基于便利收益的商品期货套期保值策略研究

Hedging Strategies of Commodity Futures Based on the Convenience Yield

依据便利收益是商品现货与期货长期均衡关系的主要影响因素,研究商品便利收益对商品期货套期保值策略的影响。通过求解最大化期望效用的套期保值决策模型,得到了最优套期保值比率的封闭解,并且提出了以便利收益为修正因子的ECT-GARCH模型,同时选取2005年01月到2013年10月期间沪铝现货和期货数据进行实证分析。研究发现:便利收益的波动性与套期保值比率呈负相关,在套期保值比率估计精度和套期保值绩效方面,ECT-GARCH模型均优于B-GARCH模型和ECM-GARCH模型。

It is an important reason that the convenience yield is one of main factors impacting the principle of the long-term equilibrium between commodity spot prices and futures prices, so we study the impact of the conven- ience yield on the hedging strategies of commodity futures. The closed solution of the optimal hedge ratio is obtained in terms of solving the hedging decision model with maximizing the expected utility function, then an ECT- GARCH econometric model with the convenience yield error correction factor is proposed to estimate the hedge ratio of commodity futures. Moreover, an empirical analysis is researched with the Shanghai aluminum futures and spot prices data from January 2005 to October 2013, it is found that there is a negative relation between the volatility of the change of the convenience yield and the hedge ratio, and the performance of ECT-GARCH model is better than that of both B-GARCH model and ECM-GARCH model in the estimation accuracy of the hedge ratio and the hedging efficiency.