It is based on market expectations. The impact of the rise and fall of Treasury bond futures will be limited because the trading volume of Treasury bond futures is relatively small and its threshold is high. It requires more than 500,000 funds to open an account. .

From the perspective of the non-arbitrage pricing model of futures, the price of Treasury bond futures is determined by the holding cost of Treasury bond spot. In other words, the futures price depends on the spot price and the cost of holding the spot to the delivery date. Otherwise, arbitrage behavior will occur in the market, and the large number of arbitrage behaviors will make arbitrage unprofitable, thus causing the futures price to return to the equilibrium price.

Factors affecting the price of government bond futures:

Yield factor: According to the traditional fixed asset pricing theory, in the government bond issuance market, the price of government bonds has an inverse relationship with the yield, and interest rates rise. , the price of government bonds decreases; conversely, interest rates decrease and prices of government bonds increase; under the same coupon rate, the longer the period of the government bond, the higher the sensitivity of its price to interest rate changes, but the sensitivity decreases with the increase in years. The rate increases; when the maturity is the same, the lower the coupon rate of a government bond, the higher its sensitivity to interest rate changes; the capital gains caused by a decrease in interest rates are greater than the capital losses caused by an increase in interest rates of the same magnitude. For investors in countries with liberalized interest rates, the market interest rate of the same term is the best reference system for the yield to maturity.

Business cycle: The business cycle always changes between expansion and contraction, and investment returns rise or fall accordingly. In the economic contraction stage, investment demand shrinks and interest rates fall. After entering a depression, interest rates remain at a low level. After transitioning to recovery, the growth of investment and consumption triggers a rebound in interest rates. In the upsurge stage, interest rates remain at a relatively high level. high level. Since the price of government bonds is inversely related to the level of yields, the price of government bonds usually rises during the economic contraction phase and falls after the economic situation improves. Prices for Treasury futures have been similarly affected.

Inflation rate: Treasury bond prices are mainly determined by market interest rates, and inflation is an important factor affecting market interest rates. The fixed income obtained by holding government bonds minus the inflation rate is the real interest rate obtained. When the degree of inflation in society is high, the currency depreciates, resulting in a relative decrease in the principal and interest income of treasury bond investors. In order to avoid losses caused by inflation, investors often invest their funds in commodities that can maintain their value, such as gold, Real estate reduces the holdings of government bonds, which causes the price of government bonds to fall. On the contrary, when the degree of inflation is small, the high yield of government bonds will attract many investors, causing the demand for government bonds to increase and the price to rise. Empirical research has found that exchange-traded government bonds are very sensitive to changes in CPI data, with pre-reactions and subsequent reverse corrections. As can be seen from the figure below, the changing trends of government bond yields and CPI are consistent, and their correlation coefficient has been as high as 0.81 from 2002 to the present.

Return rates on other investment instruments: The return rates on other financial assets have a substitution effect on treasury bonds. Due to the scarcity of funds, the rise and fall of the stock market will inevitably affect the trading activity in the expiry market, thereby affecting futures prices. When the stock market fluctuates violently, it will attract more funds and investors' attention, while futures and bond market transactions will appear dull. When stock and real estate yields rise, it is more beneficial to hold these assets than Treasury bonds. At this time, investors will sell Treasury bonds to transfer funds, and the price of Treasury bonds will fall. As shown in the chart below, changes in Treasury bond yields and stock index trends have been consistent since 2005, with stock index changes leading Treasury bonds by about one to three months.

Monetary policy: When there is insufficient money supply, interest rates rise; when there is excess money supply, interest rates fall. Money supply also indirectly affects Treasury bond spot and futures prices by affecting interest rates. Central banks control the money supply through open market operations, discount rate policies, and statutory reserve requirements. When the central bank purchases treasury bonds from the open market, lowers the discount rate, or lowers the statutory reserve requirement ratio, it means that liquidity is released, interest rates may fall, and treasury bond prices will rise. Otherwise, treasury bond prices will fall.

Fiscal policy: Government fiscal spending will also have an impact on government bond prices. When the government has a fiscal deficit, it will issue more treasury bonds, and the supply of treasury bonds will exceed demand and the price will fall; when the government has a fiscal surplus, the government may repurchase treasury bonds or redeem them in advance, and the demand for treasury bonds will increase and the price will rise. Since national debt is an important means of balancing fiscal balance and expenditure, the state of national fiscal balance and expenditure is the most direct factor affecting the supply and demand relationship of national debt. When the fiscal balance and expenditure are in good condition and there is a surplus, the country will buy treasury bonds in the treasury bond market, thereby increasing the demand for treasury bonds and causing prices to rise. On the contrary, when the fiscal balance and expenditure situation deteriorates and a deficit occurs, the country will increase the issuance of government bonds to make up for the deficit, which will increase the supply of government bonds and cause prices to fall. Treasury futures prices also moved accordingly.