引入基差影响因素的套期保值模型优化与效用对比分析——以中国大豆加工与经营企业为例  

Empirical Study on Hedging Model Considering the Impact of Basis——Based on the Example of Chinese Soybean Crushers

作　　者：裴勇[1] 刘晓雪[2] 

机构地区：[1]中国人民大学商学院,北京100872 [2]北京工商大学经济学院,北京100048

出　　处：《现代财经（天津财经大学学报）》2016年第4期54-64,91,共12页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：北京市属高等学校创新团队建设与教师职业发展计划项目(IDHT20130505);国家社会科学基金重大项目(14ZDA034)

摘　　要：中国是全球最大的大豆进口国,国内大豆压榨企业在用境外定价中心的期货合约进行套期保值时,面临较大的基差风险。现有套期保值模型中,多将基差作为套期保值模型的不可观测变量,这与大豆压榨企业现实需求不符。为此,将基差影响因素中可解释部分引进套期保值模型,得到基差调整后的套期保值比率和套期保值有效性。运用Copula-GARCH模型实证分析后发现,引入基差影响因素的套期保值模型效果大多数优于原有套期保值模型,这对我国压榨企业的套期保值实践具有重要的指导意义。China is the largest soybean importer in the whole world, and most of the Chinese soybean crushers are faced with huge basis risk when they hedge in oversea pricing futures market. However, basis is always treated as an unobservable variable in the existing research of hedging models, which cannot satisfy the practical need of soybean crusher. Therefore, it attaches such practical significance to the academic research and soybean transactions that the explicable part of the basis variable is applied to hedging model to obtain the adjusted hedging ratio and hedging effec- tiveness. Five main conclusions are carried out through the empirical study based on the Copula-GARCH model. Specially, we found the hedging models considering the impact of basis in most cases behave better than the original ones. This conclusion might be helpful for Chinese crusher to reconsider their hedge strategy on oversea futures market.

关 键 词：基差风险 套期保值比率 Copula—GARCH模型 基差 

分 类 号：F830.9[经济管理—金融学]