蛋鸡养殖企业产业链套期保值方案

Industry chain hedging plan of laying hens breeding company

针对蛋鸡养殖企业利润波动较大的问题,本研究运用鸡蛋、玉米和豆粕期货设计产业链套期保值方案,通过OLS、B-VAR和ECM模型估计套期保值比率,对比分析套期保值的效果。结果表明:1)鸡蛋、玉米和豆粕3个品种的期货价格与现货价格分别表现为高度相关,为套期保值提供了可能性;2)预计未来期间内鸡蛋价格存在下跌风险时,蛋鸡养殖企业可以提前卖出鸡蛋期货进行套期保值,同时买入玉米和豆粕期货,降低现货利润波动的风险;3)在所选取时间阶段内OLS模型估计套期保值比率的效果比B-VAR和ECM模型更好,套期保值后的收益均值更高且标准差更低。因此,蛋鸡养殖企业可以运用期货市场进行产业链套期保值,降低企业面临的市场风险。

In view of the problem of large fluctuations in the profit of laying hens breeding company,this study uses egg,corn and soybean meal futures to design industry chain hedging plan,estimates the hedging ratio through OLS,B-VAR and ECM models,and finally compares and analyzes the effect of hedging.The results show that:1)The futures prices of eggs,corn and soybean meal are highly correlated with spot price,so that the feasibility of hedging is provided;2)When the egg price is expected to fall in the future period,the egg chicken breeding company can sell egg futures in advance for hedging,while buying corn and soybean meal futures to reduce the risk of spot profit fluctuations;3)The effect of hedging with the hedging ratio estimated by the OLS model is better than those estimated by the ECM model and the B-VAR model over the selected time period,that is,the hedging value is higher and the standard deviation is lower.Therefore,the egg producers can use the futures market for industry chain hedging to reduce the market risk.