国债期货市场与现货市场收益率关系研究  

Research on the Relationship between the Yields of Treasury Bond Futures Market and Spot Market

作　　者：于永瑞 YU Yong-rui(Jiangmen Rural Commercial Bank,529100,Jiangmen,Guangdong,China)

机构地区：[1]江门农村商业银行股份有限公司,广东江门529100

出　　处：《特区经济》2022年第4期146-150,共5页Special Zone Economy

摘　　要：期现货市场利率及其变动是利率类产品、信用类产品进行资产定价、产品设计、套期保值、期现套利等资产操作的基础,对国债期货不同合约所揭示出的市场利率进行深入研究是期现货市场的核心课题,也是对利率类产品进行定价的关键所在。十八届三中全会提出“健全反映市场供求关系的国债收益率曲线”,国务院及相关部委也把推进利率市场化作为利率市场化的重要任务。随着利率市场化改革进程的加快,有代表性的市场基准利率体系必将建立,国债期货合约将在货币市场利率基准体系中发挥较大的作用。发达国家历史经验告诉我们,国债期货与现货联动性较强,国债期货上市将近十年时间,具有一定数据支持,因此,本文研究现货与期货的联动关系具有重要的现实意义。Futures and spot market interest rate and its changes are the basis of asset pricing,product design,hedging,futures and cash arbitrage of interest rate products and credit products.It is the core issue of futures and spot market to deeply study the market interest rate revealed by different contracts of treasury bond futures,and it is also the key to price the interest rate products.At the Third Plenary Session of the 18th CPC Central Committee,it was proposed to“improve the yield curve of government bonds reflecting the relationship between market supply and demand”.The State Council and relevant ministries and commissions also made promoting the interest rate marketization an important task of interest rate marketization.With the acceleration of interest rate marketization reform,a representative market benchmark interest rate system will be established,and treasury bond futures contract will play a greater role in the money market interest rate benchmark system.The historical experience of developed countries tells us that the linkage between the Treasury bond futures and the spot is strong.The Treasury bond futures has been listed for nearly ten years,and it has a certain amount of data support.It is of great practical significance to study the linkage between the spot and the futures。

关 键 词：国债期货 期现关系 期现套利 

分 类 号：F830.91[经济管理—金融学]