CAJ | 학술논문

本文应用基于条件多元t分布的DCC-MVGARCH模型研究CERs期货价格收益同能源期货价格收益之间的动态相依关系,旨在探讨跨品种套期保值的可行性及操作策略,为国内减排企业及时对冲CERs价格波动风险提供经验依据。实证结果显示：CERs期货价格收益和能源期货价格收益之间存在正相关性;相较Euro天然气期货合约与GlobalCoaL期货合约,BRenT原油期货合约更适用于构造套期保值组合;以动态条件相关系数测算时变套期保值比率明显降低了组合收益的方差并提升了组合收益的均值,其套期保值绩效要优于条件相关系数。基于此结果本文认为,国内减排企业应当积极采取相关套期保值策略并定期更新动态条件相关系数均值,政府主管部门亦应着手实施碳资源战略储备以对冲风险。
본문응용기우조건다원t분포적DCC-MVGARCH모형연구CERs기화개격수익동능원기화개격수익지간적동태상의관계,지재탐토과품충투기보치적가행성급조작책략,위국내감배기업급시대충CERs개격파동풍험제공경험의거。실증결과현시：CERs기화개격수익화능원기화개격수익지간존재정상관성;상교Euro천연기기화합약여GlobalCoaL기화합약,BRenT원유기화합약경괄용우구조투기보치조합;이동태조건상관계수측산시변투기보치비솔명현강저료조합수익적방차병제승료조합수익적균치,기투기보치적효요우우조건상관계수。기우차결과본문인위,국내감배기업응당적겁채취상관투기보치책략병정기경신동태조건상관계수균치,정부주관부문역응착수실시탄자원전략저비이대충풍험。
In this paper,by applying the extended DCC - MVGARCH model which is based on conditional multivariate t distribution, we analyze the dynamic correlation between CERs futures prices and energy futures prices. The paper aims to explore the feasibility and operation strategy of cross - species hedge, and give empirical evidence to help domestic enterprises hedge price fluctuation risks in a timely manner. Empirical results show that：positive correlation exists between CERs futures prices and energy futures prices; compared to the Euro natural gas futures contracts and GlohalCoaL futures contracts, BRenT crude oil futures contract is more applicable for constructing hedging portfolio ; measuring the time - varying hedge ratio with dynamic correlation coefficient can significantly reduce the portfolio returns variances and improve the mean, and its hedging performance is superior to that of conditional correlation coefficient. This paper argues that domestic emission reductions enterprises should actively take hedging strategy and regularly update the mean of the dynamic conditional correlation coefficient, and the government departments should also begin to implement strategic reserve of carbon resources to hedge risks.