基于套期保值的国际大宗干散货供应链结构化风控研究  

Research on structured risk control of international dry bulk supply chain based on hedging

作　　者：王大山 宁钟[1] WANG Da-shan;NING Zhong(School of Management,Fudan University,Shanghai 200433)

机构地区：[1]复旦大学管理学院,上海200433

出　　处：《价格月刊》2022年第6期34-42,共9页

基　　金：上海市软科学研究计划项目“颠覆性技术的识别评价及支持机制研究”(编号:18692102100)阶段性研究成果;2021—2023年上海市人力资源和社会保障局“超级博士后项目”资助“农产品供应链金融监管信用研究”阶段性研究成果。

摘　　要：在对国际大宗干散货供应链结构关系进行梳理的基础上,研究了各风险因素之间的长期均衡关系及相互作用机理。结果表明:国际大宗干散货供应链上下游间存在价值传导效应,不同结构间的影响以正向为主;大宗商品价格异动最终会通过产业链、供应链的传导进而影响到中国经济稳定。以干散货航运市场不同船型日租金、各大宗干散商品价格分别作为第1、2级风控指标,建立了国际大宗干散货供应链结构化风控模型,该模型有助于利用供应链中不同结构化产品远期价格间的异常基差,通过跨期对冲操作,维持供应链的结构性稳定。On the basis of analysis of the structural relationship of the international dry bulk supply chain,this paper studies the long-term equilibrium relation and interaction mechanism between various risk factors.The results show that there is a value transmission effect between the upstream and downstream of the international dry bulk supply chain,and the influence between different structures is mainly positive;the price fluctuations of commodities will eventually affect China’s economic stability through the transmission of the industrial chain and supply chain.Taking the daily rent of different ship types and the prices of various bulk dry commodities in the dry bulk shipping market as the first and second level risk control indicators respectively,this paper establishes a structured risk control model of the international dry bulk supply chain.The model is helpful to making use of the abnormal basis between the forward prices of different structured products in the supply chain to maintain the structural stability of the supply chain through intertemporal hedging operation.

关 键 词：干散大宗商品 结构化风控 跨期对冲 长期均衡关系 

分 类 号：F746[经济管理—国际贸易]