基于动态条件相关系数模型的石油市场套期保值比估计  

Hedging Ratios Estimation of Oil Markets Based on Dynamic Conditional Correlation Model

作　　者：潘慧峰[1] 吴卫星[1] 

机构地区：[1]对外经贸大学金融学院

出　　处：《数学的实践与认识》2008年第6期52-60,共9页Mathematics in Practice and Theory

基　　金：教育部人文社会科学资助项目(批准号05JC790104);清华大学中国与世界经济研究中心资助项目;对外经贸大学新进教师科研启动项目资助

摘　　要：以WTI和Brent两地的原油现货市场和期货市场为研究对象,选择对角化的动态条件相关(DCC)模型估计了市场间的动态条件相关系数,求解了WTI市场、Brent市场及跨市的动态套期保值比,评价了各种市场组合的套期保值效果.得到如下几点结论:第一,WTI市场的一体化程度高于Brent市场;第二,两个月期货的套期保值比高于1个月期货的套期保值比,WTI相应市场组合的套期保值比要高于Brent市场;第三,采取Brent期货对WTI现货进行对冲时,其套期保值比要高于用WTI期货对Brent现货对冲时的情形,也高于Brent市场的套期保值比;第四,套期保值比越高,套期保值效果越好.The diagonal dynamic conditional correlation model is applied to estimate the dynamic conditional correlations among oil markets, calculate the dynamic hedging ratios between spot market and futures market, and evaluate the hedging performance of different kinds of markets portfolio, including WTI and Brent markets and cross markets. Four conclusions are drawn： first of all, the degree of integration of WTI is higher than Brent; secondly, the hedging ratios between spot market and 2-month futures market are higher than those between spot market and 1-month futures market, the hedging ratios of WTI markets portfolio are also higher than those of corresponding markets portfolio of Brent; thirdly, the hedging ratios between WTI spot market and Brent futures market are higher than those between Brent spot market and WTI futures market and those of Brent markets portfolio. Finally, the higher hedging ratios,the higher hedging performance is.

关 键 词：石油市场 动态套期保值比 动态条件相关系数 套期保值效果 

分 类 号：F224[经济管理—国民经济] F713.35