石油期货套期保值时变套期比研究  

Study on time-varying hedge ratios in oil market

作　　者：冯春山[1] 吴家春[1] 蒋馥[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《上海理工大学学报》2004年第4期328-332,共5页Journal of University of Shanghai For Science and Technology

摘　　要：通过对石油价格的实证分析认为,石油价格波动具有时变性,并且现货价格和期货价格具有协整关系.考虑这两种特征,用带有GARCH误差项的向量误差修正模型求解时变套期保值比率.实证结果表明,该方法套期保值效果好于通常最优固定套期比的方法.It is important to study how to minimum the oil price change risk by oil future.The change of oil price is considered as time-varying according to empirical tests and spot price and future price is considered of co-integration.On the light of this,the time-varying hedge ratios is generated using a bivariate error correction model with a GARCH error structure.Out-of-sample tests reveal that this model provides greater risk reduction than that of a constant hedge ratio.

关 键 词：石油期货 套期保值 时变性 

分 类 号：F764[经济管理—产业经济]