生猪期货套期保值绩效实证分析

生猪期货套期保值绩效实证分析摘要中国是猪肉产销大国，维持猪肉的供需平衡和价格稳定对我国国民的经济和生活是非常重要的。近几年，新冠肺炎疫情的爆发以及非洲猪瘟的蔓延使得我国生猪产业面临较为严峻的价格风险，急需对其进行有效的风险规避，因此，以套期保值为功能的期货市场备受关注。由于生猪期货上市较晚，国内对生猪期货的研究还停滞在价格发现居多，缺乏对生猪期货套期保值效果的认识和评价，所以本文以生猪期货为研究对象对其套期保值绩效进行研究，为生猪产业利用生猪期货合理规避风险提供认识和参考。本文先对套期保值理论发展及研究背景进行了梳理：接着对相关概念及估计模型进行了概述：最后将生猪期货现货价格处理得到的对数收益率序列作为分析变量，多方选用OLS、ECM、VAR、GARCH等计量模型测算套保比率，基于最小风险评估法对其套保效果进行评估。本文研究发现，生猪期、现市场具有高度的相关性，且时序数据较平稳，可进行套期保值操作，并且进行套保操作都能在一定程度上降低组合的风险水平。本文实证结果显示：OLS模型的套保效果和规避风险的能力最好，因此，套保者在进行生猪期货套期保值的操作时，可选择OLS模型估算最优套保比率，以望达到最好的套保效果，此发现对我国民生物价的稳定性提供一定的效用。关键词：生猪期货：套期保值：0LS模型：绩效分析：Empirical Analysis on hedging performance of pig futuresAbstractChina is a major producer and marketer of pork.Maintaining the balance between supplyand demand and price stability of pork is very important to China's national economy and life.In recent years,covid-19 outbreak and the spread of African swine fever have made China'spig industry face more severe price risk.It is urgent to avoid risk effectively.Therefore,thefutures market with hedging function has attracted much attention.Due to the late listing ofpig futures,the domestic research on pig futures is still stagnant in price discovery,and thereis a lack of understanding and evaluation of the hedging effect of pig futures.Therefore,thispaper takes pig futures as the research object to study its hedging performance,so as toprovide understanding and reference for the pig industry to use pig futures to reasonablyavoid risks.Firstly,this paper combs the development and research background of hedgingtheory;Then it summarizes the related concepts and estimation models;Finally,taking thelogarithmic yield series obtained from the spot price processing of pig futures as the analysisvariable,we choose OLS,ECM,VAR,GARCH and other measurement models to calculatethe hedging ratio,and evaluate its hedging effect based on the minimum risk assessmentmethod.This study found that the pig market and the current market have a high correlation,and the time series data are relatively stable.Hedging operation can be carried out,andhedging operation can reduce the risk level of the portfolio to a certain extent.The empiricalresults show that OLS model has the best hedging effect and risk aversion ability.Therefore,when hedging pig futures,hedgers can choose OLS model to estimate the optimal hedgingratio in order to achieve the best hedging effect.This finding provides a certain utility for thestability of people's livelihood prices in China.Keywords:Pig futures;Hedging;OLS model;Performance analysis;目录一、引言(一)研究背景(二)研究目的与意义.21、研究目的…22、研究意义..2(三)文献综述.2(四)研究思路与内容3(五)研究方法与技术路线.4(六)创新与不足51、创新之处….52、不足之处5二、相关理论与模型概述…5(一)基本概念….51、期货市场.52、生猪期货….53、套期保值….54、基差…65、套期保值比率6(二)套期保值理论…71、传统套期保值理论.72、基差逐利套期保值理论….83、现代套期保值理论8(三)最优套保比率估计模型。81、普通最小二乘法(0LS)模型.82、双变量向量自回归(VAR)模型.93、误差修正(ECM)模型94、广义自回归条件异方差(GARCH)模型10(四)套期保值绩效评价方法101、套期保值绩效的评价方法102、套期保值绩效的评估模型.10三、实证分析(一)数据的选取和处理.1l1、数据选取….....2、数据的处理与定义…........(二)数据检验…121、数据的描述性统计分析。2、数据的相关性分析.….133、平稳性检验134、ARCH效应…13(三)最优套保比率估计结果