贵州农业科学
貴州農業科學
귀주농업과학
GUIZHOU AGRICULTURAL SCIENCES
2015年
4期
239-242,246
,共5页
大豆%价格波动风险%套期保值%ARIMA 模型%VAR 模型
大豆%價格波動風險%套期保值%ARIMA 模型%VAR 模型
대두%개격파동풍험%투기보치%ARIMA 모형%VAR 모형
soybean%price volatility risk%hedging%ARIMA model%VAR model
为提高我国大豆加工企业的价格风险管理水平提供理论参考，基于套期保值理论，采用ARIMA模型和 VAR 模型对国内大豆和豆油的价格与基差变动进行预测，提出大豆加工企业的动态套期保值业务模式。结论：大豆加工企业应首先根据未来大豆和豆油价格变化趋势的预测，确定是否存在价格波动风险并决定是否进行套期保值；其次，根据现货和期货市场的价格波动情况确定合适的套期保值比率；最后，根据预测的基差变化趋势，动态调整套期保值的交易策略。
為提高我國大豆加工企業的價格風險管理水平提供理論參攷，基于套期保值理論，採用ARIMA模型和 VAR 模型對國內大豆和豆油的價格與基差變動進行預測，提齣大豆加工企業的動態套期保值業務模式。結論：大豆加工企業應首先根據未來大豆和豆油價格變化趨勢的預測，確定是否存在價格波動風險併決定是否進行套期保值；其次，根據現貨和期貨市場的價格波動情況確定閤適的套期保值比率；最後，根據預測的基差變化趨勢，動態調整套期保值的交易策略。
위제고아국대두가공기업적개격풍험관리수평제공이론삼고，기우투기보치이론，채용ARIMA모형화 VAR 모형대국내대두화두유적개격여기차변동진행예측，제출대두가공기업적동태투기보치업무모식。결론：대두가공기업응수선근거미래대두화두유개격변화추세적예측，학정시부존재개격파동풍험병결정시부진행투기보치；기차，근거현화화기화시장적개격파동정황학정합괄적투기보치비솔；최후，근거예측적기차변화추세，동태조정투기보치적교역책략。
The price and basis change of soybean and soybean oil were predicted by using ARIMA and VAR models based on the hedging theory and then the dynamic hedging business pattern of soybean processing enterprises was proposed to provide a theoretical reference for improving price risk management level of soybean processing enterprises in China.The results showed that soybean processing enterprises firstly decide whether to hedge based on risk of price fluctuation according to the changing trend's prediction results of future soybean and soybean oil price,secondly decide the suitable hedging ratio according to the price fluctuation situation of spot and future markets,and finally dynamically regulate the trading strategy of hedge according to the predicted basis change trend.
