摘要
在总结评述国际上成熟的最优套期保值比率估计方法的基础上,采用OLS、VAR、B-ECM、B-GARCH、ECM-B-GARCH五种模型和Lien提出的套期保值绩效衡量指标,对我国大豆期货市场的套期保值比率和套期保值绩效进行了实证研究。结果表明:对于中国大豆期货市场而言,按照OLS模型估计的最优套期保值比率进行动态套期保值能够最大程度地降低风险;基于VAR模型与B-ECM模型的结果次之;按照B-GARCH模型和ECM-B-GARCH模型估计的最优套期保值比率进行动态套期保值,风险降低程度最小。
Through the review on some methods to evaluate the optimal hedging ratio,and using the models including OLS,VAR, B-ECM, B-GARCH and ECM-B-GARCH and the measurement index proposed by Lien,this paper empirically studies the hedging performance and the optimal hedging ratio of soybean futures market in China. The results are as follow：for China＇s soybean futures market,the hedging performance of OLS model is superior to the other models on reducing the risk; the dynamic hedging models including B-GARCH and ECM-B-GARCH don＇t very well in evaluating the optimal hedging ratio.
出处
《技术经济》
2009年第1期62-66,共5页
Journal of Technology Economics
基金
武汉大学人文社会科学研究青年项目"交易成本对期货套期保值有效性的影响--理论
方法与中国实证"(08QNXM03)
