国内外棉花现货价差风险度量研究

Risk Measurement of Cotton Spot Price Gap at Home and Abroad

中国是棉花进口大国,在目前流行的点价交易模式下,企业面临国内外价格同时波动的风险,即国内外价差风险。研究发现,价差差分没有明显的自回归特征,但随其方差变化而变化,说明棉花进口贸易有高收益高风险的特征;国内外棉花现货价差风险的度量,可以选择价差差分正态下的GARCH-M与Fisher调整相结合的模型;价差的波动有其内在因素,一般情况下价差比较平稳,但当一头或者两头市场出现大幅波动时,价差风险也会迅速上升。因此,企业对国内外棉花现货价差风险要保持高度警觉,在面临双向风险时,要做好风险控制。

China is a big country of cotton import,in the current popular point price trading mode,enterprises are facing the risk of domestic and foreign prices volatility at the same time,that is,the risk of price gap at home and abroad.This study found that the difference of price gap was no significant autoregressive features,but varied according to the variance changes,showed the characteristics of high benefit and high risk of cotton import trade.Measuring the risk of cotton spot price gap can select the combination model of GARCH-M and Fisher adjustment with the difference of price gap under normal distribution.Fluctuations in the price gap had its inherent factors,in general,the price gap was relatively stable,but when one or two markets appeared sharp fluctuations the risk of the price gap would be a rapid rise.Therefore,enterprises should maintain a high degree of vigilance to the cotton spot price gap risk,in the face of two-way risk,to do a good job of risk control.