我国豆类期货市场套期保值绩效研究  

Hedging Performance of Bean Futures Market

作　　者：从雨佳 朱家明[2] 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030 [2]安徽财经大学统计与应用数学学院,安徽蚌埠233030

出　　处：《海南师范大学学报（自然科学版）》2016年第1期31-35,共5页Journal of Hainan Normal University（Natural Science）

基　　金：国家自然科学基金(11301001);安徽省创新训练项目(201510378556)

摘　　要：针对我国豆类期货市场的的套期保值的绩效,选取了豆粕、大豆和豆油三种商品期货作为研究对象,利用OLS、ECM和ECM-BGARCH模型分别估计豆粕、大豆和豆油的最优套期保值比例,通过构建套期保值绩效指标来评价套期保值效果.实证表明,利用豆油期货来套期保值能达到最好的效果,但豆粕较差;比较3种方法所估计出的最优套期保值比例的套保效果,发现ECMBGARCH模型用于估计套期保值比例最为合适.To study the hedging performance of bean futures market, this paper selects three commodity futures： soybean meal, soybean and soybean oil as research objects. Models such as OLS, ECM, and ECM-BGARCH are used to estimate the hedge ratio, and hedging performance indicators are constructed to evaluate the hedging effectiveness. Empirical results show that the best effects can be achieved by using soybean oil futures to carry out the hedging, while soybean meal show a poorer result. Comparing the hedging performance of different optimal hedge ratios estimated by three methods mentioned, we find that ECM-BGARCH is the most suitable model to estimate the hedge ratio.

关 键 词：豆类商品 套期保值比例 套期保值绩效 

分 类 号：F713.35[经济管理—产业经济]