该文研究了中国于2013年9月重启国债期货交易对利率市场波动性的影响。基于双重差分模型和双向集群标准误差调整，实证检验了国债期货对于利率波动性的影响，并应用倾向得分匹配方法进行了稳健性检验。结果发现：国债期货正式交易的推出显著降低了利率市场的波动性；国债期货仿真交易的推出也降低了波动性，但是降低幅度小于国债期货的正式推出。据此，加快国债期货市场建设，推出更加多元化的国债期货合约，能提高利率市场的稳定性。
Abstract
China reopened the treasury futures market in September, 2013. This study used a difference in difference model and a two-way clustering method to study the influence of treasury futures on interest rate volatility with a propensity score matching method for robust checks. The reopening of the treasury futures market significantly reduced the interest rate volatility. Emulational treasury futures trading also reduced the interest rate volatility, but the effect was weaker than with real trading of treasury futures. The results suggest that more treasury futures contracts can promote the interest rate market stability.
关键词
金融市场 /
国债期货 /
利率波动性 /
双重差分模型 /
集群标准误差
Key words
financial market /
treasury futures /
interest rate volatility /
difference in difference model /
clustered standard error
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参考文献
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