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The Empirical Analysis For The Price Of Chinese Treasury Bond Future Under The Interest Rate Market

Posted on:2017-02-20Degree:MasterType:Thesis
Country:ChinaCandidate:C L ZhangFull Text:PDF
GTID:2279330488455290Subject:Finance
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Treasury bond future is one of the interest rate futures in financial market. In our country, the first treasury bond future began in 1992.But it only lasted two and a half years because the market conditions ware not mature. One of the important reasons is the imperfect interest rate liberalization. In 2013, Treasury future market restarted in our country.In this article, I want to solve two problem:one is the term structure of interest rates and the transaction cost model in our country’s national debt futures market; the second is the impact between the degree of liberalization of interest rate and the bonds futures pricing model. The relevant studies of market interest rate term structure of interest rates is an important model, while the liberalization degree of a country determines the integrity of the term structure of interest rates and empirical applicability.The interest rates expected market model is adopted in this paper through the coupon stripping and polynomial interpolation method of term structure of interest rates in China. It is found that Chinese market interest rate structure is in line with the interest rate expectations model of inference, and the constant improvement of the degree of liberalization of interest rate. On the basis of the term structure of interest rates, the transaction cost model of Chinese national debt futures pricing formula is deduced.Select the data of TF1403 from September 2013 to December 2013 and the data of TF1603 from September 2015 to December 2015, use the transaction cost model for testing. Early empirical found that the degree of liberalization of interest rate is not high, and the market is not mature, the empirical effect is not ideal. Interest rate liberalization in our country has been basically completed. National debt futures market mechanism is gradually mature, with the empirical results of the model significantly increased.
Keywords/Search Tags:treasury bond future, term structure of interest rates, transaction cost model
PDF Full Text Request
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