中国原油期货动态套期保值比率研究  

A Study on the Dynamic Hedging Ratio of China's Crude Oil Futures

作　　者：尹继元[1] YIN Ji-yuan(Jiangsu Vocational and Technical College of Economics and Trade,Nanjing,Jiangsu 211106)

机构地区：[1]江苏经贸职业技术学院,江苏南京211106

出　　处：《江苏商论》2023年第11期3-7,共5页Jiangsu Commercial Forum

摘　　要：原油对于经济发展具有重要作用。本文选择中国原油期货和原油现货作为研究对象,在风险最小化的标准下构建DCC-GARCH与Copula-GARCH两种动态模型进行套期保值比率研究,并且将由两种动态套保模型所得到的套期保值比率和OLS、B-VAR以及VECM模型进行比较。实证结果证明:中国原油期货和现货具有显著的反向“杠杆效应”;中国原油期货在大多数模型下都具有超过70%的方差减少幅度;Copula-GARCH模型在五种模型中所取得的套保绩效最优。Crude oil plays an important role in economic development.This article selects Chinese crude oil futures and crude oil spot as the research objects,and constructs two dynamic models,DCC-GARCH and Copula-GARCH,under the standard of risk minimization for hedge ratio research.The hedge ratios obtained from the two dynamic hedging models are compared with OLS,B-VAR,and VECM models.The empirical results prove that there is a significant reverse“leverage effect”between China's crude oil futures and spot prices;Chinese crude oil futures have a variance reduction of over 70%in most models;The Copula GARCH model achieved the best hedging performance among the five models.

关 键 词：原油期货 DCC-GARCH 套期保值比率 

分 类 号：F830[经济管理—金融学]