Analysis The Feasibility Of Treasury Bond Futures Based On The Treasury Yield Curve

China Financial Futures Exchange officially launched the Treasury bond futures simulation trading on February13,2012. The Treasury bond future, which has been suspended for17years, will be restarted transaction soon. However, do we have the condition to re-launch the Treasury bond futures trading? If not, how to improve? The scholars only carry out a theoretical analysis aiming at this problem, and the point of view lack of convincing. So in view of this paper we will firstly use empirical method to conduct in-depth analysis. Specifically, this paper analyses the feasibility of Treasury bond futures based on the Treasury yield curve, namely by comparing our country’s Treasury yield curve with the Treasury yield curve of major countries to get the conclusion:Firstly, in order to compare the Treasury yield curve with countries, we compare some interest rate term structure models and methods, and propose a multi-factor CIR model, Kalman filter method to estimate the parameters of the Treasury yield curve. Secondly, we will compare the smoothness of the Treasury yield curve of the United States, Japan, South Korea and China; also the volatility of the yield curve by using the GARCH model, combined with the current situation and to examine our conditions with the launch of the T-bond futures. Finally, to explore the necessity of Treasury bond futures, we will judge whether the Treasury futures can impact the bond Spot based on the smoothness of the Treasury yield curve and the volatility of the bond spot. The study shows that the smooth and the overall volatility of the Treasury yield curve at this stage is similar to the case before the launch of the US, Japan government bond futures, China already has the conditions to restart the bond futures. Meanwhile, the introduction of the T-bond futures has improved the smoothness of the Treasury yield curve and the launch of the T-bond futures did not significantly increase the volatility of the spot market.