基于降噪-混频-分解的集成方法估计最优套期保值比率研究  

Research on estimating the optimal hedge ratio using an integrated method with noise reduction-mixed frequency-decomposition

作　　者：朱鹏飞[1,2] 卢团团 魏宇 ZHU Pengfei;LU Tuantuan;WEI Yu(School of Economics,Zhejiang University of Technology,Hangzhou 310023,China;Institute for Industrial System Modernization,Zhejiang University of Technology,Hangzhou 310023,China;School of Management,Zhejiang University of Finance&Economics,Hangzhou 310018,China;School of Finance,Yunnan University of Finance and Economics,Kunming 650000,China)

机构地区：[1]浙江工业大学经济学院,杭州310023 [2]浙江工业大学现代化产业体系研究院,杭州310023 [3]浙江财经大学管理学院,杭州310018 [4]云南财经大学金融学院,昆明650000

出　　处：《系统工程理论与实践》2025年第2期429-447,共19页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72304241,72401260);浙江省社会科学界联合会研究课题成果(2024N005);浙江工业大学人文社会科学研究基金年度项目(SKY-ZX-20240015)。

摘　　要：本文提出了基于降噪-混频-分解的集成方法,以上海原油期货(INE)和国内外原油现货为例,估计全球经济政策不确定性冲击下最优套期保值比率.该方法在对价格序列充分降噪前提下,使用混频手段测度相依性并获得初始套期保值比率,继而引入“分解-集成”思想,在对初始比率开展频率分解基础上,进行综合集成,获得最终套期保值比率,以谋求最大限度降低原油现货风险.全样本和样本外检验结果表明,该集成方法的套期保值效率明显优于对照组.并且,INE对胜利原油(Shengli)的套保效果最佳,而对布伦特原油(Brent)的套保效果最差.稳健性检验也验证了以上结论.本研究旨在理论上提供最优套期保值比率全新估计方法,在实践上为原油投资者制定风险管理策略提供新路径.Using Shanghai International Energy Exchange Center crude oil futures(INE)and domestic and foreign crude oil spot,the paper proposes an integrated method with noise reductionmixed frequency-decomposition to estimate the hedging ratios in crude oil futures and spot under GEPU.The novelty approach begins with denoising the data,and then uses mixed frequency data approach to model futures-spot structure.The original optimal hedging ratio is obtained.Basing on the idea of“Decomposition-Integration”,the original ratio is further decomposed,followed by comprehensive integration of the frequency scales to obtain the final hedging ratio.The empirical results of full-sample and out-sample hedging tests indicate that the integrated method outperforms the control groups in terms of hedging effectiveness.Besides,the performance of INE with Shengli crude oil spot is the best,while that of INE with Brent crude oil spot is the worst.The robustness tests confirm the above conclusions.The study theoretically provides a new approach to estimate the optimal hedging ratio,and in practice provides a new path for crude oil investors to develop risk management strategies.

关 键 词：最优套期保值比率 上海原油期货 国内外原油现货 全球经济政策不确定性 基于降噪-混频-分解的集成方法 

分 类 号：F830.9[经济管理—金融学]