宏觀經濟信息與期貨對國債市場的影響- 中國國債市場實證分析
The Impact of Economic News and Future Market on Treasury Prices - Evidence from China Treasury Market
Student thesis: Doctoral Thesis
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Award date | 3 Aug 2016 |
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Permanent Link | https://scholars.cityu.edu.hk/en/theses/theses(ab992832-ee00-4984-adb4-cb1213646500).html |
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Abstract
本文首先在分析我國國債市場發展情況的基礎上,採用經過改進的GJR-GARCH模型,通過在模型中增加虛擬變數的方法,研究宏觀經濟公告對國債收益非對稱波動的影響。進一步區分實體經濟公告和貨幣經濟公告,研究其對不同期限國債影響的差異。整體上,債券期限越長,其波動率受到貨幣政策和實體經濟公告的影響越大。同時市場對貨幣政策公告和實體經濟公告的吸收速度很快,影響時間較短。並且實體經濟公告的影響大於貨幣政策。對於貨幣政策公告而言,利空的壞消息對國債收益率帶來的負影響更大,而對於實體經濟公告而言,利多的好消息所帶來的正影響更大。此外,非定期公告的影響普遍大於定期公告的影響。對於定期公告而言,壞消息對國債收益率帶來的負面影響更大,而對於非定期公告而言,好消息所帶來的正面影響更大。
本文還從分析國債期貨對國債現貨市場的流動性的影響。在控制了市場層面和債券層面變數後,實證發現國債期貨的推出能顯著提高銀行間市場的國債流動性,降低銀行間市場國債交易價格偏差,這與金融監管部門推出國債期貨的目的相一致。國債期貨推出不能顯著下降交易所市場的國債交易價格偏差,這主要是由於交易所市場國債交易的不活躍,從而使得投資者在使用國債期貨和國債現貨進行策略交易時,在交易所市場中不一定能快速地找到滿足其資金需求的國債交易頭寸。銀行間市場國債交易已經成為國債交易的主要場所,從整體上來說國債期貨引入能顯著提高國債市場的流動性。
本文還從分析國債期貨對國債現貨市場的流動性的影響。在控制了市場層面和債券層面變數後,實證發現國債期貨的推出能顯著提高銀行間市場的國債流動性,降低銀行間市場國債交易價格偏差,這與金融監管部門推出國債期貨的目的相一致。國債期貨推出不能顯著下降交易所市場的國債交易價格偏差,這主要是由於交易所市場國債交易的不活躍,從而使得投資者在使用國債期貨和國債現貨進行策略交易時,在交易所市場中不一定能快速地找到滿足其資金需求的國債交易頭寸。銀行間市場國債交易已經成為國債交易的主要場所,從整體上來說國債期貨引入能顯著提高國債市場的流動性。
Firstly, based on the analysis of the Treasury bond market development situation in our country, adopting the improved GJR-GARCH model, by using the method of adding dummy variables in the model, to study macroeconomic announcements effect on the asymmetric volatility of treasury bond returns. We further divide macroeconomic announcements into real economy announcements and monetary policy announcements, to study the difference of the impact on different term bonds. Overall, the longer the maturity, the volatility is more affected by monetary policy and real economy announcements. Meanwhile, market absorbs monetary policy and real economy announcements quickly, namely short impact time. And real economy announcements affetcts more compared to monetary policy announcements. For monetary policy announcements, bad news affects more, while for the real economy announcement, good news affets more.In addition, regular announcements’ impact is generally greater than that of irregular announcements. For regular announcements, bad news affects more, while for the irregular announcements, good news affets more.
This article also analysis the impact of treasury futures on the liquidity of treasury spot market. With control of the market level and bond level variables, empirical research finds that the launch of treasury bonds futures can significantly increase treasury liquidiy of the inter-bank market, while reducing the trading price deviation, matching the purpose of financial regulators for launching bond futures. Bond futures reduce price deviation significantly in exchange bond market, which is mainly due to the exchange bond market trading is not active, so as to make the investors in the use of national debt futures and spot trading strategy of national debt, in the exchange market may not be able to quickly find the treasury trading positions to meet its funding needs. Inter-bank bond market trading has become the main place of bond trading, overall national debt futures introduction can significantly enhance the liquidity of the market.
This article also analysis the impact of treasury futures on the liquidity of treasury spot market. With control of the market level and bond level variables, empirical research finds that the launch of treasury bonds futures can significantly increase treasury liquidiy of the inter-bank market, while reducing the trading price deviation, matching the purpose of financial regulators for launching bond futures. Bond futures reduce price deviation significantly in exchange bond market, which is mainly due to the exchange bond market trading is not active, so as to make the investors in the use of national debt futures and spot trading strategy of national debt, in the exchange market may not be able to quickly find the treasury trading positions to meet its funding needs. Inter-bank bond market trading has become the main place of bond trading, overall national debt futures introduction can significantly enhance the liquidity of the market.