债期货的推出时机，提出用曲率统计值反映收益率曲线平滑度，从收益率曲线平滑度和波动率两个维度考察收益率曲线成熟度，研究时拟借鉴美国、日本、德国等发达国家推出国债期货时国债收益率曲线的曲率统计值和波动率；并考察国债期货推出后对国债收益率曲线成熟度的影响，研究国债期货和国债收益率曲线的互动关系，拓展该领域的理论研究。

中金所分别于2013年9月和2015年3月挂牌5年期和10年期国债期货合约，标志着中国利率衍生品的进一步健全与发展。基于国债收益率曲线的角度考察重新启动国债期货的可行性，即通过比较我国现阶段国债收益率曲线与主要金融市场国家推出国债期货时的国债收益率曲线进行判断。通过比较我国国债收益率曲线与美国、日本以及韩国国债收益率曲线的平滑度、采用GARCH模型比较国债收益率的波动性后，并结合现状来探讨我国重启推出国债期货的可行性。为探讨国债期货推出的必要性，基于国债收益率曲线的平滑度和国债收益率波动是否显著改变等角度考察了国债期货的引入对国债现券市场的影响。研究显示，现阶段我国国债收益率曲线无论是平滑度还是整体波动性都与美日国债期货推出前的情形相似，我国已经具备重启国债期货的条件。同时，国债期货推出后国债收益率曲线的平滑度有所改善并且国债期货的推出并没有显著增加现券市场的波动性。. 本项目还研究了美国、德国和中国市场的国债期货和现货之间的波动率溢出效用。首先研究单个国家国债现货和期货之间的波动率溢出效应；然后以美国数据为例，研究不同频率下，国债期货和现货之间的波动率溢出效应；最后，分期货市场和现货市场，对三个国家之间的波动率溢出效应进行研究。