Abstract: Under the background of the deepening of interest rate market reform in China, the development and stability of the spot and futures market of government bonds and interest rate swap market are very important to deepen the reform of interest rate marketization and maintain the stability of interest rate market, but who is the "anchor" of price stability in China's interest rate market? Based on the theory of information overflow, this paper determines the influence of the government bonds spots, government bonds futures and interest rate swap market in China's interest rate market from the perspective of fluctuation overflow. The study found that: first, the total risk spillovers among the three markets is strong, China's interest rate derivatives market has a certain influence on the spot market of government bonds; second, China's 10-year government bonds spot and futures market has been the net spillover of volatility information, but also China's interest rate market stability "anchor"; third, there are significant differences in the long-term and short-term volatility spillover effect among the spot and futures market of China's government bonds and the interest rate swap market, and the long-term volatility spillover effect dominates. According to this proposal, we should continue to improve the existing interest rate derivatives market and focus on the development of the bond futures market, open up the market segmentation of treasury bond futures and interest rate swaps, and reasonably guide the long-term expectations of market participants, so as to prevent the interest rate market from over-connectedness.