摘要
为提高我国大豆加工企业的价格风险管理水平提供理论参考,基于套期保值理论,采用ARIMA模型和VAR模型对国内大豆和豆油的价格与基差变动进行预测,提出大豆加工企业的动态套期保值业务模式。结论:大豆加工企业应首先根据未来大豆和豆油价格变化趋势的预测,确定是否存在价格波动风险并决定是否进行套期保值;其次,根据现货和期货市场的价格波动情况确定合适的套期保值比率;最后,根据预测的基差变化趋势,动态调整套期保值的交易策略。
The price and basis change of soybean and soybean oil were predicted by using ARIMA and VAR models based on the hedging theory and then the dynamic hedging business pattern of soybean processing enterprises was proposed to provide a theoretical reference for improving price risk management level of soybean processing enterprises in China.The results showed that soybean processing enterprises firstly decide whether to hedge based on risk of price fluctuation according to the changing trend＆#39;s prediction results of future soybean and soybean oil price,secondly decide the suitable hedging ratio according to the price fluctuation situation of spot and future markets,and finally dynamically regulate the trading strategy of hedge according to the predicted basis change trend.
出处
《贵州农业科学》
CAS
2015年第4期239-242,246,共5页
Guizhou Agricultural Sciences
基金
吉林省教育厅"十二五"社会科学规划课题"油脂油料企业利用期货市场进行风险管理研究"[吉教科文合字(2011)第307]阶段性研究成果
