Research On The Price Discovery Ability Of China's Treasury Bond Futures In The Context Of Interest Rate Marketization

Treasury bond futures have the basic functions of avoiding interest rate risk and price discovery.The perfect treasury bond futures market can provide efficient interest rate risk management tools for market players and enhance the ability of the real economy to resist interest rate risk which can enhance the overall anti-risk ability of a country's financial system.Treasury bond futures as an accurate estimate of interest rates can promote interest rate marketization,and form the transmission mechanism with it.In Western countries,the central bank through targeted open market operations which in accordance with the national debt futures market price changes to guide the market expectations of interest rates,thereby enhancing the monetary policy transmission effect.On March 20,2016,China's central bank governor Zhou Xiaochuan said China's interest rate marketization has been basically completed by the end of 2015.Against the background of interest rate marketization,studying the realization of the basic functions of China's treasury bond futures is of great significance to promote the improvement of interest rate marketization.Based on the relevant literatures at home and abroad,this paper studies the price discovery ability of China's treasury bond futures from both of theoretical and empirical aspects in the context of interest rate marketization.On the theoretical side,this paper reviews the development history of China's treasury bond futures and analysises the meaning and characteristics of futures price discovery function.In addition,this paper discusses the issue of China's interest rate risk management tools'status and roles against the background of interest rate marketization.On the empirical side,this paper chooses the closing price of the 5-year treasury bond futures contract(turnover)on the China Financial Futures Exchange and the closing price of the 2016-year note(7)treasury bonds(160007)on the inter-bank bond market.The range is from 18 April 2015 to 27 December 2016,excluding data for non-trading periods and trading hours that do not match,for a total of 165 trading days.In the aspect of research methods,this paper not only uses the VECM model to study the price relationship between the spot and the treasury during the price discovery process,but also makes a quantitative analysis of the contribution level of the two by using the MIS model.The conclusion of this paper is that China's treasury bond futures play the basic function of price discovery and dominate the price discovery process,and its price discovery ability is strong.In order to better play the role of hedging interest rate risk and promoting the marketization of interest rate,we should aim at the real problems of the development of China's treasury bond futures market and promote the development of treasury bond futures market from deepening the reform of the treasury bond futures market,relaxing the investors' access,speeding up the opening of the market and improving the bond market collaborative supervision system and so on.