基于棉农角度的棉花期货最优套期保值比率估计

Estimation of Optimal Hedge Ratios Based on the Cotton Farmer

对棉农而言,国内现有关于棉花期货最优套保比率的研究存在明显不足。文章分别用OLS与ECM方法估计了不同套保期限下棉花期货最优套保比率,结果显示两种方法得到的最优套保比率和套保效果相差极小,而不同套保期限的套保效果却显著不同:套保期限越长,最优套保比率就越大,套保效果也越好。故对棉农而言,在棉花种植时即进行套期保值能更好地对冲风险;此外,随着棉花期货市场的发展,套保的有效性会不断增强,棉农运用期货能更好地规避价格风险。

Cotton futures is an important tool to avoid the risk of cotton price fluctuation for the cotton farmer, but there is an obviously deficiency in the domestic study of the optimal hedging ratios of cotton futures： none of the studies provided a simple and operable hedging project for the cotton lamer. This paper estimates the optimal hedging ratios of cotton futures by applying OLS and ECM methods. The results show that the difference between the two estimations is small, but the difference between the estimation in different hedging term is big： the longer the hedge term is, the bigger the hedge ratio is, and the better the hedging performance is. For the cotton farmer, more risks can be reduced if he undertakes the hedging when the cotton is planted in spring. With the development of cotton future market, hedge will become more and more effective.