国债期货在商业银行久期缺口管理中的应用被引量：2

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摘要本文以我国国债期货为研究对象,基于协整检验和格兰杰因果检验的方法,分析国债期货与现货之间的关系,在此基础上进一步研究商业银行如何运用国债期货进行久期缺口管理。研究发现,我国国债期货价格与最便宜可交割债券价格走势高度相关,两者之间存在长期稳定的关系,而且国债期货价格是现货市场价格的引领者。由此商业银行可以利用国债期货这一国际广泛运用的基础工具,有效进行久期缺口管理。

作者王玮姚远

机构地区中国金融期货交易所

出处《上海金融》 CSSCI 北大核心 2015年第4期91-95,共5页 Shanghai Finance

关键词国债期货久期缺口商业银行利率市场化

分类号 F832.33 [经济管理—金融学]

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