An Empirical Study On The Fluctuation Of China’s Government Bond Futures Price

In recent years,the downward trend of China’s economy has been obvious,the Sino-US trade friction has been escalated in an all-round way,the severe international situation has driven the continuous depreciation of the RMB,and the linkage of interest rates and exchange rates has profoundly impacted China’s financial markets.At the same time,the downward pressure on the domestic economy is large,and market expectations are obviously insufficient.Cross-border transmission of macroeconomic risks in different financial industries and markets poses a major threat to China’s financial security and stable development.Preventing and resolving systemic risks is still a major task and policy.As an important part of the financial market,the futures market plays an irreplaceable role in preventing systemic risks in China’s financial market and ensuring financial stability.Looking at the treasury bond futures market in China,it has gradually formed a certain size since its listing and trading,but observing the historical data of treasury bond futures in our country found that its prices fluctuated frequently and there were several large fluctuations.Therefore,based on theoretical analysis,this paper studies the correlation between the price fluctuations of China’s government bond futures and the size of the government bond spot market,stock market,interest rate market,and government bond futures market and the uncertainty of China’s economic policy.Empirical analysis of the relationship between five-year Treasury bond futures,Treasury bond spot,Shanghai and Shenzhen 300 stock index futures,Shanghai Interbank Offered Rate,Treasury bond futures trading volume and position holdings,and China’s economic policy uncertainty index.A significant two-way Granger causality was found between Treasury futures and Treasury spot,Treasury futures and Shanghai Interbank Offered Rates,Treasury futures and trading volume,and economic policy uncertainty unilaterally guided Treasury futures prices and Treasury futures prices One-way leading position changes and the Shanghai and Shenzhen 300 stock index futures prices.At the same time,the results of impulse response and variance decomposition show that the government bond futures price is more deeply affected by itself and the government bond spot market.The uncertainty of economic policies has a long-lasting negative impact on the government bond futures price.The stock market and interest rate market have a negative impact on the government bond futures market.The impact is small but the reaction speed is fast.Afterwards,this article uses a test method of multiple unknown mutation points to find the structural change points between the time series data of Treasury bond futures and each variable.Finally,a significant structural mutation point is found on September 5,2015,and three other may exist.The structural change points are June 4,2016,February 3,2018,and February 16,2019.Based on the above analysis,this paper presents a vector error correction model at the end of the empirical analysis to reflect the process of the government bond futures price and each variable adjusting to the long-term equilibrium when the short-term deviation from the equilibrium relationship.