Study On The Price Discovery Function Of China’s Treasury Futures Under The Background Of Interest Rate Liberalization

At present, China is in the stage of National Twelfth Five-Year Plan period. In order to build a multi-level financial system, China’s development of interest rate liberalization and treasury futures market has already been promoted to the national strategy level.Treasury futures was first introduced in the 1970s under the background of oil crisis and the collapse of the Bretton Woods system. During that time, the U.S. was suffering from stagflation and it was urgent to introduce interest rate management tools to stabilize the U.S. bond market. And later, the treasury futures boom in the U.K., Japan, France, Germany, Italy and other countries. However, the development of China’s treasury futures was not always smooth as the countries aforementioned: From December 1992 to May 1995, treasury futures shortly-lived in our country after the ’327’ event because of speculation. The treasury futures were forced to stop then. Learning from the former failure, later in September 2013, we restarted the transaction of treasury futures on the basis of the basic realization of interest rate liberalization.Domestic and international experience shows that treasury futures are necessary when the interest rate market has developed to a certain stage. The functions played by the treasury futures, especially its price discovery function, are of great importance to build a market-determined interest rate benchmark.At present, China’s treasury futures market has already developed for more than one year and a half. It has achieved some market scale and mobility. During 2014, the position of China’s treasury features hold daily was 9387 hands, which almost doubled that in 2013. It is obvious that China’s treasury futures market has achieved primary development.Whether treasury futures are able to play its price discovery function, whether treasury futures and spot markets are effectively interacted with each other, why is the discovery function of treasury futures of great importance during the process of interest rate liberalization and how to promote the treasury futures market and interest rate liberalization by the mean time are all topics discussed here.Based on the price discovery function, we explore the guide-and-lag relationship of treasury futures and the interaction between treasury futures’ price discovery function and interest rate liberalization further. The thesis also summarize the success and failure experience at home and abroad and put forward effective proposals to promote the healthy development of China’s treasury futures market and the interest rate market. Theoretical research and empirical research, qualitative analysis and quantitative analysis, horizontal comparison and vertical comparison and a variety of other study methods are used synthetically.The basic conclusions are as follows:1, The futures and spot market of treasury are highly correlated, with a a long-run equilibrium relationship.2, China’s treasury futures market has some ability to boot the price on the spot market, however the price discovery function is not obvious.3, The treasury futures price discovery function and interest rate liberalization promote each other. The play of treasury futures’ price discovery function is an effective and efficient way to complete the interest rate liberalization, thus the development of treasury futures should coordinated with that of interest rate liberalization.Inadequate data during early development of treasury futures is a shortage. Due to the fragmentation of treasury spot market fragmentation, the overall unity data is not able to be obtained, which leads to a certain extent influence of validity of the empirical results.