国债期货对国债收益率曲线动态的影响

The Dynamic Impact of Treasury Bond Futures on Treasury Yields Curve

国债期货市场的建设对健全国债收益率曲线具有重要意义。本文利用主成分分析方法对国债收益率曲线进行降维分析,研究国债收益率曲线水平、斜率和曲率因子在国债期货上市不同阶段的特征,并通过滚动窗口的Granger因果检验探究国债期货与国债市场的动态关系。结果发现,国债期货的上市交易使收益率曲线水平因子的波动性明显降低,斜率因子和曲率因子也大幅减小,这说明国债期货的上市交易提高了我国国债现货市场的成熟度,促进了国债收益率曲线的完善;进一步研究发现国债期货对债券市场具有一定的价格发现功能,但功能发挥不够;债券现货市场对期货市场不具备价格发现功能,期货和现货市场的期限价差相互影响,且现货对期货的影响更显著。

The construction of treasury bond futures market is of great significance to improve treasury yields curve. The paper reduced the dimension of treasury yields curve with the method of principal component analysis, and studied the characteristics of level, slope and curvature factor of treasury yields curve in different stages after the listing of treasury bond futures and the dynamic relationship between treasury bond futures and treasury bond market using the Granger causality test of rolling window. The study found that the volatility of level factor decreased significantly, and the slope factor and the curvature factor are also greatly reduced after the listing of treasury bond futures, indicating that the maturity of Chinese treasury bond market and the yields curve have been improved; further studies found that treasury bond futures has some function of price discovery, but is not enough; treasury spot market does not have the function of price discovery, the term structure of futures and spot market have mutual influence, and the influence of the spot is more remarkable.