This paper investigates the price discovery function and volatility spillover structure of China's interest rate derivatives market using treasury bond futures and interest rate swaps. Employing information share and spillover index models, the study finds that interest rate derivatives markets exhibit stronger price discovery than the spot market. However, this ability dynamically changes over time, influenced by structural breaks. Furthermore, both treasury bond futures and interest rate swaps demonstrate spillover effects on the spot market, highlighting the interconnectedness and influence of the derivatives market on the broader treasury bond market.

Congxiao Chen, Wenya Chen, Li Shang, Haiqiao Wang, Decai Tang, David D. Lansana