关于我国利率衍生品市场发展的实证研究

Empirical Research on Development of China's Interest Rate Derivatives Market

伴随着金融体制改革的不断深化和利率市场化的持续推进,我国利率衍生品市场经历了迅速的发展。通过实证分析来探究推动利率衍生品市场发展的包括银行信贷、债券市场、利率等在内的各种驱动因素,发现我国利率衍生品市场发展中存在着显著的信贷效应、债市效应、利率效应和动量效应,其中动量效应最强,债市效应最弱。最后,提出了加快利率市场化、扩大市场参与者、丰富衍生品种类、加强市场监管等完善利率衍生品市场发展的对策建议。

With the deepening financial system reform and continuous interest rate liberalization, China＇s interest rate deriv- atives market has experienced a rapid development. Based on the empirical analysis, this paper explores various driving factors including banking credit, bond markets and market interest rate. It finds that credit effect, bond market effect, interest rate effect and momentum effect are significant in the development of China＇s interest rate derivatives market, with momentum effect the strongest and bond market effect the weakest. Finally, it put forwards the policy recommendations for the improvement in the in- terest rate derivatives market： speeding up the marketization of interest rates, expanding market participants, enriching the varie- ties of derivatives, strengthening the market supervision, etc.