Research On Hedging Of Treasury Bond Futures Based On The Contracts

During90’s,treasury bond futures in China had experienced a farce.But after18years, in all aspects of the conditions are relatively stable, the Treasury bonds futurestrading relaunched.There is undoubtedly the most attractive aspect to institutions andmedium-sized investors.After the Treasury bond futures relaunching,interest rate riskwill be effectively passed on.Institutions and investors need make full use of hedginginstruments during the process of transfer of interest rate risk.In the developed capital market,treasury bond futures has become mature,efficient.And become the widely used of financial derivatives and risk managementtools.In the drive by the demand of huge interest rate hedging,in the face of sharpinterest rate changes and financial crisis, debt crisis from interest rate liberalization.Foreign commercial banks are conscious use of treasury bonds futures tool for pricingand hedging of credit products and interest rate derivatives.Therefore, commercialbanks generally participate in the national debt futures business.China under control of interest rates for a long time.The bond market is Nonmarket,and lack of experience of bond management and debt issuance. Now facing theopen market，the interest rate will be determined by market supply and demand, interestrate fluctuations would be more frequent,market risk will be more and more big.How toavoid the risk of volatility interest rate in the next will be key of numerous banks andinstitutional investors.The hedging function of treasury bond futures will give thefinancial institutions including commercial banks advantages of interest rate riskreduction. So the relevant theoretical research,empirical research will be useful.Treasury bond futures development road of our country are relatively rough.In1992, in order to active national debt spot market. Although the market is without aunified market,liquidity and reasonable system.Shanghai Stock Exchange opened theTreasury bonds futures trading.Since then,under the bad influence of numerousviolations,our country had to suspend treasury bond futures trading in1995, whichmeans the failure of our country’s treasury bond futures trading.The article discussed the framework of research of domestic and foreign treasurybond futures.Then do a general introduction of the effect on Treasury bond futureshedging and the development of the global government bond futures including ourcountry.This paper intends to explore the Treasury futures under different models’sperformance.Whether Treasury bond futures hedging function can achieve effectively is mainly based on the relationship between futures and spot prices.Because of theparticularity of the Treasury bonds futures, it has a package of the deliverable bonds, sodetermined the most suitable hedging bonds is the key.Firstly, through the minimumbasis method,implied repurchase rate and experience method to determine the cheapestdeliverable bond.The cheapest deliverable bond is the most suitable for hedging in thecurrent.I also select deliverable bond and non deliverable bond as comparison objects.Then use basis point value method,modified duration,yield beta adjustment and theOLS,ECM model to calculate the hedge.In this paper,used the latest data since2013, Using of the data in Dazhihui,Chinafinancial futures exchange and Shanghai Stock Exchange. Through empirical researchand analysis， the cheapest deliverable bonds and deliverable bond performancerelatively well in the remaining period in the range of4-7years. But for the remainingbonds with longer maturities,it is non deliverable bonds,not particularly suitable forhedging risk.Also by comparison，to find a relatively good model that having a betterhedging performance in several different estimates of the hedge ratio models.It showsthat the OLS and ECM have a better result.GARCH is not suitable for Treasury bondfutures hedging.Treasury bond futures can be used for hedging in the majority of cases, to avoid apart of risk, but also need the investor to select the best deliverable bond.Because theTreasury bond futures listed again just for a short time,we lack of available data.Therehave a huge space for hedging research.