我国国债期货利率期限结构的国际比较研究  

An international comparative research on term structure of interest rate futures of treasury bond futures in China

作　　者：杨成玉[1] YANG Chengyu(Institute of European Studies,Chinese Academy of Social Sciences,Beijing 100732,China)

机构地区：[1]中国社会科学院欧洲研究所,北京100732

出　　处：《重庆理工大学学报（社会科学）》2018年第10期27-35,共9页Journal of Chongqing University of Technology（Social Science）

基　　金：国家社会科学基金青年项目"‘一带一路’倡议框架下中欧产能合作研究"(17CGJ008)

摘　　要：对自2013年9月6日我国恢复国债期货交易以来的国债期货市场表现情况进行国际比较分析,并对中美英国债市场以及中美国债期货市场在CIR模型下利率期限结构拟合参数进行实证分析。结果表明:同发达国家国债期货市场相比,我国国债期货市场存在投资者投资效率低、市场波动大等特点。结合发达国家国债期货市场特点,提出我国发展国债期货市场、完善国债期货利率期限结构、促进利率市场化进程的政策建议。This paper conducts an international comparative research on the performance of treasury bond futures market.Since September 6th,2013 when China has resumed the trading of treasury bond futures.By using CIR model,this paper studies the fitting parameters of interest rates term structure of the treasury bond market in China,America and England,and the treasury bond futures market in China and America.Empirical research reveals that,compared with the treasury bond futures market in developed countries,the investment efficiency is much lower and the market volatility is much bigger in our country’s treasury bond futures market.At last,by combining the characteristics of treasury bond futures market in developed countries,this paper puts forward some policy suggestions for our country in the following aspects:the development of treasury bond futures market,the improvement of term structure of interest rate futures of treasury bond and the promotion of interest rate liberalization.

关 键 词：国债期货 利率期限结构 CIR模型 国际比较 利率市场化 

分 类 号：F812.5[经济管理—财政学]