新冠肺炎疫情下基于损失厌恶效用的玉米期货价格风险最优对冲策略研究

Research on the Hedging Strategy of Corn Futures Price Risk Based on Loss Aversion Utility under the COVID–19

新冠肺炎疫情的肆虐,给全球经济带来了巨大的冲击,粮食市场表现最为显著。流通成本上升、恐慌性需求突发等因素导致部分粮食价格大幅波动,给销售商和深加工企业带来了很大的风险。针对疫情期间粮食价格风险,本文首先对此期间玉米期货的价格风险进行评估。其次在损失厌恶效用最大化目标下构建玉米期货与玉米期权的行为套保策略。最后运用疫情期间真实数据对套保策略进行实证检验,并与OLS模型、ECM模型的套保结果进行对比分析,研究表明损失厌恶效用下的套保策略在短期内对企业管控粮食价格风险绩效更佳。

The outbreak of the COVID–19 has brought great impact to the global economy.The performance of the food market is the most prominent.The rising circulation cost and panic demand have led to the sharp fluctu-ation of some food prices,which has brought great risks to sellers and deep processing enterprises.In view of the food price risk during the epidemic period,this paper first evaluates the price risk of corn futures during this period,and then constructs the behavioral hedging strategy of corn futures and corn options under the goal of maxi-mizing the loss aversion utility.Finally,the real data during the epidemic period are used to conduct an empirical test on the hedging strategy.Through the comparison and analysis with the hedging results of the OLS model and the ECM model,the research shows that the hedging strategy under the loss aversion utility has better performance in the short term for enterprises to control the rísk of food prices.