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

[1] Leland L. Johnson. The Theory of Hedging and Speculation in Commodity Futures [J]. The Review of Economic Studies, 1960, 27(3):139-151.
[2] Asim Ghosh. Hedging with stock index futures: Estimation and forecasting with error correction model [J]. Journal of Futures Markets, 1993, 13(7): 743-752.
[3] Ederington Louis H. The Hedging Performance of the New Futures Markets [J]. The Journal of Finance, 1979, 34(1): 157-170.
[4] Robert Engle. Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models [J]. Journal of Business & Economic Statistics, 2002, 20(3):339-350.
[5] Jonathan Dark. Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH [J]. Journal of Banking and Finance, 2015, 61: S269-S285.
[6] Zheng Chengli, Su Kuangxi, Yao Yinhong. Hedging futures performance with denoising and noise-assisted strategies [J]. North American Journal of Economics and Finance, 2021, 58:101466.

Sponsors, Associates, and Links

---

• Information Systems and Economics
  
  
• Accounting, Auditing and Finance
  
  
• Industrial Engineering and Innovation Management
  
  
• Tourism Management and Technology Economy
  
  
• Journal of Computational and Financial Econometrics
  
  
• Accounting and Corporate Management
  
  
• Social Security and Administration Management
  
  
• Population, Resources & Environmental Economics
  
  
• Statistics & Quantitative Economics
  
  
• Agricultural & Forestry Economics and Management
  
  
• Social Medicine and Health Management
  
  
• Land Resource Management
  
  
• Information, Library and Archival Science
  
  
• Journal of Human Resource Development
  
  
• Manufacturing and Service Operations Management
  
  
• Operational Research and Cybernetics