【摘要】：2006年,發(fā)改委針對(duì)成品油市場(chǎng)做出重大改革,尤其是在價(jià)格機(jī)制方面進(jìn)一步加大改革力度,實(shí)現(xiàn)與國(guó)際原油市場(chǎng)的價(jià)格聯(lián)動(dòng),市場(chǎng)結(jié)構(gòu)逐步與國(guó)際接軌。但是由于價(jià)格改革形式過(guò)于機(jī)械,未能充分考慮國(guó)內(nèi)外市場(chǎng)結(jié)構(gòu)、消費(fèi)需求、季節(jié)性變化等因素,因此對(duì)于國(guó)內(nèi)油市需求變化反應(yīng)不夠敏感,難以體現(xiàn)出價(jià)格聯(lián)動(dòng)對(duì)原油市場(chǎng)的調(diào)控功能。而期貨則具有資源集中優(yōu)化,公開運(yùn)作具有統(tǒng)一的操作規(guī)程,因此與市場(chǎng)競(jìng)爭(zhēng)環(huán)境更為接近,有利于直接體現(xiàn)市場(chǎng)供需變化對(duì)油價(jià)的影響。因此,引入原油期貨運(yùn)行模式能夠更及時(shí)敏捷的了解國(guó)內(nèi)外原油供需變化,為成品油價(jià)格的制定提供更科學(xué)的決策依據(jù)。從期貨市場(chǎng)形成到發(fā)展至今,已經(jīng)成為推動(dòng)經(jīng)濟(jì)發(fā)展的重要金融模式。期貨能夠?yàn)橥顿Y者有效規(guī)避風(fēng)險(xiǎn),并且在價(jià)格預(yù)測(cè)上具有一定的指導(dǎo)性,因此不少經(jīng)濟(jì)實(shí)體已經(jīng)著手參與期貨交易,并以此制定出更為完善的管理措施,為組織發(fā)展探索出一條新路。隨著期貨市場(chǎng)不斷發(fā)展的基礎(chǔ)上,其定價(jià)指導(dǎo)優(yōu)勢(shì)越發(fā)明顯,定價(jià)話語(yǔ)權(quán)得到了充分體現(xiàn)。原油期貨套期保值將成為今后備受歡迎的模式之一,許多企業(yè)的利益將通過(guò)期貨市場(chǎng)的套期保值來(lái)實(shí)現(xiàn)的,原油期貨市場(chǎng)期貨的成功實(shí)現(xiàn)同樣也為市場(chǎng)帶來(lái)了不同風(fēng)險(xiǎn)�；诖�,本第1章為緒論,主要闡述選題背景、目的與意義,進(jìn)行相關(guān)文獻(xiàn)研究綜述;第2章相關(guān)理論基礎(chǔ),主要包括期貨套期保值理論、市場(chǎng)交易理論、風(fēng)險(xiǎn)管理理論,從三方面提出原油期貨跨市場(chǎng)套期保值可行性,分別包括現(xiàn)貨和中國(guó)未來(lái)原油期貨的套期保值、國(guó)內(nèi)現(xiàn)貨和WTI以及布倫特原油的套期保值、國(guó)內(nèi)期貨與WTI以及布倫特原油的套期保值;第3章提出中國(guó)原油期貨市場(chǎng)的發(fā)展歷程,從其形成、發(fā)展對(duì)國(guó)內(nèi)原油期貨發(fā)展做出回顧,以此提出構(gòu)建原油領(lǐng)域新型期貨市場(chǎng)的可行性,以及推出原油期貨勢(shì)在必行,最后借鑒阿曼原油期貨,提出其擬合中國(guó)原油期貨市場(chǎng)的實(shí)證分;第4章進(jìn)行中國(guó)原油期貨市場(chǎng)期貨套期保值風(fēng)險(xiǎn)的具體分析,主要為從管理風(fēng)險(xiǎn)、套期保值比率風(fēng)險(xiǎn)、期貨價(jià)格極端風(fēng)險(xiǎn)、基差風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)、交割風(fēng)險(xiǎn)、投機(jī)風(fēng)險(xiǎn)方面,分析中國(guó)原油期貨市場(chǎng)期貨套期保值風(fēng)險(xiǎn)。而后進(jìn)行相關(guān)模型的提出與構(gòu)建,展開相關(guān)模型的分析;第5章中國(guó)原油期貨市場(chǎng)期貨套期保值風(fēng)險(xiǎn)防范對(duì)策,主要包括宏觀方面和微觀方面,包括優(yōu)化原油期貨市場(chǎng)環(huán)境、加強(qiáng)政府的管理力度、鼓勵(lì)期貨行業(yè)協(xié)會(huì)自律管理、持續(xù)展開交易所風(fēng)險(xiǎn)監(jiān)管、保證金風(fēng)險(xiǎn)的控制、流動(dòng)性風(fēng)險(xiǎn)的控制、交割風(fēng)險(xiǎn)的控制、市場(chǎng)風(fēng)險(xiǎn)的控制及相關(guān)保障措施。
[Abstract]:In 2006, the NDRC made major reforms in the refined oil market, especially in the price mechanism, and realized the price linkage with the international crude oil market, and the market structure was gradually in line with the international market. However, because the form of price reform is too mechanical and fails to fully consider factors such as domestic and foreign market structure, consumption demand, seasonal changes, etc., it is not sensitive enough to the changes in domestic oil market demand. Difficult to reflect the price linkage to the crude oil market regulation and control function. While futures have centralized optimization of resources and uniform operating rules for open operation, so they are closer to the market competition environment, which is beneficial to reflect the influence of market supply and demand change on oil price directly. Therefore, the introduction of crude oil futures operation model can be more timely and agile to understand the changes of crude oil supply and demand at home and abroad, and provide a more scientific decision basis for the formulation of refined oil prices. From the formation to the development of futures market, it has become an important financial model to promote economic development. Futures can effectively avoid risks for investors, and have certain guidance in price forecasting. Therefore, many economic entities have started to participate in futures trading, and have worked out more perfect management measures. Explore a new way for organization development. With the development of futures market, its pricing guidance advantage becomes more and more obvious. The futures hedging of crude oil will become one of the most popular models in the future. The interests of many enterprises will be realized through the hedging of futures market. The successful realization of futures in crude oil futures market will also bring different risks to the market. Based on this, the first chapter is the introduction, which mainly describes the background, purpose and significance of the topic, and carries on the related literature review; chapter 2 related theoretical basis, including futures hedging theory, market trading theory, risk management theory, The feasibility of cross-market hedging of crude oil futures is put forward from three aspects, including the hedging of spot crude oil futures and future crude oil futures in China, the hedging of domestic spot oil, WTI and Brent crude oil. Chapter 3 puts forward the development course of China's crude oil futures market and reviews the development of domestic crude oil futures from its formation and development. The feasibility of constructing a new futures market in the field of crude oil is put forward, and the introduction of crude oil futures is imperative. Finally, the empirical points of fitting the Chinese crude oil futures market with Oman crude oil futures are put forward. Chapter 4 analyzes the futures hedging risk in China's crude oil futures market, mainly from the aspects of management risk, hedge ratio risk, futures price extreme risk, base risk, liquidity risk, delivery risk and speculative risk. Analysis of futures hedging risk in China crude oil futures market. Then put forward and construct the relevant models, and carry out the analysis of the relevant models. Chapter 5, China crude oil futures market futures hedging risk prevention countermeasures, mainly including macro and micro aspects, including optimizing the crude oil futures market environment, Strengthen government management, encourage futures industry association to self-discipline management, continue to carry out exchange risk supervision, margin risk control, liquidity risk control, delivery risk control, market risk control and related safeguards.
【學(xué)位授予單位】：對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5;F764.1
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本文編號(hào)：2245402