摘要
本文基于我国国债期货真实数据,依据SPAN保证金分析系统的方法,采用GARCH-VaR建模,给出了合理设置我国国债期货保证金水平的规范性分析。实证结果表明,我国国债期货合约所需保证金应在0.6%左右,低于现行最低交易保证金2%的要求,长期而言应降低保证金水平,提高投资者资金利用效率。
Since its restart on September 6th 2013,China＇s government bond futures market has become an ever more attractive research field.Great importance has been attached to the futures margin level because it affects both investors and regulators.We apply an internationally accepted method—Standard Portfolio Analysis of Risk（ SPAN system） and formulate a GARCH-VaR model to conduct a normative analysis of the reasonable futures margin level.By using the actual data,we find that the reasonable level of China＇s government bond futures market ought to be about 0.6%,which is much lower than the current 2% level.In the long run we should lower the futures margin level.
出处
《管理评论》
CSSCI
北大核心
2016年第6期3-10,共8页
Management Review
基金
国家社会科学基金项目(12BJY153)
国家自然科学基金项目(71373043
71331006)
北京市社会科学基金重大项目(15ZDA46)
教育部人文社科规划基金项目(14YJA790075)
对外经济贸易大学中央高校基本科研业务费专项资金(15JQ04)
对外经济贸易大学学科建设专项经费(XK2014102)
北京市2014高等学校教育教学改革项目(2014-ms081)
