Abstract: The construction of treasury bond futures market is of great significance to improve treasury yields curve. The paper reduced the dimension of treasury yields curve with the method of principal component analysis, and studied the characteristics of level, slope and curvature factor of treasury yields curve in different stages after the listing of treasury bond futures and the dynamic relationship between treasury bond futures and treasury bond market using the Granger causality test of rolling window. The study found that the volatility of level factor decreased significantly, and the slope factor and the curvature factor are also greatly reduced after the listing of treasury bond futures, indicating that the maturity of Chinese treasury bond market and the yields curve have been improved; further studies found that treasury bond futures has some function of price discovery, but is not enough; treasury spot market does not have the function of price discovery, the term structure of futures and spot market have mutual influence, and the influence of the spot is more remarkable.

Key words: treasury bond futures, treasury yields curve, principal component analysis, rolling granger causality test