国债期货交易对利率市场波动性影响的实证检验

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清华大学辅仁网/2017-07-07

何平, 刘泽豪, 范中杰

清华大学经济管理学院, 北京 100084

Empirical test of the influence of treasury futures trading on interest rate volatility

HE Ping, LIU Zehao, FAN Zhongjie

School of Economics and Management, Tsinghua University, Beijing 100084, China

摘要:

输出: BibTeX | EndNote (RIS)

摘要该文研究了中国于2013年9月重启国债期货交易对利率市场波动性的影响。基于双重差分模型和双向集群标准误差调整，实证检验了国债期货对于利率波动性的影响，并应用倾向得分匹配方法进行了稳健性检验。结果发现：国债期货正式交易的推出显著降低了利率市场的波动性；国债期货仿真交易的推出也降低了波动性，但是降低幅度小于国债期货的正式推出。据此，加快国债期货市场建设，推出更加多元化的国债期货合约，能提高利率市场的稳定性。

关键词 ：金融市场,国债期货,利率波动性,双重差分模型,集群标准误差

Abstract：China reopened the treasury futures market in September, 2013. This study used a difference in difference model and a two-way clustering method to study the influence of treasury futures on interest rate volatility with a propensity score matching method for robust checks. The reopening of the treasury futures market significantly reduced the interest rate volatility. Emulational treasury futures trading also reduced the interest rate volatility, but the effect was weaker than with real trading of treasury futures. The results suggest that more treasury futures contracts can promote the interest rate market stability.

Key words：financial market treasury futures interest rate volatility difference in difference model clustered standard error

收稿日期: 2016-01-29 出版日期: 2017-05-20

ZTFLH:

F830.9

引用本文:

何平, 刘泽豪, 范中杰. 国债期货交易对利率市场波动性影响的实证检验[J]. 清华大学学报（自然科学版）, 2017, 57(5): 544-549.
HE Ping, LIU Zehao, FAN Zhongjie. Empirical test of the influence of treasury futures trading on interest rate volatility. Journal of Tsinghua University(Science and Technology), 2017, 57(5): 544-549.

链接本文:

http://jst.tsinghuajournals.com/CN/10.16511/j.cnki.qhdxxb.2017.22.035或 http://jst.tsinghuajournals.com/CN/Y2017/V57/I5/544

图表:

表1 反事实检验结果

表2 剩余期限国债的存量和交易量加总后和整数期限的对应关系

表3 国债期货正式交易推出实验组的倾向得分匹配结果

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