中国利率互换对国债现货的价格发现功能研究  

Research on the Function of Interest Rate Swap on the Price Discovery of National Bond Spots in China

作　　者：张翀 ZHANG Chong(Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《当代财经》2020年第3期64-77,共14页Contemporary Finance and Economics

摘　　要：在利率市场化和人民币国际化的大背景下,基于利率互换与国债现货的引导关系、价格发现贡献度以及波动溢出效应三个角度,对利率互换与国债现货之间的相互关系进行深入研究,发现利率互换与国债现货之间存在长期稳定的协整关系;利率互换的价格发现功能要强于国债现货,两个市场的协同作用主要由利率互换牵引。而且,在短期限上,只有利率互换对国债现货存在波动溢出效应;在长期限上,利率互换与国债现货之间存在双向波动溢出效应;股票和汇率只对长期限相关系数有着显著影响,而对短期限相关系数并无显著影响。因此,应当重视金融衍生品交易带来的市场冲击,充分考虑衍生品市场对金融市场稳定性的影响,大力发展利率衍生品市场,建立利率互换和国债期货的双支柱体系,重点发展基于政策工具的利率衍生品;做好市场信息冲击作用的识别和判断,有效提升利率互换的对冲效率;在股市上涨以及汇率贬值的市场环境下,增加长期限利率互换对国债现货的对冲比例。In the context of interest rate marketization and RMB internationalization,from the three perspectives of the causal relationship between interest rate swap and national bond spot,the price discovery contribution and the volatility spillover effects,this paper conducts an in-depth study of the relationship between interest rate swap and national bond spot.The findings show that there is a long-term stable co-integration relationship between interest rate swap and national bond spot.The price discovery function of interest rate swap is stronger than that of national bond spot,and the synergy between the two markets is mainly driven by interest rate swap.Moreover,in the short term,only interest rate swap has a volatile spillover effect on the national bond spot;in the long term,there is a two-way volatility spillover effect between interest rate swap and national bond spot.Stocks and exchange rates only have a significant impact on the long-term correlation coefficients,no significant effect is found on the short-term correlation coefficients.Therefore,we should pay attention to the market impact brought by financial derivative transactions,fully consider the impact of the derivative market on the financial market stability,vigorously develop the interest rate derivative market,establish a dual-pillar system of interest rate swap and bond futures,and focus on the development of interest rate derivatives based on policy tools.We should also better identify and judge the impact of market information,effectively improve the hedging efficiency of interest rate swap,and increase the hedge ratio of long-term interest rate swap on national bond spots in the market environment of rising stock markets and devaluating exchange rates.

关 键 词：利率互换 国债现货 信息份额模型 BEKK模型 DCC-GARCH模型 

分 类 号：F830.95[经济管理—金融学]