航油套期保值绩效实证研究

发布时间：2017-12-30 20:05

本文关键词：航油套期保值绩效实证研究　出处：《中国民航大学》2017年硕士论文　论文类型：学位论文

【摘要】：对于航空公司来说,航油成本占其总运营成本的百分之三十到四十。因此航油采购价格的管理对于航空公司至关重要。航油套期保值是航空公司规避航油价格波动风险不可或缺的方法,其应用十分广泛。纵观全球航空业,主要的航空公司大都对航油进行不同规模的套期保值业务。正确的航油套期保值行为是一种积极有效的风险管理策略,可锁定航空公司的航油采购成本,降低企业财务成本和融资成本,加强公司运营和治理结构的稳定性。然而纵观国内航空公司套期保值的历史可以发现,我国针对航油进行套期保值的历史并不长久,而自2008年金融危机三大航套保巨额亏损之后,航空公司对于航油套期保值几乎止步不前。所以本文希望通过对航油套期保值绩效的研究,为航空公司重启航油套期保值带来参考标准和衡量指标。本文首先对套期保值及其相关理论和研究现状做了梳理,并总结了近些年国内外航空公司进行航油套期保值的历史经验和教训。接下来,本文以风险最小化的思想建立了航油套期保值评估模型,用收益方差(即风险)的绝对值和相对值作为绩效评估指标来衡量航油套期保值的绩效。通过风险最小化可以推导出最优套期保值比率,而这个比率数值是计算收益方差的必要因素,进而本文选取了四个主流的计量经济学模型来计算该比率。在实证分析中,本文选取了和航油价格高度相关的NYMEX取暖油进行测算,采用单位根检验、协整检验、异方差检验、ARCH检验、OLS模型、B-VAR模型、ECM模型和GARCH模型计算出了日数据、周数据和月数据的最优套期保值比率,并得出套期保值绩效的两个评估指标数值,即收益方差绝对数值和相对数值。研究结果表明,对航油进行套期保值可以显著的降低不进行套期保值的的收益方差(即风险),ECM模型和GARCH模型在计算比率时效果最优,综合来看,采用周数据进行套期保值得到的绩效最好。
[Abstract]:For airlines. Aviation oil cost accounts for 30% to 40 of its total operating cost. Therefore, the management of aviation oil purchase price is very important for airlines. Aviation oil hedging is indispensable for airlines to avoid the risk of aviation oil price fluctuation. Law. It is widely used. In the global aviation industry, most of the major airlines carry out different scale hedging of aviation oil. The correct hedging behavior of aviation oil is an active and effective risk management strategy. It can lock the cost of aviation oil purchase, reduce the financial cost and financing cost, and strengthen the stability of the company's operation and governance structure. However, the history of domestic airlines hedging can be found. The history of aviation oil hedging in China is not long, but since 2008, the financial crisis three major airline hedging losses. Airlines almost stop to aviation oil hedging. Therefore, this paper hopes to study the performance of aviation oil hedging. For airlines to restart aviation oil hedging bring reference standards and indicators. Firstly, this paper makes a combing of hedging and its related theory and research status. And summarized the domestic and foreign airlines aviation oil hedging in recent years of historical experience and lessons. Next, this paper establishes the aviation oil hedging evaluation model with the idea of risk minimization. The absolute value and relative value of return variance (i.e. risk) are used as performance evaluation indicators to measure the performance of aviation oil hedging, and the optimal hedging ratio can be deduced by minimizing the risk. This ratio value is a necessary factor to calculate the return variance, and then this paper selects four main econometric models to calculate the ratio. In the empirical analysis. In this paper, the NYMEX heating oil which is highly related to the price of aviation oil is selected for calculation. The unit root test, cointegration test and heteroscedasticity test are used to test the OLS model and B-VAR model. ECM model and GARCH model calculate the optimal hedging ratio of daily data, weekly data and monthly data, and get two index values of hedging performance. The results show that hedging on aviation oil can significantly reduce the return variance (i.e. risk) without hedging. The ECM model and the GARCH model have the best effect when calculating the ratio. In a word, the performance of using weekly data to hedge is the best.
【学位授予单位】：中国民航大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F713.35;F764.1

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