CAJ | 학술논문

本文用四种模型计算了四条国际干散货航线的远期运费套期保值比率并对其效率进行比较。样本内OLS效率最高，样本外时变G-DVEC效率最高，样本内外向量自回归模型的效率均居中。与中国铁矿石进口运输相关的C3和C5航线的套保效率比较高，样本内可以达到60％，样本外可以达到30％，既高于传统航线C4和CTC，也高于我国某些商品期货市场的套保效率。本研究认为，G-DVEC模型可以有效规避航运现货市场的价格波动风险，而OLS模型不宜用于套期保值操作。
본문용사충모형계산료사조국제간산화항선적원기운비투기보치비솔병대기효솔진행비교。양본내OLS효솔최고，양본외시변G-DVEC효솔최고，양본내외향량자회귀모형적효솔균거중。여중국철광석진구운수상관적C3화C5항선적투보효솔비교고，양본내가이체도60％，양본외가이체도30％，기고우전통항선C4화CTC，야고우아국모사상품기화시장적투보효솔。본연구인위，G-DVEC모형가이유효규피항운현화시장적개격파동풍험，이OLS모형불의용우투기보치조작。
This paper estimates hedging ratios of forward freight on 4 international dry lines by means of 4 models, and compares their performance. The performance under model OLS is the highest by in-samples, where as model time-varying G-DVEC is the best by out-samples, and Vector Autoregressive model in the middle by both in and out-samples. C3 ＆ C5, relating China＇s importing iron ore transport, have good hedging performance, reaching 60% by in-samples and 30% by out-samples, which are better than other two classic lines C4＆CTC and some Chinese commodity future markets as well. This study indicates that by means of G-DVEC should avoids price risk of shipping spot market effectively, but OLS is not suitable for hedging operations.