基于债券久期的国债期货套期保值模型分析
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引用本文:周诗雅.基于债券久期的国债期货套期保值模型分析[J].经济数学,2016,(3):51-56
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作者单位
周诗雅 (广东工业大学 管理学院 广东 广州 510006) 
中文摘要:使用久期的方法在中国国债期货市场上进行套期保值是否有效?使用久期的方法研究国债期货套期保值的效率问题在国外已经很多,然而这种方法是否适合于目前中国的国债市场,相关研究还不多见,还有待进一步的证实.为此借鉴国外相关理论,采用比较研究的方法,以国债期货上市后2013年9月到2014年5月初,国债现货和国债期货的数据为样本,以基于久期的最优套期保值比率模型为主,其他模型为辅,比较出最优套期保值效率.研究结果表明,基于久期的套期保值方法在目前中国的国债市场效果一般.
中文关键词:套期保值效果  国债期货  套期保值  久期
 
Model Analysis:The Duration-based Hedging of Treasury Bond Futures
Abstract:This paper tries to research whether the duration-based hedging of treasury bond futures is effective in China. At present, many foreign countries use the duration-based method to research the efficiency of hedging of treasury bonds futures . However, little study is performed to confirm whether this method is suitable for the treasury bond futures market in China. Learning from the related foreign theory, this paper comparatively studied the treasury spot and treasury futures data from September 2013 to May 2014, after the treasury bonds futures came into the market. The priority was given to duration-based hedging ratio model, and other model was complementary to compare the optimal hedging efficiency. The results show that the efficiency of the duration-based hedging method of treasury bonds futures in our country is semi-effective.
keywords:hedging effect  treasury bonds futures  hedging  duration
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