中国大宗商品期货能有效对冲国际大宗商品价格波动风险吗?——基于不同风险防范目标视角  

Can Chinese commodity futures effectively hedge the risk of international commodity price fluctuations?——From the perspective of different risk prevention objectives

作　　者：彭承亮 魏佳 马理 PENG Cheng-liang;WEI Jia;MA Li(School of Economics,Anhui University,Hefei,Anhui 230601;College of Finance and Statistics,Hunan University,Changsha,Hunan 410006)

机构地区：[1]安徽大学经济学院,安徽合肥230601 [2]湖南大学金融与统计学院,湖南长沙410006

出　　处：《价格月刊》2025年第3期16-24,共9页

基　　金：安徽省教育厅科学研究重点项目“国际大宗商品价格波动对中国宏观经济的风险溢出效应:基于新冠疫情和地缘政治冲突影响的视角”(编号:2022AH050040);国家自然科学基金面上项目“发达国家货币政策跨国传导的复杂溢出效应:开放经济条件下的DSGE多国模型与VAR数据检验”(编号:72073042)。

摘　　要：以中国对外依存度较高的8种大宗商品为例,对中国大宗商品期货能否有效对冲国际大宗商品价格波动风险进行了实证分析。具体做法是基于最小方差、最小风险值(VaR)和最小条件风险值(CVaR)等3种不同风险对冲目标,分别采用OLS、ECM、BVAR、BGARCH、DCC-GARCH、GARCH-Time varying t-Copula等6种模型测算其对冲比率和对冲绩效。结果表明:第一,对于原油、燃料油、橡胶、铜、棕榈油等大宗商品,国内商品期货市场可以较为有效地对冲国际大宗商品价格波动风险。第二,动态套期保值模型测算出的对冲比率、对冲绩效优于静态模型,其中最好的模型为GARCH-Time varying t-Copula模型。第三,以最小方差为目标的对冲绩效优于其他两种目标。第四,风险事件的发生会导致对冲比率波动,降低风险对冲绩效。建议涉及大宗商品贸易的企业根据自身风险偏好选择风险对冲目标和动态对冲策略,并使用国内大宗商品期货对冲风险;国内期货市场应积极创新期货品种、完善制度保障和推进对外开放,不断提升中国在国际大宗商品市场上的定价能力。This paper takes 8 commodities with high external dependence in China as examples to empirically analyze whether Chinese commodity futures can effectively hedge the risk of international commodity price fluctuations.The specific approach is based on three different risk hedging objectives,namely minimum variance,minimum value at risk(VaR) and minimum conditional value at risk(CVaR),and adopts six models,namely OLS,ECM,BVAR,BGARCH,DCC-GARCH,GARch-time-varying t-Copula,to measure its hedging ratio and hedging performance.The results indicate that:Firstly,for crude oil,fuel oil,rubber,copper,and palm oil,the domestic commodity futures market can effectively hedge the risk of international commodity price fluctuations.Secondly,the hedging ratio and hedging performance measured by the dynamic hedging model are better than the static model,and the best model is the Garch-time-varying t-Copula model.Thirdly,the hedging performance with minimum variance as the objective is better than the other two objectives.Fourthly,the occurrence of risk events can lead to fluctuations in the hedging ratios and reduce the performance of risk hedging.It is suggested that enterprises involved in commodity trading choose risk hedging objectives and dynamic hedging strategies based on their own risk preferences,and use domestic commodity futures to hedge risks;The domestic futures market should innovate varieties of futures economically,improve the system,and promote opening up to the outside world to continuously enhance China's pricing power in the international commodity market.

关 键 词：大宗商品 期货市场 价格波动 对冲比例 对冲绩效 

分 类 号：F726[经济管理—产业经济]