【摘要】：受?chē)?guó)際金融危機(jī)余波和歐債危機(jī)持續(xù)發(fā)酵等因素影響,加之國(guó)內(nèi)經(jīng)濟(jì)增速放緩,鋼鐵行業(yè)整體面臨市場(chǎng)需求回落、產(chǎn)能?chē)?yán)重過(guò)剩、價(jià)格大幅下降、行業(yè)利潤(rùn)下滑的困境。生產(chǎn)企業(yè)減少生產(chǎn)甚至是停產(chǎn)現(xiàn)狀,而鋼材貿(mào)易商則是在市場(chǎng)價(jià)格倒掛中虧本經(jīng)營(yíng)。本文從鋼材貿(mào)易商的角度分析,鑒于期貨市場(chǎng)具有價(jià)格發(fā)現(xiàn)和規(guī)避風(fēng)險(xiǎn)的功能,從而提出貿(mào)易商進(jìn)入期貨市場(chǎng)為企業(yè)的產(chǎn)品進(jìn)行套期保值交易。促使鋼材貿(mào)易商可以實(shí)現(xiàn)兩條腿走路,做到“期現(xiàn)結(jié)合、鎖定風(fēng)險(xiǎn)”,利用金融工具來(lái)規(guī)避市場(chǎng)風(fēng)險(xiǎn)。本文從基差的角度分析了鋼材貿(mào)易商進(jìn)行套期保值時(shí)面對(duì)的風(fēng)險(xiǎn)。并從實(shí)證的角度分析宏觀(guān)經(jīng)濟(jì)因素和微觀(guān)市場(chǎng)因素對(duì)基差的影響,并得出結(jié)論認(rèn)為宏觀(guān)經(jīng)濟(jì)因素會(huì)影響基差走勢(shì),但是效果不顯著。而微觀(guān)市場(chǎng)因素對(duì)基差存在顯著的影響,因此在投資者進(jìn)入市場(chǎng)時(shí)可以根據(jù)微觀(guān)市場(chǎng)因素進(jìn)行時(shí)點(diǎn)選擇。在因素回歸中加入滯后因子后,方程顯著性明顯提升。說(shuō)明當(dāng)基差偏離均衡值過(guò)大,由于市場(chǎng)的套利因素存在,基差會(huì)產(chǎn)生自我的修正,基差的最主要影響因素是滯后因子。因此在套期保值者進(jìn)入市場(chǎng)的時(shí)候需要結(jié)合基差的偏離程度。本文還從在險(xiǎn)價(jià)值的角度,提出了多頭、空頭套期保值基差VaR值,結(jié)合基于核估計(jì)的非參數(shù)法、GARCH族模型的參數(shù)法、四階矩的半?yún)?shù)法分別計(jì)算出基差風(fēng)險(xiǎn)的在險(xiǎn)價(jià)值,為套期保值者提供風(fēng)險(xiǎn)管理依據(jù)。實(shí)證表明了,對(duì)于基差的在險(xiǎn)價(jià)值度量中非參數(shù)法比參數(shù)法和半?yún)?shù)方法較為適用目前的鋼材市場(chǎng)。
[Abstract]:Affected by the aftermath of the international financial crisis and the continued fermentation of the European debt crisis, coupled with a slowdown in domestic economic growth, the steel industry as a whole faces the plight of falling market demand, severe overcapacity, sharp price declines and declining profits. Production enterprises reduce production or even stop production status quo, and steel traders are in the market price upside down in the loss. This paper analyzes from the point of view of steel traders, in view of the function of price discovery and risk avoidance in futures market, puts forward that traders enter the futures market to carry out hedging transactions for the products of enterprises. To enable steel traders to walk on two legs, to "combine now, lock in risk," and use financial instruments to avoid market risk. This paper analyzes the risks faced by steel traders in hedging from the point of view of basis. And from the perspective of empirical analysis of macroeconomic factors and micro-market factors on the basis of the impact, and draw a conclusion that macroeconomic factors will affect the trend of the basis, but the effect is not significant. However, the micro market factors have a significant effect on the basis difference, so investors can choose the time points according to the micro market factors when they enter the market. When the lag factor was added to the regression equation, the equation was significantly improved. It is shown that when the deviation from the equilibrium value is too large, the basis will produce self-correction due to the existence of arbitrage factors in the market, and the lag factor is the most important factor of the basis deviation. Therefore, when the hedgers enter the market, we need to combine the deviation of the basis. From the point of view of the value of risk, this paper puts forward the VaR value of long and short hedging basis, and calculates the risk value of base risk by combining the nonparametric method based on kernel estimation, the parameter method of GARCH family model and the semi-parametric method of fourth-order moment. Provide risk management basis for hedgers. The empirical results show that the non-parametric method is more suitable to the present steel market than the parametric method and the semi-parametric method.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F426.31

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本文編號(hào)：2274565