航空公司利用上海燃料油期货套期保值交易的战略研究——基于ECM-GARCH模型的实证分析  

Study on Airlines’Employment of Fuel Oil Future Hedging Strategies——Empirical Analysis Based on ECM-GARCH Model

作　　者：孙瑾[1] 赵志宏[2] 

机构地区：[1]中央财经大学国际经济与贸易学院,北京100081 [2]上海交通大学上海高级金融学院,上海200030

出　　处：《金融发展研究》2013年第6期3-9,共7页Journal Of Financial Development Research

基　　金：教育部人文社会科学研究青年基金(项目批号12YJC790165);中央财经大学211学科建设基金的资助

摘　　要：十二五规划中我国将航空业纳入了重点新兴产业,但是,近几年来航油价格剧烈波动给航空业及其相关产业发展带来较大风险。本文研究了航空公司利用上海燃料油期货交易对航空煤油进行套期保值的策略,基于2004—2012年现货和期货价格的日数据,采用ECM-GARCH模型测算出最优的套期保值比率为39.72%,能够帮助航空公司规避约15%的航油价格波动风险。本文认为,该策略在一定程度上能稳定企业收益,但绩效值略微偏低,这主要是由于危机时期,套期保值的绩效不仅与套保比率相关,还较大程度地受到汇率波动和宏观经济形势的影响。基于此,本文提出了新时期国有和民营航空公司进行套保交易的战略建议。The twelfth five-year plan has listed the aircraft industry as one of the key emerging industries. Howev- er, the drastic fluctuations of aviation oil prices have posed huge risks to the development of aircraft industry and other related industries. This paper conducts an empirical study on the strategies of airlines＇ using Shanghai fuel futures to hedge against the fluctuations of jet fuel by using daily data of spot goods and futures from 2004 to 2012. It adopts ECM-GARCH model to calculate the best hedging ratio which is 39.72%. The paper also verifies that applying Shang- hai fuel futures for hedging is feasible and can help airlines avoid approximately 15% of the risk in jet fuel price fluctua- tion. It does help airlines maintain corporate profits to a certain degree, but the performance is slightly low. The analy- sis shows that due to the crisis, the performance of hedging is not only related with the hedging ratio, but also greatly affected by the fluctuations of exchange rate and the macro-economic situation. Finally, the paper puts forward strate- gic proposals and suggestions for the new-age state-owned and private airlines to do hedging.

关 键 词：套期保值 ECM-GARCH 航空煤油 上海燃料油期货 

分 类 号：F830.93[经济管理—金融学]