本文關(guān)鍵詞：航油套期保值績(jī)效實(shí)證研究　出處：《中國(guó)民航大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

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【摘要】：對(duì)于航空公司來說,航油成本占其總運(yùn)營(yíng)成本的百分之三十到四十。因此航油采購(gòu)價(jià)格的管理對(duì)于航空公司至關(guān)重要。航油套期保值是航空公司規(guī)避航油價(jià)格波動(dòng)風(fēng)險(xiǎn)不可或缺的方法,其應(yīng)用十分廣泛�？v觀全球航空業(yè),主要的航空公司大都對(duì)航油進(jìn)行不同規(guī)模的套期保值業(yè)務(wù)。正確的航油套期保值行為是一種積極有效的風(fēng)險(xiǎn)管理策略,可鎖定航空公司的航油采購(gòu)成本,降低企業(yè)財(cái)務(wù)成本和融資成本,加強(qiáng)公司運(yùn)營(yíng)和治理結(jié)構(gòu)的穩(wěn)定性。然而縱觀國(guó)內(nèi)航空公司套期保值的歷史可以發(fā)現(xiàn),我國(guó)針對(duì)航油進(jìn)行套期保值的歷史并不長(zhǎng)久,而自2008年金融危機(jī)三大航套保巨額虧損之后,航空公司對(duì)于航油套期保值幾乎止步不前。所以本文希望通過對(duì)航油套期保值績(jī)效的研究,為航空公司重啟航油套期保值帶來參考標(biāo)準(zhǔn)和衡量指標(biāo)。本文首先對(duì)套期保值及其相關(guān)理論和研究現(xiàn)狀做了梳理,并總結(jié)了近些年國(guó)內(nèi)外航空公司進(jìn)行航油套期保值的歷史經(jīng)驗(yàn)和教訓(xùn)。接下來,本文以風(fēng)險(xiǎn)最小化的思想建立了航油套期保值評(píng)估模型,用收益方差(即風(fēng)險(xiǎn))的絕對(duì)值和相對(duì)值作為績(jī)效評(píng)估指標(biāo)來衡量航油套期保值的績(jī)效。通過風(fēng)險(xiǎn)最小化可以推導(dǎo)出最優(yōu)套期保值比率,而這個(gè)比率數(shù)值是計(jì)算收益方差的必要因素,進(jìn)而本文選取了四個(gè)主流的計(jì)量經(jīng)濟(jì)學(xué)模型來計(jì)算該比率。在實(shí)證分析中,本文選取了和航油價(jià)格高度相關(guān)的NYMEX取暖油進(jìn)行測(cè)算,采用單位根檢驗(yàn)、協(xié)整檢驗(yàn)、異方差檢驗(yàn)、ARCH檢驗(yàn)、OLS模型、B-VAR模型、ECM模型和GARCH模型計(jì)算出了日數(shù)據(jù)、周數(shù)據(jù)和月數(shù)據(jù)的最優(yōu)套期保值比率,并得出套期保值績(jī)效的兩個(gè)評(píng)估指標(biāo)數(shù)值,即收益方差絕對(duì)數(shù)值和相對(duì)數(shù)值。研究結(jié)果表明,對(duì)航油進(jìn)行套期保值可以顯著的降低不進(jìn)行套期保值的的收益方差(即風(fēng)險(xiǎn)),ECM模型和GARCH模型在計(jì)算比率時(shí)效果最優(yōu),綜合來看,采用周數(shù)據(jù)進(jìn)行套期保值得到的績(jī)效最好。
[Abstract]:For airlines. Aviation oil cost accounts for 30% to 40 of its total operating cost. Therefore, the management of aviation oil purchase price is very important for airlines. Aviation oil hedging is indispensable for airlines to avoid the risk of aviation oil price fluctuation. Law. It is widely used. In the global aviation industry, most of the major airlines carry out different scale hedging of aviation oil. The correct hedging behavior of aviation oil is an active and effective risk management strategy. It can lock the cost of aviation oil purchase, reduce the financial cost and financing cost, and strengthen the stability of the company's operation and governance structure. However, the history of domestic airlines hedging can be found. The history of aviation oil hedging in China is not long, but since 2008, the financial crisis three major airline hedging losses. Airlines almost stop to aviation oil hedging. Therefore, this paper hopes to study the performance of aviation oil hedging. For airlines to restart aviation oil hedging bring reference standards and indicators. Firstly, this paper makes a combing of hedging and its related theory and research status. And summarized the domestic and foreign airlines aviation oil hedging in recent years of historical experience and lessons. Next, this paper establishes the aviation oil hedging evaluation model with the idea of risk minimization. The absolute value and relative value of return variance (i.e. risk) are used as performance evaluation indicators to measure the performance of aviation oil hedging, and the optimal hedging ratio can be deduced by minimizing the risk. This ratio value is a necessary factor to calculate the return variance, and then this paper selects four main econometric models to calculate the ratio. In the empirical analysis. In this paper, the NYMEX heating oil which is highly related to the price of aviation oil is selected for calculation. The unit root test, cointegration test and heteroscedasticity test are used to test the OLS model and B-VAR model. ECM model and GARCH model calculate the optimal hedging ratio of daily data, weekly data and monthly data, and get two index values of hedging performance. The results show that hedging on aviation oil can significantly reduce the return variance (i.e. risk) without hedging. The ECM model and the GARCH model have the best effect when calculating the ratio. In a word, the performance of using weekly data to hedge is the best.
【學(xué)位授予單位】：中國(guó)民航大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F713.35;F764.1

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本文編號(hào)：1356282