中国农产品期货套期保值非对称效应研究

The Study of Asymmetric Effects for Hedging of Chinese Agricultural Products

为了更好地发挥农产品期货的避险功能,本文考察了基差和"消息"对期货套期保值比率的非对称影响。本文选取了2008年5月至2012年2月的大豆、棉花、白糖和菜油四种代表性农产品的期现货数据进行实证分析,结果表明:①4种农产品期现货对数价格都是非平稳的,并且存在协整关系,协整向量靠近(1,-1),从而套期保值过程中有必要考虑基差的影响;②基差和"消息"对期现货的对数收益的波动率以及相关系数均存在非对称效应;③对于样本内估计和样本外预测结果,与静态模型以及DCC-GARCH模型相比,考虑基差和"消息"的非对称效应模型能更大程度地降低风险,因此套期保值过程中基差和"消息"的非对称效应不可忽略。

We investigates the asymmetric effect of basis and news on the hedging ratio to improve the hedging performance of Chinese agricultural futures.The empirical research based on the spot and futures data of soybean,cotton,sugar and vegetable oil from May 2008 to February 2012 shows that：（1） The logarithmic price of the futures and spots are non-stationary and the co-integrated vectors are all nearly equal to（1,-1）,which implies that we should take the basis into consideration for hedging;（2） Evidence is found of asymmetric effects of positive and negative basis and news on the return and the risk structure of spot and futures markets;（3） The in-sample and out-of-sample comparison results indicate that compared to the static models and traditional DCC-GARCH model,the asymmetric effect models provide the best hedging strategy for all products examined,hence it is necessary to consider the asymmetric effects of basis and residuals in the hedging process.