| With the deepening of China's financial reformation and the innovation of various types of structured products such as derivatives,the management of interest risk is becoming more and more important.As a benchmark for market interest rates,Treasury yields can be used to monitor interest risk very well.The research that whether Treasury Bond Futures can effectively reduce the risk and volatility of the Treasury market has a great significance to improve the Treasury trading system.Besides it also has highly theoretical and practical significance on how to design the Treasury Bond Futures better and how to construct the market of Treasury Bond Futures.Therefore,this paper studies the impact that Treasury Bond Futures of different periods have to the Treasury yields' curvature and volatility.According to these studies,the author judges the effect of improvement that Treasury Bond Futures made to our Treasury market.Studying the change rule of these curvatures and volatility,the author concludes whether the Treasury Bond Futures improve the Treasury market.Based on the time that different Treasury futures issue,this paper separates the period into various time intervals and calculates the curvature of the Treasury yield curve in corresponding intervals.It's found that China's Treasury Bond Futures generally develop the smoothness of the yield curve,but the optimized effect is not stable.On the other hand,the paper uses EGARCH model to analyze the changed volatility of Treasury Bond Futures.It's found that our Treasury market is not mature enough.Because the issues of 5-year and 10-year Treasury Bond Futures have a significant affect on it.Based on these researches,this paper provides some recommendations to develop the Treasury Bond and Futures market,which makes it better to manage the interest rate risk,improve the Treasury Bond trading mechanism and promote the stability of the whole financial system. |
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