| Treasury bond futures have the functions of price discovery,avoiding interest rate risk and improving the liquidity of the spot market of Treasury bonds.Price discovery function is the most basic function of treasury bond futures.However,the degree and efficiency of treasury bond futures leading spot prices depends on the strength of market arbitrage investors.In all arbitrage activities in the bond futures market,the traditional forward arbitrage is the most basic way to maintain the reasonable price of the bond futures.In this paper,the traditional forward arbitrage net yield is defined as the implicit basis,then the implicit basis is the difference between the implicit return rate of the bond futures and the cost of securities trading.Macroeconomic variables cannot be neglected among the factors affecting the volatility of implied basis.Therefore,this paper will study the impact of macroeconomic variables on the volatility of implied basis.This paper chooses IRR of implied repurchase rate of 5-year treasury bond futures from September 2013 to December 2017 and weighted average 7-day interest rate B1 W of interbank bond repurchase as the research objects.Implicit basis difference is daily data,while the economic variables affecting the implied basis difference are mostly low-frequency monthly data.This paper uses GARCHMIDAS mixed-frequency fluctuation model to model the implied basis difference,and chooses the level and volatility of money supply M1,CPI,USDCNH,ShanghaiShenzhen 300 index and SHIBOR overnight interest rate as the influence factors.Based on the analysis of the influence of economic variables on the long-term volatility of implied basis difference,the residual of GARCH-MIDAS model based on money supply is extracted and the DCC-GARCH model is established to study the influence of money supply on the correlation between IRR and B1 W.The conclusions of this paper are as follows:(1)The increase of M1 level of money supply will reduce the volatility of implied base difference,and the increase of M1 volatility will increase the long-term volatility of implied base difference.(2)The increase of CPI level and volatility will increase the volatility of implied base difference.(3)The strength of US dollar against offshore RMB USDCNH increases the long-term volatility of implied base difference,and the volatility of USDCNH does not increase the volatility of implied base difference.(4)The increase of SHIBOR level and volatility of interbank interest rate increases the long-term volatility of implied basis difference.(5)The level and volatility of the return rate of the Shanghai and Shenzhen 300 index in the stock market will not increase the long-term volatility of the implied base difference.(6)The increase of money supply will not have a significant impact on the volatility of the correlation coefficient between IRR and B1 W,but also improve the positive correlation between IRR and B1 W.There are two innovations in this paper.Through reviewing the literature on the influencing factors of treasury bond futures,we find that: Firstly,when the frequency of dependent variable and independent variable is different,the method of reducing the frequency of high frequency data is often used,and then the multiple regression model is established for analysis.In this paper,the model of mixing volatility is adopted,which can directly model mixing data,retaining the volatility characteristics of high-frequency data and more information content.Secondly,there are relatively few literatures on the research of forward spot arbitrage yield of treasury bond futures.This paper analyses the influence of macroeconomic variables on the volatility of forward spot arbitrage yield,which is defined in this paper,and enriches the research content of forward arbitrage of treasury bond futures. |
