铜期货套期保值比率模型的评价

Evaluation of Copper Futures Hedge Ratio Model

伴随着产业升级和时代变迁,大宗商品的价格变动更加剧烈,相关行业的价格风险也日益凸显。随着金融及其衍生品的飞速发展,套期保值成为相关企业规避风险的重要途径。但是,套期保值的低有效率,一直是制约相关企业运用套期保值规避风险的重要因素。因此,本文对比了目前学术界和商业界常用的几个模型,试图通过实证的方式,找出适合铜期货的套期保值比率最优模型。经过检测,考虑了时间序列间协整关系的ECM模型能够较好地测算套期保值比率。

With industrial upgrading and change of times,the price of bulk commodities changes more and more frequently,and the operational risk of related industries is also increasingly prominent.With the rapid development of finance and derivatives,hedging has become an important way for related enterprises to avoid risks.However,the low efficiency of hedging becomes an important factor restricting related enterprises to use hedging to avoid risks.Therefore,this paper compares several models commonly used in academic and commercial circles,and tries to find a suitable hedging model for copper futures through empirical method.After testing,the ECM model considering the cointegration relationship between time series can better measure hedging ratio.