应用上海燃料油期货套保航空燃油的可行性分析  

Feasibility analysis for hedging aviation fuel oil with Shanghai fuel oil futures

作　　者：廖肇黎 张宏民[2] 

机构地区：[1]中国银监会浙江监管局 [2]上海期货交易所能源化工部

出　　处：《国际石油经济》2009年第8期35-40,共6页International Petroleum Economics

基　　金：国家自然科学基金(编号70303013)部分资助

摘　　要：我国的航空公司(航油贸易公司)采购航空燃油大多以新加坡的MOPS价格作为签订进口贸易合同的计价基准,因此大多在新加坡的场外衍生品市场进行套期保值交易。文章从实证角度研究了应用上海燃料油期货对航油进行套期保值的可行性。通过相关性分析、ADF检验、协整检验等,验证了新加坡航油现货价格与上海燃料油期货价格具有很高的相关性,并存在长期稳定的关系。从套保比率看,上海燃料油期货的套保比率高于WTI原油期货,这是因为上海燃料油期货价格的波动性低于WTI原油期货合约的价格波动性。从套保绩效检验看,WTI原油期货优于上海燃料油期货,即在同种合约时间长度下,使用WTI原油期货合约套保比使用上海燃料油期货合约套保降低风险的程度更大。实证研究表明,运用上海燃料油期货为新加坡航油现货进行套期保值可以取得一定效果,从而为航空公司规避航油市场价格波动风险提供保障。Most of China's aviation companies(aviation oil trading companies) carry out hedging trades in OTC derivatives markets in Singapore due to taking Singapore's MOPS price as the benchmark for signing import contracts.This paper studies the feasibility of hedging aviation oil with Shanghai fuel oil futures from an empirical point of view.Based on correlation analysis,ADF inspections,and cointegration tests,etc.,it is verified that there exist high correlation and long-term stable relationship between the spot price of aviation oil in Singapore and the futures price of fuel oil in Shanghai.As for hedge ratio,the hedge ratio of Shanghai fuel oil futures is higher than that of WTI crude oil futures for the price fluctuation of Shanghai fuel oil futures is lower that that of WTI crude oil futures contract.As for hedging performance inspection,the hedging performance of WTI crude oil futures is superior to that of Shanghai fuel oil futures,in other words,risk will be reduced to a greater extent when WTI crude oil futures contract instead of Shanghai fuel oil futures contract is used for hedging given the same contract period.The empirical study indicates that certain achievements will be made for hedging Singapore aviation oil spot with Shanghai fuel oil futures so as to ensure aviation companies to avoid risks generated from market price fluctuation.

关 键 词：航空燃油 上海燃料油期货 套期保值 风险规避 

分 类 号：F724.5[经济管理—产业经济] F426.22