商品期货及其组合通胀保护功能的实证分析

Empirical study of inflation-hedging characteristics of commodity futures and its portfolio in China

通货膨胀风险及其规避问题是学术界和业界普遍关心的问题.由于我国尚未发行通胀保护债券,所以,在我国市场上开发通胀保护功能的金融产品更具难度.因而提出通过研究各类资产规避通货膨胀风险的能力,构建和设计能对冲通胀风险的金融产品的思路.对商品期货和各行业股票对冲通胀风险性质的研究结果显示,商品期货可以对冲通货膨胀风险尤其是未预期通货膨胀风险,但是行业股票不具备这种性质.构建了商品期货投资组合,检验结果显示该组合具有通胀保护能力.鉴于指数化投资的优点,揭示了商品指数基金是能够很好地规避通货膨胀风险的金融产品.

Inflation risk and inflation hedging are both academic and financial sector concerns. In China, we don＇t have such a financial tool as Treasury Inflation Protected Securities （TIPS） in the global market, thus it＇s more difficult to design and put forward some inflation protecting products. This paper points out that studying inflation hedging characteristics of different kinds of financial assets can help. This paper empirically tests inflation hedging characteristics of commodity futures and sector stocks in our market, the results show that commodity futures can provide a significantly effective hedge against unexpected inflation, but sector stocks cannot hedge against inflation. This character of commodity futures make itself a good tool to to consti- tute an inflation protecting product. Therefore, we sets up a portfolio of commodity futures, and the results show that this portfolio can provide a hedge against unexpected inflation. Our study reveals that commodity in- dex funds may be a good inflation hedging product.