谁是中国利率市场中价格稳定的“锚”?--基于国债期现货及利率互换市场的研究  

Who is the“Anchor”of Price Stability in China’s Interest Rate Market?Empirical Evidence from the Market of Spot and Futures of Government Bonds and Interest Rate Swap

作　　者：刘文超 安毅[2] 方蕊[1] LIU Wenchao;AN Yi;FANG Rui(College of Economics and Management,China Agricultural University,Beijing 100083,China;China Futures and Financial Derivatives Research Center,China Agricultural University,Beijing 100083,China)

机构地区：[1]中国农业大学经济管理学院,北京100083 [2]中国农业大学中国期货与金融衍生品研究中心,北京100083

出　　处：《北京航空航天大学学报（社会科学版）》2021年第1期84-95,共12页Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

基　　金：中央高校基本科研业务费专项资金(2019TC092)。

摘　　要：在中国利率市场化改革不断深入的背景下,国债期现货市场与利率互换市场的发展与稳定对深化利率市场化改革和维护利率市场稳定均至关重要,但谁才是中国利率市场中价格稳定的“锚”呢?基于信息溢出理论从波动溢出的角度探讨了国债期现货与利率互换市场在中国利率市场中的影响力,得出以下结论:第一,三个市场间关联性较强,中国利率衍生品市场对国债现货市场已经具备一定的影响力;第二,中国十年国债期现货市场已是波动信息的净溢出者,也是中国利率市场稳定的“锚”;第三,中国国债期现货市场与利率互换市场之间的长短期波动溢出效应存在显著的差异,长期波动溢出效应占主导地位。据此建议,应继续完善现有的利率衍生品市场并着力发展国债期货市场,打通国债期货和利率互换的市场分割,同时合理引导市场参与者的长期预期,防止利率市场过度关联。Under the background of the deepening of interest rate market reform in China,the development and stability of the spot and futures market of government bonds and interest rate swap market are very important to deepen the reform of interest rate marketization and maintain the stability of interest rate market,but who is the“anchor”of price stability in China’s interest rate market?Based on the theory of information overflow,this paper determines the influence of the government bonds spots,government bonds futures and interest rate swap market in China’s interest rate market from the perspective of fluctuation overflow.The study found that:first,the total risk spillovers among the three markets is strong,China’s interest rate derivatives market has a certain influence on the spot market of government bonds;second,China’s 10-year government bonds spot and futures market has been the net spillover of volatility information,but also China’s interest rate market stability“anchor”;third,there are significant differences in the long-term and short-term volatility spillover effect among the spot and futures market of China’s government bonds and the interest rate swap market,and the long-term volatility spillover effect dominates.According to this proposal,we should continue to improve the existing interest rate derivatives market and focus on the development of the bond futures market,open up the market segmentation of treasury bond futures and interest rate swaps,and reasonably guide the long-term expectations of market participants,so as to prevent the interest rate market from over-connectedness.

关 键 词：国债期货 利率互换 信息溢出 波动溢出 影响力 

分 类 号：F832.5[经济管理—金融学]