长期国债期货挤仓风险识别及防范研究——兼析国债期货流动性提升问题

Research on Identifying and Preventing the Squeeze Risk of Long-term Treasury Bond Futures--Concurrently analyze the issue of liquidity enhancement of treasury bond futures

国债期货的挤仓现象影响国债现货市场价格的有效性,不利于国债收益率曲线的形成与完善。为此,本文对我国国债期货是否存在挤仓现象进行研究,在分析我国国债期货挤仓风险形成机理的基础上,构建判别挤仓风险的实证模型,并以10年期国债期货为例,研究我国长期国债期货的挤仓风险问题。结果表明:我国长期国债期货从整体而言尚不存在挤仓风险,部分到期月份国债期货合约在交割期存在挤仓现象,流动性不足是国债期货当前面临的主要问题。据此,本文提出了相应的政策建议。

The squeeze phenomenon of treasury bond futures affects the effectiveness of the treasury bond spot market price and is not conducive to the formation and improvement of the treasury bond yield curve.To this end,this article studies whether there is a squeeze phenomenon in my country's treasury bond futures.Based on the analysis of the formation mechanism of the squeeze risk in my country's treasury bond futures,this paper constructs an empirical model to identify the squeeze risk,and takes 10-year treasury bond futures as an example to study the issue of the squeeze risk in my country's long-term treasury bond futures.The results show that my country’s long-term treasury bond futures as a whole do not have a squeeze risk.Some mature month treasury bond futures contracts have a squeeze phenomenon during the delivery period.Insufficient liquidity is the main problem currently facing treasury bond futures.Accordingly,this article puts forward corresponding policy recommendations.