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国债期货对国债收益率的影响主要是两方面的,一方面是国债期货政策的宣布所产生的新闻宣告效应,另一方面是国债期货交易下形成的更准确的远期利率预期能够有效降低国债收益率曲线的风险溢价水平。采用基于高频数据的事件分析方法,本文对国债期货重启后影响国债收益率的两种机制进行了分析。通过考察国债期货政策的宣布效应,本文证实市场参与者在国债期货政策宣布后能立即在国债现货市场做出反应,因此导致相关期限的国债收益率在较窄的时间窗口内做出显著的反应。通过考察国债期货交割期对国债收益率的影响,本文发现国债期货交易在一定程度上降低了国债现货市场上的风险溢价,推动了国债收益率曲线在特定位置的平坦化。与不可用于交割的国债收益率波动相比,5~7年期国债收益率的波动在国债期货交割期内有所减弱。
The impact of bond futures on government bond yields is mainly two aspects, one is the announcement effect of the announcement of the national debt futures policy, on the other hand, the more accurate forward interest rate formed under the bond futures trading is expected to effectively reduce the national debt The risk premium level of the yield curve. Based on the event analysis method based on high frequency data, this paper analyzes the two mechanisms that affect the yield of government bonds after the restart of the government bonds. By examining the announcement effect of the treasury bond futures policy, this paper confirms that market participants can react immediately to the Treasury bond spot market after the announcement of the Treasury bond futures policy. As a result, the yields of the Treasury bonds with relevant maturities make a significant response in a narrow time window . By examining the influence of the delivery period of government bonds on the yield of government bonds, this paper finds that the treasury bonds futures trading reduces the risk premium on the spot market of government bonds to a certain extent, and promotes the flattening of the yield curve of government bonds in a certain position. Compared with the fluctuation of yield of non-deliverable government bonds, the volatility of 5-7-year treasury yields weakened during the delivery period of treasury bonds.