商业银行参与国债期货对金融市场的影响研究——兼析提升国债期货价格发现功能的制度机制

Research on the impact of commercial banks’participation in treasury bond futures on financial markets——Concurrent analyze the institutional mechanism to improve the price discovery function of treasury bond futures

本文对商业银行参与国债期货交易的中短期影响进行了实证分析,为扩大银行和保险机构参与国债期货试点提供了参考。实证结果表明:商业银行参与国债期货交易显著提升了期货市场的价格发现功能;对期货市场的收益率和波动性的影响是中性的;对主要期限国债现货收益率的影响也为中性;对短期和中期国债现货价格波动性影响不显著,但显著降低了长期国债现货价格的波动性。建议根据试点经验逐步扩大试点范围,增加银行和保险等专业机构参与数量,完善投资者结构;适时推出30年期国债期货等更多期限品种,进一步丰富市场风险管理工具,增强市场价格稳定性;完善制度机制,进一步提升市场价格发现功能。

This paper makes an empirical analysis on the medium and short-term impact of commercial banks’participation in treasury bond futures trading,which provides a reference for expanding the participation of banks and insurance institutions in the pilot of treasury bond futures.The empirical results show that:Commercial banks’participation in treasury bond futures trading significantly improves the price discovery function of the futures market.Its impact on yield and volatility of the futures market is neutral.Its impact on spot yield of main term treasury bonds is also neutral.It has no significant impact on spot price volatility of short-term and medium-term treasury bonds.However,it significantly reduces the volatility of the spot price of long-term treasury bonds.It is suggested to gradually expand the pilot scope according to the pilot experience,increase the number of professional institutions such as banks and insurance,and improve investor structure;launch more bond futures such as 30-year treasury bond futures to further enrich market risk management tools and enhance market price stability;improve the system and mechanism to further enhance market price discovery function.