CAJ | 학술논문

为了更好地发挥农产品期货的避险功能,本文考察了基差和＂消息＂对期货套期保值比率的非对称影响。本文选取了2008年5月至2012年2月的大豆、棉花、白糖和菜油四种代表性农产品的期现货数据进行实证分析,结果表明：①4种农产品期现货对数价格都是非平稳的,并且存在协整关系,协整向量靠近（1,-1）,从而套期保值过程中有必要考虑基差的影响;②基差和＂消息＂对期现货的对数收益的波动率以及相关系数均存在非对称效应;③对于样本内估计和样本外预测结果,与静态模型以及DCC-GARCH模型相比,考虑基差和＂消息＂的非对称效应模型能更大程度地降低风险,因此套期保值过程中基差和＂消息＂的非对称效应不可忽略。
위료경호지발휘농산품기화적피험공능,본문고찰료기차화＂소식＂대기화투기보치비솔적비대칭영향。본문선취료2008년5월지2012년2월적대두、면화、백당화채유사충대표성농산품적기현화수거진행실증분석,결과표명：①4충농산품기현화대수개격도시비평은적,병차존재협정관계,협정향량고근（1,-1）,종이투기보치과정중유필요고필기차적영향;②기차화＂소식＂대기현화적대수수익적파동솔이급상관계수균존재비대칭효응;③대우양본내고계화양본외예측결과,여정태모형이급DCC-GARCH모형상비,고필기차화＂소식＂적비대칭효응모형능경대정도지강저풍험,인차투기보치과정중기차화＂소식＂적비대칭효응불가홀략。
We investigates the asymmetric effect of basis and news on the hedging ratio to improve the hedging performance of Chinese agricultural futures.The empirical research based on the spot and futures data of soybean,cotton,sugar and vegetable oil from May 2008 to February 2012 shows that：（1） The logarithmic price of the futures and spots are non-stationary and the co-integrated vectors are all nearly equal to（1,-1）,which implies that we should take the basis into consideration for hedging;（2） Evidence is found of asymmetric effects of positive and negative basis and news on the return and the risk structure of spot and futures markets;（3） The in-sample and out-of-sample comparison results indicate that compared to the static models and traditional DCC-GARCH model,the asymmetric effect models provide the best hedging strategy for all products examined,hence it is necessary to consider the asymmetric effects of basis and residuals in the hedging process.