摘要
国债期货作为以国债现券为标的资产的特殊衍生金融产品,对于宏观经济状况较为敏感,受国家经济政策影响较大。与其他类似的期货产品相比,在共同具有规避风险的作用的同时,也受到更加错杂的风险影响。运用VaR方法对国债期货面临的不同种类风险进行评估,通过GARCH模型分析国债期货收益率的波动特性,实证结果表明:国债期货的收益率有着波动聚集的特征,当前周期价格的不稳定现象会对下个周期造成影响。
T-bond futures,as a derivative financial product with the T-bonds as the underlying asset is more sensitive to macroeconomic conditions and therefore more affected by economic policies of a nation.Compared with other similar products which could also avoiding risks,T-bond futures are more vulnerable to complicated risks.This article sorts out the different types of risks faced by T-bond futures and explores the reasons behind them;evaluate and analyze the risks through the VaR method.Then,the volatility characteristics of T-bond futures are analyzed by GARCH model.The results show that the yield of T-bond futures has the characteristics of volatility aggregation.In addition,price instability in the current cycle will affect the next one.On this basis,some suggestions were put forward from the aspects of supervision,futures companies and investors to the risks faced by T-bond futures.Risk management is an important prerequisite for the development of the T-bond future market.In-depth research on the risks faced by T-bond futures(mainly market risks)has also provided an important guarantee for the development of China’s financial market and the stable economic performance.
作者
钟祥喜
周薇楠
龙慧敏
ZHONG Xiangxi;ZHOU Weinan;LONG Huiming(College of Economics and Business,Gannan Normal University,Ganzhou 341000,China;College of Foreign Languages,Pingxiang University,Pingxiang 337000,China)
出处
《赣南师范大学学报》
2021年第2期99-105,共7页
Journal of Gannan Normal University
基金
2018江西省教育厅科技项目(GJJ180763)
2018江西省文化艺术科学规划课题(YG2018164)
教育部中国共产党革命精神与文化资源研究中心课题(基于系统动力学的苏区文化资源开发应用瓶颈及传承创新模式研究)。
