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

被引：0
|
作者：
He P. [1 ]
Liu Z. [1 ]
Fan Z. [1 ]
机构：
[1] School of Economics and Management, Tsinghua University, Beijing
来源：
Qinghua Daxue Xuebao/Journal of Tsinghua University | 2017年 / 57卷 / 05期
关键词：
Clustered standard error; Difference in difference model; Financial market; Interest rate volatility; Treasury futures;
D O I：
10.16511/j.cnki.qhdxxb.2017.22.035
中图分类号：
学科分类号：
摘要：
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. © 2017, Tsinghua University Press. All right reserved.
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页码：544 / 549
页数：5
相关论文
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