商品货币的交叉套期保值策略——以中澳贸易为例  

Cross-hedging Commodity Currencies with Commodity Futures: Sino-Australian Trade for Case Analysis

作　　者：韩立岩[1] 任光宇[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《管理评论》2013年第5期26-34,共9页Management Review

基　　金：国家自然科学基金重点项目(70831001);国家创新研究群体科学基金项目(70821061)

摘　　要：海外资源投资与基础商品进口对于中国经济的平稳运行至关重要,但是相关外汇衍生产品的缺失阻碍着针对商品货币汇率风险的对冲策略的实施。本文提出基于商品期货的交叉套期保值策略,并以澳元为例进行案例分析,实证了利用商品期货对澳元头寸做交叉套期保值的效果和稳健性。平衡收益与风险的绩效评价,选取单一铝期货、采用最小方差套期保值比的对冲策略是简单易行而稳健的有效手段。Investment in overseas resources and import of primary merchandise are of vital importance to the smooth performance of China＇s economy. However, the absence of relevant foreign exchange derivatives hinders the implementation of hedging strategies. This paper presents a cross-hedging strategy based on commodity futures and takes hedging AUD for case analysis. By the performance measure criteria, the empirical study shows strategy of choosing aluminum futures contracts and taking the minimum variance hedging ratio is a simple, robust and efficient hedging strategy.

关 键 词：商品货币 商品期货 交叉套期保值 最小方差套期保值比 绩效评价 

分 类 号：F752.7[经济管理—国际贸易]