基于GC-MSV模型的沿海干散货运费衍生品套期保值研究

Hedging Properties of Coastal Dry Bulk Freight Derivatives Based on GC-MSV Model

面对干散货航运运价波动,货主或者航运企业需要通过适当的方法进行风险管理,通过航运运费衍生品进行套期保值是一种主要的风险控制方法。本文采用GC-MSV、在最小方差准则下,研究了中国沿海煤炭运费衍生品的套期保值效果,估计了最优静态套期保值率和动态套期保值率,并与其他不同模型进行对比分析。从套期保值效果看,动态调整的GC-MSV模型优于其他模型,通过套期保值能降低20%～40%的波动率。尽管对资产方差降低的作用有限,沿海煤炭运费衍生品依然能够起到一定的对冲风险作用。

In the face of bulk freight rate fluctuations,the shipper and shipping companies need to take appropriate method to control the risk. Hedging through the shipping freight derivatives is one of the major methods. This paper using GC-MSV model,with the minimum variance criterion,studies the optimal hedge ratio of coastal bulk freight derivatives and hedging effect with the decrease of variance,and compares other models. According to the hedging effect,the GC-MSV model adjusting dynamically has better performance than the other two models. It can reduce 20% ~ 40% of the volatility through hedging. The coastal coal freight derivatives can hedge risk to some extent with the limit effect to reduce the assets variance.