利率期货在我国推出的必要性和可行性分析

【作者】 林高翔；

【导师】 丁丽；

【作者基本信息】 西南财经大学 ， 金融学， 2004， 硕士

【摘要】 本文的主题是讨论在90年代的国债期货交易试点失败以后，我国的债券市场经过八年多的发展，到今天推出以国债为载体的利率期货的必要性和可行性。我国国债市场近几年来迅速发展，尤其是上个世纪90年代后期开始，国债市场容量、品种均有跳跃式的上升，这一方面活跃了市场交易，使得国债市场的重要性日益突出，另一方面也给市场的债券持有者带来了极大的利率风险，从而使债券市场的避险需求增加，市场中要求推出利率期货以给投资者一个对冲风险的机制的呼声越来越高。笔者分别通过对我国近年来债市的发展、基础设施的建设、政策方面的推进进行研究，得出我国现阶段推出以国债为载体的利率期货有其必要性和可行性的结论。首先，笔者通过几方面的分析证明现阶段在我国推出利率期货已经迫在眉睫。我国利率在1996年5月1日以来连续8次下调，现阶段已处于历史低位；从我国的资金紧缺程度来看，利率一旦放开，将有上行的趋势；加上十六大的报告提出了我国未来20年内要实现GDP翻两番的目标，这样的高增长率对利率水平毫无疑问也将具有推动上升的作用；同时，随着我国经济的全球化程度日益加深，我国经济周期变动的影响因素增加，周期性波动也会使得利率变动不居：即，从理论上分析，我国在中长期内利率将会有极强的上升压力，同时伴随着利率波动幅度的频繁化和剧烈化。这一点同样被发达国家利率市场化进程中的历史经验所证实：美国利率市场化进程中利率变动趋势正是利率水平的提高和波动幅度的加剧。正是由于这些利率变动趋势的潜在威胁，我国的国债市场的避险需求逐渐加大，首当其冲的品种就是长期国债。这一部分国债在我国国债市场中的份额很大，我国国债利率期限结构不合理，长期国债利率长期以来偏低，一旦利率<WP=4>反转上行，这部分国债的持有者面临着很大的利率风险。同时，我国长期国债主要的持有者是商业银行和大机构，比如保险公司，利率水平的上升将极大损害我国金融机构的利益，对我国金融市场的健康发展构成威胁；在这种情况下，推出利率期货以给这些投资者提供一个对冲持有其长期国债的避险工具，对于鼓励持有长期国债、活跃国债市场交易、促进国债市场乃至整个金融市场的纵深发展、从而又利于国债一级市场的渠道顺畅，都具有十分重大的意义。因而，出于种种方面的要求，推出利率期货已经日渐紧迫。然后，笔者分析历史经验教训，列出了推出国债期货可能存在的一些障碍和风险，包括：1.国债现货市场的容量是决定期货市场推出的基础，在一个市场容量不足的现货市场的基础上推出期货市场是一种冒险行为，或者说是一种赌博，因为，如果没有现货市场的支撑，期货市场很容易为大机构所操纵，导致“多逼空”风险的产生。而在我国现阶段，债市虽然极大的发展，但是现货市场容量相对于发达国家市场而言依然稍小，这样的一个小市场可能不足以支撑利率期货的推出；2.国债市场的期限结构不合理。我国现阶段短期国债品种缺位，阻碍基准利率曲线的形成，而基准利率曲线是金融衍生品的重要定价基础，也是一个经济体利率体系中最重要的一环，国债期限结构的不合理，使国债期货市场的价格发现功能被削弱，较为贫乏的品种又限制了国债期货品种的设计；3.我国利率未完全市场化，利率波动较为平稳，使企业机构的避险要求下降，期货市场的套期保值功能大打折扣；4.现货市场流动性不足。国债市场的分割性，即同时存在银行间市场、交易所市场和柜台市场，造成了本来容量就小的市场流动性更差，而占国债市场比例最大的银行间市场的流动性又不如交易所、柜台市场好，这都给我国利率期货的推出造成障碍。同时，笔者通过回顾95国债风波，得出结论认为，利率期货的推出存在很大的风险，需要认真加以控制。那么，我们现在是否能克服这些障碍，控制潜在的风险，顺利开展利率期货呢？笔者着重分析了我国现阶段是否能突破上文所提出的障碍并有<WP=5>效控制风险，推出国债期货。笔者的分析从我国国债市场的迅速发展开始。如前所述，只有一个发达的现货市场才能支撑期市的开展并有效防范风险。我国20世纪90年代的国债期货试点失败的一个重要原因也是现货市场的不发达。但是，分析我国国债市场这8年多的发展数据，无论发行量、发行品种、国债余额、市场流动性、期限结构来看，都已有了长足的进步。现在的国债发行量比1995年约提升了300％，余额则是1995年底的6倍左右，年均增长84％，已经初步克服了由于市场容量不足、流动性欠缺可能造成的“多逼空”的风险；这种强劲的增长势头虽然可能不会继续保持下去，但积极的财政政策在近期内不可能淡出，这也使国债的发债规模继续保持这两年的高水平，这对于我国国债期货市场的推出无疑具有保障作用。国债市场的期限结构日趋合理，短期品种正在逐渐增加，可以预见，基准利率体系将可以逐步走向完善，从而指导市场利率的形成。国债市场的流动性也在加强，由于这2002年以来凭证式国债的发行大部分都是跨市场发行，在这两个市场上的套利行为使得同种国债的收益率趋向统一，更好的反映市场供需状况，同时也为两个市场的统一打下良好的基础。市场的统一无疑将大大更多还原

【Abstract】 The main idea of this thesis is the necessity and the feasibility of carrying out the interest rate future market. As a matter of fact, interest rate future is not novel in China. There had been a pilot project of T-bond future exchange between the year 1992-1995, which failed because of the immaturity of the Treasury Security market and the lack of risk control measure. But ever since then, the Treasury Security market has grown rapidly. This makes the T-bond market become more and more important in one respect, and exposes the holders of the security in the interest rate risk in the other. That’s the reason for the voice to carrying out an interest rate market becomes clearer and clearer than ever in the market: they need a way to hedge their risks, and obviously, interest rate future market provides this kind of facility.Analysis shows that interest rate in China will go up in the near future, which is not a good message for the holder of fixed-income security, such as T-bond. From May 1st, 1996, the People’s Bank of China, the central bank of China, reduces interest rate by six times. Now the level of IR is almost at its lowest level in history. But interest rate is still regulated by the government and cannot float freely in China, which distorts the supply-demand relationship in the money market. The result is that the situation of short of supply in fund market is hided. Once the interest rate is no longer controlled by the government, it will go up to uncover this truth. As a plan of the Chinese government, GDP will quadruple in the next 20 years, which means a 7.1% growth per year. Such a high growth rate will no doubt exert an up pressure to the interest rate. On the other side, the economic cycle will be more sophisticated than ever with the <WP=8>China’s entry into WTO. Then the interest rate, once deregulated, will float irregularly and difficult to predict. In a word, in near future, the interest rate will tend to go up while the range and frequency of interest rate fluctuation becomes larger. The holders of treasury security, especially long-term debts, need a way to hedge the risks of the dropping of security price. All these signs show that an interest rate future market is necessary for China’s financial market.But obstacles and risks remain. First, the capacity of the national debt spot market is the foundation that determines whether the future market can put out or not. It is one kind of risky behavior to introduce the future market on the basis of insufficient capacity of a spot market, or, one kind of gambles. The last 8 years have witnessed the great development in national debts market, however, at the present stage of our country, the spot market is still slightly small in capacity compared with the market of developed country, and such a small market may not be enough to support the introduction of the interest rate future market. Secondly, the term structure of treasury security market is unreasonable. Most of the bonds are 7-10 years to maturity, lacking in short-term variety, such as 3-month, 6-month, 9-month, and 1-year bond. This hinders the forming of Bench Mark Curve in interest rate, which proves to be the most important curve in the IR system, and the foundation of pricing financial derivatives. This unreasonable term structure weakens the price-revealing function of a future market. Thirdly, an incomplete marketization of interest rate makes the fluctuation of IR comparably steady, which reduces the demand for risk-hedging means. Last, spot market mobility is insufficient. More ever, the market is divided into three parts: the market among banks, exchange market, and OTC. Needless to say, this reduces mobility further more. Being one kind of derivative, interest rate future is more risky than the bond market, as was proved in 1995. Then, is it possible to put out an interest rate future market now? The answer is, based on some analyses, <WP=9>yes. This can be seen in the following aspects. Based on the data in the last 8 years, we can found that na更多还原