Empirical test of the influence of treasury futures trading on interest rate volatility

doi:10.16511/j.cnki.qhdxxb.2017.22.035

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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.

Keywords financial market treasury futures interest rate volatility difference in difference model clustered standard error

ZTFLH:

F830.9

Issue Date: 15 May 2017

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	HE Ping
	LIU Zehao
	FAN Zhongjie

Cite this article:

HE Ping,LIU Zehao,FAN Zhongjie. Empirical test of the influence of treasury futures trading on interest rate volatility[J]. Journal of Tsinghua University(Science and Technology), 2017, 57(5): 544-549.

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http://jst.tsinghuajournals.com/EN/10.16511/j.cnki.qhdxxb.2017.22.035 OR http://jst.tsinghuajournals.com/EN/Y2017/V57/I5/544

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