我国航空公司燃油套期保值问题研究

发布时间：2018-05-03 08:20

本文选题：套期保值 + 风险敞口　；参考：《合肥工业大学》2013年硕士论文

【摘要】：进入新世纪以来，国际能源和大宗商品的价格的大幅波动，导致生产成本变动频繁，对于我国企业的正常生产经营产生了不利影响，使得企业面临巨大的经营风险。面对这一原材料价格风险，许多企业选择利用金融衍生品进行套期保值来对冲成本上升的风险。但是，从我国众多企业套期保值实践的结果来看，企业以控制成本为目标的衍生品交易反而给企业造成了巨额的损失。本文认为企业使用金融衍生品的唯一动机是套期保值，而套期保值的目标是保持企业营业利润率的稳定（或者现金流量的稳定），套期保值的对象是企业所承受的风险敞口。套期保值的手段是利用衍生工具对冲被套期项目的公允价值（或现金流量）变化。明确套期保值的对象为风险敞口同时也凸显了风险敞口计量对于套期保值决策的重要性，因为企业只有在准确计量了企业的风险敞口后才有可能正确决策作为套期工具的衍生品交易规模，避免出现过度套期而增加企业面临的衍生品价格变动的风险。通过对我国航空公司燃油价格风险套期保值失败案例和实证检验发现，由于存在燃油附加费对成本的转嫁作用，，我国航空公司没有承受燃油价格上升的风险敞口。企业对燃油成本进行套期不但没用对冲燃油价格波动风险，反而增加了利润波动程度。没有实现套期保值的目标：保持企业营业利润率的稳定。本文研究表明，在套期保值工具选择、套期策略之外，企业面临的市场竞争环境、定价策略影响套期保值的有效性。
[Abstract]:Since the beginning of the new century, the large fluctuation of international energy and commodity prices has led to frequent changes in production costs, which has had a negative impact on the normal production and operation of Chinese enterprises and made them face huge operating risks. Faced with this raw material price risk, many companies use financial derivatives to hedge against the risk of rising costs. However, from the results of hedging practice of many enterprises in our country, the derivatives trading which aims at controlling the cost has caused huge losses to the enterprises. This paper holds that the only motive for enterprises to use financial derivatives is to hedge, and the goal of hedging is to maintain the stability of business profit margin (or cash flow), and the object of hedging is the exposure of enterprises. Hedging is using derivatives to hedge changes in the fair value (or cash flow) of the hedged items. Making it clear that the object of hedging is exposure also highlights the importance of risk exposure measurement for hedging decisions. Only after accurately measuring the exposure of the enterprise can it be possible to make the right decision on the scale of derivatives trading as a hedging tool to avoid excessive hedging and increase the risk of derivatives price changes faced by enterprises. Through the case study and empirical test, it is found that Chinese airlines are not exposed to the increase of fuel price because of the transfer of fuel surcharge to the cost. Companies hedge fuel costs not only to hedge the risk of fuel price volatility, but also to increase the volatility of profits. Failed to achieve the goal of hedging: to maintain the stability of business profit margins. This paper shows that, besides the choice of hedging tools and hedging strategies, the market competition environment faced by enterprises, pricing strategies affect the effectiveness of hedging.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F562.6

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