China's Government Bond Futures During The Pilot Study On The Basic Features

This paper first introduced the fundamental knowledge of Treasury bonds futures market, reviewing the experimental experience of china's Treasury bonds futures market, and passes "327" the event to analyze our country Treasury bonds futures market experiment site defeat the reason. In this foundation, has launched to our country experiment site timenational Treasury bonds futures market basic function realization degree real diagnosis research.In to the Treasury bonds futures market price discovered when the function conducts the research, this article first examined our country experimental experience national debt forward price validity, discovered has part of varieties the prices is only effective; Next, using Granger causality test, the error correction model and the impulse response function and variance decomposition model to verify the guide relations between cash price and futures price .the results showed, To the Treasury bonds futures market for the experimental period, the price discovery function has been reflected, but to realize the extent of its functions is not high. in the midst of all categories in the market. Among all of the features of the market is different, the paper revealed evidence of this difference and gives a reasonable explanation.The article in Chapter IV of the Treasury bonds futures market hedging function, the use of OLS, B-VAR, ECM and the model EC-GARCH dynamic hedging different varieties in different hedging model of optimal hedge ratio. And in this foundation, guarantees the value time span, the different wrap time to various varieties in the different wrap time guarantees under the value model the wrap time to guarantee the value efficiency to carry on the comparison, discovered our country experimental experience of Treasury bonds futures market can guarantee the value in the certain degree for a set of time to provide dodges the risk the place, but a set of time guarantees the value function the realization degree not to be high, carries on a set of time to certain varieties to guarantee the value even to be able to increase the risk.Meanwhile,The best hedge ratio and the best hedging strategy of varieties is defferent,The empirical revealed the differences between the varieties.Finally, the author embarked from the real diagnosis result, proposed how Re-opening our country Treasury bonds futures the policy to suggest again, including: Deepening to national debt stock market cultivation; Deepened interest rate market reform; The consummation finalizes the system.