中国原油期货市场期货套期保值风险防范对策研究
发布时间：2018-09-17 09:15
【摘要】：2006年,发改委针对成品油市场做出重大改革,尤其是在价格机制方面进一步加大改革力度,实现与国际原油市场的价格联动,市场结构逐步与国际接轨。但是由于价格改革形式过于机械,未能充分考虑国内外市场结构、消费需求、季节性变化等因素,因此对于国内油市需求变化反应不够敏感,难以体现出价格联动对原油市场的调控功能。而期货则具有资源集中优化,公开运作具有统一的操作规程,因此与市场竞争环境更为接近,有利于直接体现市场供需变化对油价的影响。因此,引入原油期货运行模式能够更及时敏捷的了解国内外原油供需变化,为成品油价格的制定提供更科学的决策依据。从期货市场形成到发展至今,已经成为推动经济发展的重要金融模式。期货能够为投资者有效规避风险,并且在价格预测上具有一定的指导性,因此不少经济实体已经着手参与期货交易,并以此制定出更为完善的管理措施,为组织发展探索出一条新路。随着期货市场不断发展的基础上,其定价指导优势越发明显,定价话语权得到了充分体现。原油期货套期保值将成为今后备受欢迎的模式之一,许多企业的利益将通过期货市场的套期保值来实现的,原油期货市场期货的成功实现同样也为市场带来了不同风险。基于此,本第1章为绪论,主要阐述选题背景、目的与意义,进行相关文献研究综述;第2章相关理论基础,主要包括期货套期保值理论、市场交易理论、风险管理理论,从三方面提出原油期货跨市场套期保值可行性,分别包括现货和中国未来原油期货的套期保值、国内现货和WTI以及布伦特原油的套期保值、国内期货与WTI以及布伦特原油的套期保值;第3章提出中国原油期货市场的发展历程,从其形成、发展对国内原油期货发展做出回顾,以此提出构建原油领域新型期货市场的可行性,以及推出原油期货势在必行,最后借鉴阿曼原油期货,提出其拟合中国原油期货市场的实证分;第4章进行中国原油期货市场期货套期保值风险的具体分析,主要为从管理风险、套期保值比率风险、期货价格极端风险、基差风险、流动性风险、交割风险、投机风险方面,分析中国原油期货市场期货套期保值风险。而后进行相关模型的提出与构建,展开相关模型的分析;第5章中国原油期货市场期货套期保值风险防范对策,主要包括宏观方面和微观方面,包括优化原油期货市场环境、加强政府的管理力度、鼓励期货行业协会自律管理、持续展开交易所风险监管、保证金风险的控制、流动性风险的控制、交割风险的控制、市场风险的控制及相关保障措施。
[Abstract]:In 2006, the NDRC made major reforms in the refined oil market, especially in the price mechanism, and realized the price linkage with the international crude oil market, and the market structure was gradually in line with the international market. However, because the form of price reform is too mechanical and fails to fully consider factors such as domestic and foreign market structure, consumption demand, seasonal changes, etc., it is not sensitive enough to the changes in domestic oil market demand. Difficult to reflect the price linkage to the crude oil market regulation and control function. While futures have centralized optimization of resources and uniform operating rules for open operation, so they are closer to the market competition environment, which is beneficial to reflect the influence of market supply and demand change on oil price directly. Therefore, the introduction of crude oil futures operation model can be more timely and agile to understand the changes of crude oil supply and demand at home and abroad, and provide a more scientific decision basis for the formulation of refined oil prices. From the formation to the development of futures market, it has become an important financial model to promote economic development. Futures can effectively avoid risks for investors, and have certain guidance in price forecasting. Therefore, many economic entities have started to participate in futures trading, and have worked out more perfect management measures. Explore a new way for organization development. With the development of futures market, its pricing guidance advantage becomes more and more obvious. The futures hedging of crude oil will become one of the most popular models in the future. The interests of many enterprises will be realized through the hedging of futures market. The successful realization of futures in crude oil futures market will also bring different risks to the market. Based on this, the first chapter is the introduction, which mainly describes the background, purpose and significance of the topic, and carries on the related literature review; chapter 2 related theoretical basis, including futures hedging theory, market trading theory, risk management theory, The feasibility of cross-market hedging of crude oil futures is put forward from three aspects, including the hedging of spot crude oil futures and future crude oil futures in China, the hedging of domestic spot oil, WTI and Brent crude oil. Chapter 3 puts forward the development course of China's crude oil futures market and reviews the development of domestic crude oil futures from its formation and development. The feasibility of constructing a new futures market in the field of crude oil is put forward, and the introduction of crude oil futures is imperative. Finally, the empirical points of fitting the Chinese crude oil futures market with Oman crude oil futures are put forward. Chapter 4 analyzes the futures hedging risk in China's crude oil futures market, mainly from the aspects of management risk, hedge ratio risk, futures price extreme risk, base risk, liquidity risk, delivery risk and speculative risk. Analysis of futures hedging risk in China crude oil futures market. Then put forward and construct the relevant models, and carry out the analysis of the relevant models. Chapter 5, China crude oil futures market futures hedging risk prevention countermeasures, mainly including macro and micro aspects, including optimizing the crude oil futures market environment, Strengthen government management, encourage futures industry association to self-discipline management, continue to carry out exchange risk supervision, margin risk control, liquidity risk control, delivery risk control, market risk control and related safeguards.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F764.1
，
本文编号：2245402
[Abstract]:In 2006, the NDRC made major reforms in the refined oil market, especially in the price mechanism, and realized the price linkage with the international crude oil market, and the market structure was gradually in line with the international market. However, because the form of price reform is too mechanical and fails to fully consider factors such as domestic and foreign market structure, consumption demand, seasonal changes, etc., it is not sensitive enough to the changes in domestic oil market demand. Difficult to reflect the price linkage to the crude oil market regulation and control function. While futures have centralized optimization of resources and uniform operating rules for open operation, so they are closer to the market competition environment, which is beneficial to reflect the influence of market supply and demand change on oil price directly. Therefore, the introduction of crude oil futures operation model can be more timely and agile to understand the changes of crude oil supply and demand at home and abroad, and provide a more scientific decision basis for the formulation of refined oil prices. From the formation to the development of futures market, it has become an important financial model to promote economic development. Futures can effectively avoid risks for investors, and have certain guidance in price forecasting. Therefore, many economic entities have started to participate in futures trading, and have worked out more perfect management measures. Explore a new way for organization development. With the development of futures market, its pricing guidance advantage becomes more and more obvious. The futures hedging of crude oil will become one of the most popular models in the future. The interests of many enterprises will be realized through the hedging of futures market. The successful realization of futures in crude oil futures market will also bring different risks to the market. Based on this, the first chapter is the introduction, which mainly describes the background, purpose and significance of the topic, and carries on the related literature review; chapter 2 related theoretical basis, including futures hedging theory, market trading theory, risk management theory, The feasibility of cross-market hedging of crude oil futures is put forward from three aspects, including the hedging of spot crude oil futures and future crude oil futures in China, the hedging of domestic spot oil, WTI and Brent crude oil. Chapter 3 puts forward the development course of China's crude oil futures market and reviews the development of domestic crude oil futures from its formation and development. The feasibility of constructing a new futures market in the field of crude oil is put forward, and the introduction of crude oil futures is imperative. Finally, the empirical points of fitting the Chinese crude oil futures market with Oman crude oil futures are put forward. Chapter 4 analyzes the futures hedging risk in China's crude oil futures market, mainly from the aspects of management risk, hedge ratio risk, futures price extreme risk, base risk, liquidity risk, delivery risk and speculative risk. Analysis of futures hedging risk in China crude oil futures market. Then put forward and construct the relevant models, and carry out the analysis of the relevant models. Chapter 5, China crude oil futures market futures hedging risk prevention countermeasures, mainly including macro and micro aspects, including optimizing the crude oil futures market environment, Strengthen government management, encourage futures industry association to self-discipline management, continue to carry out exchange risk supervision, margin risk control, liquidity risk control, delivery risk control, market risk control and related safeguards.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F764.1
，
本文编号：2245402
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