中国企业规避油价波动风险的套期保值策略研究  

Research on the Hedging Strategies of Chinese Enterprises to Avoid the Risk of Oil Price Volatility

作　　者：陈曦[1] 谢苇[1] 

机构地区：[1]西南石油大学经济管理学院

出　　处：《经济体制改革》2016年第3期125-129,共5页Reform of Economic System

基　　金：四川省社会科学研究"十二五"规划青年项目"国际油价波动的金融成因与极端风险控制策略研究"(SC14C051);西南石油大学科研启航计划项目"国际油价的波动特征与风险规避策略研究"(2014QHS003);四川石油天然气发展研究中心2015年项目"中国企业油利用金融市场规避油价风险的策略研究"(川油气科SKB15-03)的阶段性研究成果

摘　　要：随着上海燃料油期货流动性的急剧下降,越来越多的中国企业开始采用国际期货合约作为套期保值工具以规避油价波动风险。为寻找我国企业规避油价风险的最优套期保值策略,本文结合最新数据分析了利用国内外不同能源期货合约的套保比率与绩效。结果表明:采用IPE布伦特或纽约WTI原油期货的套保效果远优于上海燃料油期货;其中,布油期货套保绩效略优于WTI油货但套保比率略高。由此,我国相关企业可根据自身的资金情况进行选择。With the sharp decline in Shanghai fuel oil futures liquidity, more and more Chinese enterprises have begun to implement international futures contracts as hedging instruments to avoid the risk of oil price volatility. To identify the optimal hedging strategy to avoid the risk of oil price volatility, this paper analyzes the hedging ratios and performance of different energy futures contracts at home and abroad based on the latest data. The results show that the effect of hedging IPE Brent or WTI crude oil futures in New York Futures Exchange is much more superior to Shanghai fuel oil futures, and the hedging performance of IPE Brent is slightly better than WTI oil cargo but has a slightly higher hedging ratio. It is suggested that relevant enterprises in China may make an appropriate choice according to their own funds.

关 键 词：套期保值 ECM-GARCH 大庆原油现货 上海燃料油期货 Brent原油期货 WTI原油期货 

分 类 号：F272[经济管理—企业管理]