国债期货与我国利率市场化推进——兼评国债期货仿真合约的功能发挥  

Treasury Bond Future and Marketization of China's Interest Rate:with Comment on the CSI Treasury Bond Futures' Function

作　　者：袁朝阳[1] 刘展言[2] 

机构地区：[1]华中师范大学经济管理学院 [2]北京工商大学经济学院

出　　处：《财经科学》2012年第8期30-38,共9页Finance & Economics

基　　金：国家社科基金项目(10BGJ021);北京市教委科研基地-科技创新平台-北京期货与大宗商品市场研究基地项目(201126)

摘　　要：随着我国金融体制改革进程的不断深入,利率市场化成为当前亟待解决的重难点问题。当前,国债期货重新推出条件成熟,国债期货的推出不仅有助于发现基准利率,更有助于规避利率风险,对我国利率市场化改革多有裨益。通过对国债期货仿真交易时期合约功能发挥的实证研究,发现国债期货与现货价格存在均衡关系,且初步表现出一定的风险规避功能。With the deeply development of China＇ s financial system reform process, the marketization of interest rate is of big issue and with difficulties. Currently, China has basically obtained the factors of setting up a treasury bond future market, which can creatively pose a point of view and effectively manage the risk of interest rate, so it can improve the present benchmark system of interest rate. In addition, based on an empirical study of CSI treasury bond futures function effect , we find that it exists the stable cointegration relation between treasury bond futures price and spot price, and the CSI treasury bond futures preliminary shows Riskaversion function.

关 键 词：利率市场化 国债期货 利率风险 功能发挥 

分 类 号：F832.51[经济管理—金融学] F822.0F224