【摘要】：在市場經(jīng)濟(jì)中,商品生產(chǎn)經(jīng)營者在生產(chǎn)和經(jīng)營過程中,遇到最多的最直接的風(fēng)險(xiǎn)就是價格波動風(fēng)險(xiǎn),而期貨的套期保值就提供了這么一個可以規(guī)避、轉(zhuǎn)移或者分散價格風(fēng)險(xiǎn)的有力工具,這也正是期貨發(fā)展起來的原因。期貨作為一種套期保值工具,現(xiàn)在已經(jīng)被各大生產(chǎn)經(jīng)營商廣泛使用,但是準(zhǔn)確的估計(jì)套期保值比率仍是一個難點(diǎn)問題,同時也是期貨理論領(lǐng)域研究的一個熱點(diǎn)問題。 黃金做為一種特殊的商品,在國際經(jīng)濟(jì)活動中扮演著重要的角色。隨著世界經(jīng)濟(jì)的持續(xù)發(fā)展,對黃金的需求量在不斷增加。而黃金所特有的商品和金融的雙重屬性又決定了影響其價格的因素非常復(fù)雜。中國作為世界第一大黃金消費(fèi)國,黃金的價格波動將對我國的黃金產(chǎn)業(yè)鏈造成較大的影響,所以越來越多的黃金冶煉、生產(chǎn)加工以及經(jīng)營企業(yè)意識到進(jìn)行套期保值的重要性和迫切性。而套期保值中最核心的問題就是如何較好的估算套期保值比率來最大限度的減少基差風(fēng)險(xiǎn)。 LienLuo(1993)、Chosh(1993)與Chou、FanLee(1996)分別提出了估計(jì)最優(yōu)套期保值比率的誤差修正模型,并使用兩步法進(jìn)行了估計(jì)。誤差修正模型(ECM)作為一種具有特定形式的重要的計(jì)量經(jīng)濟(jì)學(xué)模型,在研究非平穩(wěn)時間序列以及序列間協(xié)整關(guān)系方面具有較好的效果。Baillie和Myers(1991)年提出了BGARCH模型,并用BGARCH模型對美國的農(nóng)產(chǎn)品期貨進(jìn)行了最優(yōu)套期保值比率的估計(jì)研究。二元GARCH (BGARCH)模型彌補(bǔ)了一元GARCH模型在研究中不能反映序列之間的協(xié)方差的缺陷。本文分別采用OLS模型、ECM模型、以及常數(shù)二元GARCH模型和D-BEKK二元GARCH模型給出ECM-BGARCH方法估計(jì)的最優(yōu)套期保值比率,并得到了較好的效果。
[Abstract]:In the market economy, the most direct risk encountered by commodity producers and operators in the process of production and operation is the risk of price fluctuations, and the hedging of futures provides such a way to avoid it. Transfer or spread the price risk of the powerful tool, which is also the reason for the development of futures. Futures, as a hedging tool, have been widely used by major producers, but accurately estimating hedging ratio is still a difficult problem, and it is also a hot issue in the field of futures theory. As a special commodity, gold plays an important role in international economic activities. With the sustained development of the world economy, the demand for gold is increasing. The dual attributes of commodities and finance in gold determine the complexity of the factors that affect its price. As China is the world's largest consumer of gold, the fluctuation of gold prices will have a greater impact on China's gold industry chain, so more and more gold is being smelted. Production and processing as well as operating enterprises are aware of the importance and urgency of hedging. The core problem of hedging is how to estimate the hedge ratio to minimize the risk of base difference. LienLuo (1993), Chosh (1993) and Chou,FanLee (1996) proposed an error correction model to estimate the optimal hedging ratio, and two steps method was used to estimate the model. As an important econometric model with a specific form, error correction model (ECM) has a good effect in the study of non-stationary time series and cointegration relations between series. Baillie and Myers (1991) put forward BGARCH model. The BGARCH model is used to estimate the optimal hedge ratio of American agricultural futures. The binary GARCH (BGARCH) model makes up for the fact that the univariate GARCH model can not reflect the covariance between sequences in the research. In this paper, OLS model, ECM model, constant binary GARCH model and D-BEKK binary GARCH model are used to give the optimal hedge ratio estimated by ECM-BGARCH method, and good results are obtained.
【學(xué)位授予單位】：云南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.54;F724.5

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本文編號：2371738