套期保值比率模型选择研究

发布时间：2018-01-09 04:06

本文关键词：套期保值比率模型选择研究　出处：《合肥工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文首先根据理论分析发现我国现阶段对套期保值的研究存在以下值得反思的问题。第一是最小方差套期研究以预期效用最大化为出发点，旨在发现最优套期比率，，其研究价值理应体现在对套期决策的指导作用，或者解释企业的套期行为。但是，到目前为止，没有证据能够表明最小方差套期研究具有指导企业实践的作用，也无法解释为什么企业会进行不同程度的套期，甚至不进行套期。第二是最小方差套期研究以消除基差对套期效果的影响为出发点，而对企业套期实践具有更大影响力的权威机构（CBOT、CME、CFTC、FASB、IASB等）的观点却是：不必考虑基差对套期效果的影响。第三，从研究内容上来说，最小方差套期研究是对套期比率估计模型的实证检验，研究学者使用不同的计量模型对不同时期和不同种类的期货和现货价格数据进行检验，以发现“更好”的计量模型。但是，至今为止也没有就各种不同计量模型的孰优孰劣达成一致的结论。在此基础上，本文首先针对最小方差套期研究理论与实践背离的现象，反思最小方差套期研究的相关假设是否与企业套期实践相一致；第二是针对估计结果与市场定价机制的偏离，以及估计结果的不一致性，反思最小方差套期研究模型是否准确地刻画期现货价格之间的变动关系？本文的主要理论研究结论如下：（1）企业套期保值的目的是保持经营利润的稳定，而最小方差套期理论将套期关系中的被套期项目与套期工具看作投资组合，以最小化投资组合的方差作为套期决策目标，对套期决策背景和决策目标的假设与套期实践不相符。（2）由于基差的存在，价格变动模型违反了OLS的参数线性假设，存在模型误设问题。从模型的经济特征来说，估计套期比率应该选择价格模型，它能更好地刻画了期货价格与现货价格之间的联动关系。使用2004-2011年中国铜期现货数据验证了当现货价格变动幅度足够大时，估计的套期比率也将更接近1，说明期货价格变动与现货价格变动间是非线性关系，并且现货价格变动幅度会影响用价格变动模型估计的套期比率，而不会影响价格模型的估计结果。这表明价格模型能够更好地反映期货价格与现货价格之间的联动关系。
[Abstract]:Based on the theoretical analysis, this paper finds that there are the following problems in the study of hedging in China. Firstly, the minimum variance hedging study takes the expected utility maximization as the starting point. In order to find the optimal hedging ratio, its research value should be reflected in the guiding role of hedging decision, or explain the hedging behavior of enterprises. However, so far. There is no evidence that the minimum variance hedging study can guide the practice of enterprises, nor can it explain why firms carry out hedging to different degrees. The second is that the minimum variance hedging study to eliminate the impact of base on hedging effect as the starting point, and the enterprise hedging practice has a greater impact on the authority of CBOTT CME. CFTCU FASBIASB et al.) but the viewpoint is: do not consider the effect of base difference on hedging effect. Third, from the content of the study. The minimum variance hedging study is an empirical test of the hedge ratio estimation model. Researchers use different econometric models to test the futures and spot price data of different periods and different types. In order to find a "better" metrological model, however, no agreement has been reached so far on the advantages and disadvantages of the different metrological models. On this basis, this paper firstly reflects on whether the hypothesis of minimum variance hedging research is consistent with enterprise hedging practice in view of the phenomenon of deviation between theory and practice of minimum variance hedging research. Second, considering the deviation between the estimated results and the market pricing mechanism, and the inconsistency of the estimated results, this paper reflects on whether the minimum variance hedging model accurately depicts the changing relationship between spot prices of the period. The main theoretical conclusions of this paper are as follows: (1) the purpose of enterprise hedging is to maintain the stability of operating profit. The minimum variance hedging theory regards the hedged items and hedging instruments as the portfolio and minimizes the variance of the portfolio as the hedging decision goal. The hypothesis of hedging decision background and decision goal is not consistent with hedging practice. 2) because of the existence of basis, the price change model violates the parameter linear hypothesis of OLS. According to the economic characteristics of the model, the price model should be chosen to estimate the hedge ratio. It can better describe the linkage between futures price and spot price. The estimated hedging ratio will also be closer to 1, indicating that the futures price change and spot price change is a nonlinear relationship, and the range of spot price change will affect the hedge ratio estimated by the price change model. It shows that the price model can better reflect the linkage between futures price and spot price.
【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】：F832.5;F224

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