成品油“期货稳价订单”模式的套期保值效率研究——以柴油和汽油为例  

Study on the hedging efficiency of"futures stabilization order"model for refinedoil products--Taking diesel and gasoline as examples

作　　者：郭晶[1] 刘泽莹 GUO Jing;LIU Zeying(School of Economics and Management,Zhejiang Sci-Tech University)

机构地区：[1]浙江理工大学经济管理学院

出　　处：《国际石油经济》2024年第9期78-89,110,共13页International Petroleum Economics

摘　　要：“期货稳价订单”模式对于稳定能源化工产业链的大宗商品价格、保障能源化工供应链安全具有重要意义。研究“期货稳价订单”模式下的上海原油期货和柴油、汽油产品的跨品种套期保值效率,以2018年9月到2022年7月上海原油期货价格和柴油、汽油现货价格为样本,使用OLS、B-VAR、ECM、BEKK-GARCH模型计算套期保值效率,得到最优套期保值比率。研究发现,风险管理子公司可以通过参与“期货稳价订单”降低风险;柴油、汽油日数据中基于BEKK-GARCH模型计算得出的动态套期保值比率效果最优,周度、月度数据中基于OLS模型的效果最优;套期保值效率随着样本期限的拉长会逐渐提高,套期保值期限管理是降低成品油价格波动风险的重要渠道;通过汽油和柴油的对比研究,增强了回归结果的可信度,为该模式未来扩充油气业务品种提供了参考依据。The"futures price stabilization order"model is of great significance in stabilizing commodity prices in the energy and chemical industry chain and ensuring the security of the energy and chemical supply chain.To study the cross-species hedging efficiency of Shanghai crude oil futures and diesel&gasoline products under the"futures price stabilization order"model,the paper takes Shanghai crude oil futures prices and spot prices of diesel and gasoline from September 2018 to July 2022 as samples,uses OLS,B-VAR,ECM,and BEKK-GARCH models to calculate hedging efficiency,and obtains the optimal hedging ratio.It is found that risk management subsidiaries can reduce risks by participating in"futures price stabilization order",the dynamic hedging ratio based on BEKK-GARCH model is the most effective in diesel and gasoline daily data,the effect based on OLS model is the most effective in weekly and monthly data,the hedging eficiency gradually increases with the sample period extending,and hedging period management is an important channel to reduce the risk of fluctuations in refined oil prices.The comparative study of gasoline and diesel strengthens the credibility of the regression results and provides a reference basis for the model to expand the varieties of oil and gas business in the future.

关 键 词：期货稳价订单 套期保值比率 上海原油期货 上海国际能源交易中心(INE) 汽油 柴油 

分 类 号：F407.22[经济管理—产业经济] F406.73