国债期货价格波动溢出效应研究——基于结构变点理论的实证

Study on Volatility Spillover Effects of Treasury Bonds Future Price——An Empirical Study Based on Structure Change Point Theory

本文在结构突变理论框架下,考察结构突变点对国债期货波动溢出效应的影响。研究发现,在变点前,无论是短期还是长期,国债期货市场和现货市场间具有双向波动溢出效应,国债现货市场对国债期货市场的波动溢出效应大于国债期货对现货市场的溢出效应。在变点后,国债现货和国债期货间具有双向短期波动溢出效应,且国债期货对国债现货市场波动溢出效应比变点前样本大;国债现货对期货市场有长期波动溢出效应,而国债期货对现货市场不存在长期波动溢出效应。

In the framework of structural catastrophe theory,the paper examines the impact of structural catastrophe on the volatility spillover effect of treasury bonds futures.The study finds that before the change point,whether it is short-term or long-term,there is a two-way volatility spillover effect between the treasury bonds futures market and the spot goods market,but the volatility spillover effect of the treasury bonds spot goods market on the treasury bonds futures market is greater than that of the treasury bonds futures on the spot goods market.After the change point,there is a two-way short-term volatility spillover effect between the treasury bonds spot goods and the treasury bonds futures,and the volatility spillover effect of the treasury bonds futures on the spot goods market is larger than that before the change point.The treasury bonds spot goods has a long-term volatility spillover effect on the futures market,while the treasury bonds futures has no long-term volatility spillover effect on the spot goods market.