中国利率市场的价格发现——对国债现货、期货以及利率互换市场的研究

本文采用信息份额模型和基于向量自回归(VAR)模型的格兰杰因果检验,研究了国债现货、国债期货和利率互换三个市场之间的价格发现机制。信息份额模型表明,从整体来看利率互换相对于国债期货和国债现货都具有信息优势,而国债期货相对于国债现货具有信息优势。另外,国债期货的价格发现能力相对于另外两个市场都在随时间增强。格兰杰因果检验结果显示,利率互换在价格发现中单向引领国债期货以及国债现货,国债期货单向引领国债现货。所有结果一致表明, 利率互换和国债期货这两种利率衍生产品在引导中国利率市场价格发现中发挥了重要作用。

Price Discovery in China's Interest Rate Markets:Evidence from the Treasury Spot,Futures,and Interest Rate Swaps Markets

An important aim of China's financial system reform is to develop direct finance and construct multiple-layer financial markets. The interest rate markets, including the Treasury bond spot market and interest rate derivative markets, play the role of determining the risk free interest rate in the economy. Because the risk free rate is essential for the valuation of all financial assets, the interest rate market provides the foundation for a sophisticated financial system. However, a malfunctioning interest rate market would create disorder in all of the other major financial markets. Given the central role of the interest rate markets, this paper examines the efficiency of these markets in terms of the timely incorporation of new information into the price. This paper focuses on three markets: the Treasury spot market, the Treasury futures market, and the interest rate swaps market. The prices in these three markets reflect the expectations on the future short-term risk-free rate formed in each individual market. If all of these markets are efficient, the prices should move together and simultaneously reflect new information. However, if there is friction in any of these markets, we would expect to detect heterogeneous price movements across the markets.We use the information share model and three-dimensional vector auto-regressive conditional heteroscedasticity model (VAR-MGARCH) to examine the information flow among different markets. This paper uses the 10-year futures contract prices, 5-year interest rate swap prices, and 10-year treasury bond spot prices as our research sample. These are the most liquid financial assets in their respective markets and therefore can best represent the information efficiency of these markets. Our data sample is of trading-day frerguehcy from March 20, 2015 to December 28, 2018. The sample contains 925 trading days in total.Using the information share model, we find that the interest rate swaps market and the futures market both lead the spot market in terms of price discovery. However, the interest rate swaps moderately outperform the futures market in the full sample. By dividing our sample into two subsamples according to time, we find that the information advantage of the derivatives markets over the spot market strengthens in the more recent period. Moreover, of the two derivatives markets, the futures market appears to grow faster than the swaps market. Although the swaps market dominates the futures market in terms of price discovery in the earlier period, the futures market becomes more advantageous in the more recent period.To corroborate our results, we further exploit the VAR model and the Granger causality test. The results show that the interest rate swap price directs both the futures price and the spot price of Treasury bonds in one direction, and the futures price also directs the spot price in one direction. These findings demonstrate that information flows from the derivatives markets to the spot market. Finally, we also use the VAR-MGARCH model to explore the transmission mechanism of the conditional variances among the markets. We find strong volatility interactions among the spot, futures, and interest rate swaps markets.The information advantage of the derivatives markets can be attributed not only to the higher leverage and easier short selling, but also to the investor structure. The major investors in China's Treasury bond spot market are big domestic commercial banks and insurance companies. These large institutional investors usually invest in Treasury bonds to meet their regulatory requirements or optimize their balance sheet structure, rather than to generate high trading profits. In contrast, the major players in the futures and interest rate swaps markets are mainly brokerage firms, investment banks, hedge funds, and sophisticated individual investors who actively explore the trading opportunities.Because the large institutional investors in the Treasury spot market do not trade actively, their information on the interest rate may not be incorporated into the spot market's prices immediately, which would weaken the price discovery process in this market. In the derivatives markets, the investors' hare much incentives to generate profits through active tradings, which strengthens the price discovery process in these markets.