自2020年发生新冠肺炎疫情以来，经济下行趋势明显，叠加输入性通胀的压力，地方债和利率债供给压力，债券市场价格波动也比较大。在国际市场上中美贸易摩擦、俄罗斯乌克兰地缘冲突等更是带来了一系列不确定性因素，全球经济不确定性均显著增加。国债期货作为标准化场内衍生品，在应对不确定性变化和利率风险管理上作用显著，因此形成对国债期货的系统性认识，探究国债期货市场与货币市场、债券现货市场的联动效应，分析其价格波动背后可能影响的原因，对于更好得分析判断我国国债期现货未来的价格走向和发展趋势具有重要意义。本文主要通过运用ADF单位根检验和Granger因果检验，探究了国债期货市场与货币市场、债券现货市场之间是否存在领先滞后关系，是否具备价格发现的功能，然后在构建了VAR模型的基础上对国债期货市场与货币市场和债券现货市场之间进行了脉冲响应测试和方差分解，探究了面对外部信息冲击时期现货市场和货币市场的动态变化及相互作用程度，此外，本文还引入了新的变量，使用上述实证方法对国债期限利差、中美利差和美国联邦基金利率与国债期货价格波动可能存在的相关性作用进行了检验。本文以持仓量和成交量最高且投资者结构更加完善的十年期国债期货合约作为了研究对象，样本区间的选取范围为自2015年3月20日十年期国债期货上市日至2022年6月30日。通过实证分析，本文主要得到以下结论：从价格引导方向上来看，十年期国债期货与货币市场和现券市场在价格发现的过程中存在高度相关性，并且对两个市场关键价格存在明显的引领作用，已具备了一定程度上的价格发现能力；从价格发现的速度和贡献度上来看，十年期国债期货市场在受到信息冲击时，会在第一时间给予回应并将信息快速反应在自身的价格中，并且该影响也会同时波及至其他市场产生扰动，同时对现券市场的方差产生一定程度的贡献，国债期货市场对信息的响应速度和自我价格的调节机制都是相对更完善的。此外，十年期国债期货价格波动还分别与国债期限利差、中美利差存在互相影响、相互作用的相关关系，美国联邦基金利率也会对我国国债期货市场价格产生短暂的扰动效应。

Since the outbreak of COVID-19 in 2020, there has been an obvious downward trend in the economy, combined with the pressure of imported inflation, and the supply pressure of local government bonds and interest rate bonds, the price fluctuation of the bond market is relatively large. In the international market, the trade frictions between China and the United States and the geopolitical conflicts between Russia and Ukraine have brought about a series of uncertainties, which have significantly increased the uncertainties in the global economy. Treasury bond futures, as standardized exchange derivatives, play a significant role in coping with uncertainty changes and interest rate risk management. Therefore, forming a systematic understanding of treasury bond futures, exploring the linkage effect of treasury bond futures market, money market and bond spot market, and analyzing the possible reasons behind its price fluctuations, are of great significance to better analyze and judge the future price trend and development trend of our national treasury bond futures.This paper mainly uses ADF unit root test and Granger causality test to explore whether there is a leading-lag relationship between treasury bond futures market, money market and bond spot market, and whether it has the function of price discovery. Then, on the basis of constructing VAR model, impulse response test and variance decomposition are carried out between treasury futures market, money market and bond spot market to explore the dynamic changes and interaction of future market, spot market and money market in the face of external information shock. In addition, new variables are introduced in this paper. The empirical method above is used to test the possible correlation between treasury term spread, Sino-US interest rate spread, US federal funds rate with treasury futures price volatility.This paper takes the 10-year treasury bond futures contract with the highest position and turnover and more perfect investor structure as the research object. The sample interval is selected from the listing date of 10-year treasury bond futures on March 20, 2015 to June 30, 2022.Through the empirical analysis, this paper get the following conclusions: from the point of price guide direction, the 10-year treasury futures and money market and bond spot market present highly correlation during the process of price discovery, and exist obvious leading role to the two key market price, it has a certain degree of price discovery ability. From the speed of price discovery and contribution, when hit from the information, 10-year treasury bonds futures market, will response and rapid reflect the information in its own price in the first time, and the influence will also spread to other markets and produce disturbance, and it have a certain degree of contribution to the variance of the bond spot market , so the response speed of treasury bond futures market to information and the adjustment mechanism of self-price are relatively more perfect. In addition, the fluctuation of 10-year treasury bond futures price is also influenced and interacted with the treasury bond term spreads and Sino-US spreads. The US federal funds rate will also have a transient disturbance effect on the Treasury bond futures market price.