Research On The Influence Of National Debt Futures On The Yield Curve Of China 's National Debt Market

Bond futures launched today only for more than a year’s time, so for the Treasury bond market and interest rate marketization and the effect of the present study is less, so this paper hope through the marketization of interest rate--logic relationship between treasury bonds, and treasury futures, with the benchmark yield curve as clues, to comprehensive analysis the China’s bond market yield curve changes. In order to show bond futures influence for benchmark yield curve, thus further on the basis of the analysis of the current treasury futures for the treasury bond market benchmark interest rate system, to realize the combination of market interest rate, treasury bonds and treasury bonds futures.This paper through the theoretical and empirical aspects to study bond futures. Theory mainly studies three points, respectively is the development process of the marketization of interest rate in our country, the position of national bond yields in financial markets and treasury bond futures efficiency influence on the bond market mechanism analysis, before two points as the basis and analysis the problems of encountered and obstacles, to third points as the key to solve the obstacl. Empirical studies with SAS9.3 and SPSS16.0 software. This article to the validity problem of treasury bond futures by the yield of the national debt market rate curve changes reflect, treasury bonds futures introduced before and choice the inter bank bond trading week closing 98 degree full price as the main research object. Firstly in the liberalization of interest rate of national debt, the choice of benchmark interest rate for the premise, followed by inter bank the bond market as the condition, carries on the analysis by using appropriate financial tools, which is use of the most extensive NSS model and principal component analysis method, ensure the relatively high fitting precision and visual effect of comparative analysis, integrated study the Treasury bonds futures launch on the bond market efficiency, and draws the corresponding conclusion.Through theoretical and empirical research, results of this paper is that the national debt futures smoothed yield curve, and favorable to the formation of the bond market datum interest rate and market interest rate, promote the process of interest rate marketization, but can not achieve the role of market benchmark interest rate. For this conclusion, this article mainly from the three aspects to interpretation, on the one hand, the treasury bonds futures launch time is short, can not embodied the Treasury market role in a short period of time, on the other hand, the lack of long-term treasury bonds futures contract deliverable, unable to meet the deadline of bond market to control the interest rate risk and more stable interest rates required to achieve financial tools, which can not realize the smoothing effect of the yield curve in the long term, the last one, the institutional investor participation is not enough to promote the establishment of realizing reasonable market price and the effective bond market. Based on the analysis of the reasons of the conclusion, and puts forward the corresponding implementation suggestions.