套期保值对金融风险的约束研究

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3.0 高德中 2024-11-19 6 4 2.7MB 50 页 15积分

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摘要

现货市场和期货市场的套期保值操作是当代企业面对资产不断波动的一种风

险规避策略，标的资产及相应期货品种之间的价差、宏观经济走势、国家层面政

策以及外部因素影响等因素制约着套期保值的效果。套期保值操作不仅意味着风

险的减缓或规避，同时也表明期、现市场的反方向操作允许企业付出少量的金额

对冲较大的风险，丧失在同向或单向操作可能存在的利润机会。研究套期保值资

产组合中期、现资产的最优配置，可以减少企业持续性运营成本的付出，有利于

企业做大做强以实现跨越式发展，从而在总体上完善中国金融市场的结构，使中

国金融市场能够健康发展并最终确立全球资产定价中心的位置。

本文首先从国际原材料价格、国际信贷状况、外盘股市表现和对安全资产的

偏好程度等外部因素着手，实证考察原油、三月期伦敦银行间同业拆借利率与三

月期美国国债利率之差（TED）、道琼斯工业平均加成指数、黄金以及上证综指

之间的有机联系。研究结果显示，这些因素之间存在一个长期均衡关系，通过

Granger 检验显示，TED、道琼斯工业平均加成指数和伦敦金报价都是上证综指

的Granger 原因，国际原油价格与上证综指互为 Granger 原因。尽管中国资本市

场日趋完善，但外部因素在短期动态模型和长期均衡模型中都很显著，依赖能源

的低效率消耗以及出口驱动的经济发展模式过去是、现在也是中国经济前行的动

力。

其次，本文就中国出口面临贸易壁垒的困境进行动态博弈分析。基于财富效

用转移机制，从贸易壁垒、合作和贸易限制范围扩大等层面建立进出口国之间的

动态博弈模型。结果显示：对贸易链低端市场放宽出口产品许可限制范围，协助

出口国产业升级将改善贸易失衡。紧缩缓冲区间和加大贸易限制力度，对进口国

经济产生正向激励。应对贸易壁垒的最佳策略为合作策略，应该防止贸易壁垒的

进一步扩大。

再次，通过两变量套保模型,根据方差最小原则，研究最优套期保值比和套

保效率。鉴于在面临贸易制约的情况下，应该采取合作策略这一现实情形，不宜

直接使用定量模型给出的最优套期保值比，而应用该值的 95%。在此基础上，根

据中国金融市场受到外围多因素影响的实证结论，加入黄金现货资产这一外围变

量，建立了多元 GARCH 模型，研究经调整后的最优套期保值比和套保效率。

最后发现：在经济低迷时期，加入黄金外部影响因子的效果好于单纯在标的

资产和期货产品之间的套期保值。另外建议：出口导向型国家制定最佳贸易危机

相关应对策略即合作策略时，可将实际使用套期保值比调整为定量模型给出之最

佳套期保值比的 95%，从而减少套期保值的成本。

关键字：动态博弈协整多元 GARCH 模型套期保值金融风险

ABSTRACT

Hedging between spot market and futures markets is a risk-avoid strategy which

deals with the asset constant fluctuations for contemporary enterprise. Factors such as

basis, macro-economic trend, national level policies, external factors, and so on effect

hedging. Hedging does not only mean slow or circumvent risk, but also spots and

futures operation of the market in the opposite direction to allow small businesses to

pay a smaller amount of money to hedging the risk of loss in the same direction, and

also miss a one-way or same-way operation of the profit opportunities that may exist.

Study hedge portfolio to get the optimal asset allocation can reduce ongoing operating

costs which businesses may pay, and will help the enterprises become bigger and

stronger in order to achieve leap-forward development, thereby improving the overall

structure of China's financial markets, so that the healthy development of China's

financial markets a global asset pricing center position ultimately established.

At first, based external factors such as on international raw material prices, the

international credit conditions, outside stock market performance, the degree of security

assets and so on, to start with empirical investigation of crude oil, TED, the Dow Jones

Industrial Average additive index of the organic relationship between gold and the

Shanghai Composite contact. The results showed that among these factors there is a

long-run equilibrium relationship, through the Granger tests showed, TED, the Dow

Jones Industrial Average additive index, the London gold is the Shanghai Composite

Granger reasons, the international crude oil prices and the Shanghai Composite Granger

cause each other. Although China's capital markets are maturing, the external factors in

this dynamic model of short-term and long-term equilibrium model are significant,

dependent on energy consumption and low efficiency in export-driven economic

development model, and now also the driving force of China's economy forward.

Secondly, investigate China export trade barriers faced by the dynamic game

analysis. Based on wealth transfer mechanism, from the trade barriers, expand the scope

of cooperation and trade restrictions such as import and export of the country level,

establish a dynamic game model. The results show the relaxation of the trade chain, the

low-end market, export licensing limits. To assist exporters of industrial upgrading will

improve the trade imbalance. The importing countries tighten trade restrictions and

increase the buffer zone when the economy in bad environment will generate positive

incentives. The optimum strategy is cooperation after the trade barriers set up, which

could prevent the further expansion of trade barriers.

Thirdly, according to trade under constraints, facing the reality of a cooperative

strategy, this paper establish the model calculated the optimal hedge ratio of 95% as the

adjusted hedge ratio, according to Chapter III of the China's financial markets affected

by external the impact of multi-factor empirical conclusions, adding the external

variable, spot gold assets, and establish multi-GARCH model, then adjustment, the

optimal hedge ratio and calculate hedging efficiency.

Finally, through two variable sets of security model, based on the principle of

minimum variance, to study the optimal hedge ratio and hedging efficiency. Based on

the works above, this paper found that in the economic downturn by adding an external

impact factor of gold is better than the effect of hedging simply allocate the underlying

asset and futures. In addition, this article suggests, when export-oriented countries

develop the best trade crisis-related strategies which co-operation strategy, the actual

use of hedge ratio can be adjusted to 95% of best hedge ratio which a model recommend,

thereby reducing the cost of hedging.

Key Word ：Dynamic game, Co-integration, Multi-GARCH,

Hedging，Financial risk

中文摘要

ABSTRACT

第一章绪论 .................................................................................................................. 1

§1.1 选题背景 ........................................................................................................... 1

§1.2 研究意义 .......................................................................................................... 1

§1.3 本课题国内外研究现状述评 ........................................................................... 4

§1.3.1 常数方差条件下的套期保值研究状况 ................................................ 5

§1.3.2 方差时变条件下的套期保值研究状况 ................................................ 5

§1.4 本文主要内容和章节结构 .............................................................................. 6

第二章基于两变量视角的套期保值 ............................................................................ 7

§2.1 频率统计模型及检验 .................................................................................... 7

§2.1.1 最小二乘法模型 .................................................................................... 7

§2.1.2 二元向量自回归模型 ............................................................................ 7

§2.1.3 二元向量误差修正模型 ........................................................................ 8

§2.1.4 带前一期误差修正项的二元广义自回归条件异方差模型 ................ 8

§2.1.5 统计检验 ................................................................................................ 9

§2.2 Bayes估计 ..................................................................................................... 9

§2.3 实证 ..............................................................................................................11

第三章外围变量选择及套期保值效果评估标准 ...................................................... 14

§3.1 中国股市及外部因素的协整研究 .............................................................. 16

§3.1.1 模型建模步骤 ...................................................................................... 16

§3.1.1.1 单位根检验 ....................................................................................... 16

§3.1.1.2 Johansen协整检验 ............................................................................. 17

§3.1.1.3 向量误差修正模型 ........................................................................... 19

§3.1.1.4 Granger因果检验 ............................................................................... 19

§3.1.1.5 脉冲响应及方差分解 ....................................................................... 20

§3.1.2 实证分析 .............................................................................................. 21

§3.1.3 结论 ...................................................................................................... 27

§3.2 贸易壁垒及应对策略的动态博弈研究 ...................................................... 28

§3.2.1 背景 ...................................................................................................... 28

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摘要：

摘要现货市场和期货市场的套期保值操作是当代企业面对资产不断波动的一种风险规避策略，标的资产及相应期货品种之间的价差、宏观经济走势、国家层面政策以及外部因素影响等因素制约着套期保值的效果。套期保值操作不仅意味着风险的减缓或规避，同时也表明期、现市场的反方向操作允许企业付出少量的金额对冲较大的风险，丧失在同向或单向操作可能存在的利润机会。研究套期保值资产组合中期、现资产的最优配置，可以减少企业持续性运营成本的付出，有利于企业做大做强以实现跨越式发展，从而在总体上完善中国金融市场的结构，使中国金融市场能够健康发展并最终确立全球资产定价中心的位置。本文首先从国际原材料价格、国际信贷状况、外盘股市表现和...

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