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A Comparative Study of Hedging Functions of Chinese and U.S. Bond Futures

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DOI: 10.23977/ferm.2024.070115 | Downloads: 10 | Views: 203

Author(s)

Cui Wei 1, Qing Lei 1

Affiliation(s)

1 Faculty of Economics, Beijing Wuzi University, 321 Fuhe Street, Beijing, China

Corresponding Author

Cui Wei

ABSTRACT

With the gradual deepening of China's interest rate marketization reform, the management of interest rate risk is becoming more and more important. Treasury bond futures are the main standardized interest rate risk management tools in the world. This paper conducts a systematic research and comparison of the hedging function of the treasury bond futures markets in China and the United States. The VAR model and DCC-GARCH model are used to study the hedging function of the treasury bond futures market in China and the United States. It is found that the hedging efficiency of the U.S. treasury bond futures market is better than that of China's treasury bond futures market, and China's treasury bond futures market still needs further reform and development, and this paper puts forward some corresponding suggestions.

KEYWORDS

Chinese and U.S. bond futures; Hedging; Interest rate risk management

CITE THIS PAPER

Cui Wei, Qing Lei, A Comparative Study of Hedging Functions of Chinese and U.S. Bond Futures. Financial Engineering and Risk Management (2024) Vol. 7: 99-106. DOI: http://dx.doi.org/10.23977/ferm.2024.070115.

REFERENCES

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