CAJ | 학술논문

本文基于套期保值压力效应的视角主要从商品期货合约本身的套期保值压力和交叉套期保值压力两个方面对我国农产品、能源化工和金属商品期货的风险溢价进行测度和分析。实证研究表明：当控制系统风险后,商品期货本身的套期保值压力与存在于组内的交叉套期保值压力均显著地影响期货的风险溢价。最后,本文引入价格压力变量以检验期货风险溢价模型的稳健性,当控制价格压力后,这两种套期保值压力效应仍然显著地存在。
본문기우투기보치압력효응적시각주요종상품기화합약본신적투기보치압력화교차투기보치압력량개방면대아국농산품、능원화공화금속상품기화적풍험일개진행측도화분석。실증연구표명：당공제계통풍험후,상품기화본신적투기보치압력여존재우조내적교차투기보치압력균현저지영향기화적풍험일개。최후,본문인입개격압력변량이검험기화풍험일개모형적은건성,당공제개격압력후,저량충투기보치압력효응잉연현저지존재。
Due to the fluctuation of international commodity price and China＇s imperfect pricing mechanism of commodity futures in recent years,the uncertainty of China＇s commodity futures market has increased greatly. China still has no influence on international commodity price. The determinants of China＇s commodity futures risk premium are an integral part of China＇s commodity futures pricing mechanism. Therefore,discussion on factors of commodity futures risk premium has great academic and practical implications on optimizing China＇s commodity futures pricing mechanism.We conduct t-tests to assess the average correlation between each futures contract risk premium and their underlying commodity risk premium by using different estimation methods. We also try to understand the influence of systematic risk and own hedging pressure on the futures risk premium. Secondly,we analyze the influence of cross hedging pressure on the futures risk premium by using wald-tests and corresponding p-values. Finally,this paper tests the robustness of futures risk premium model. In this paper,we model futures risk premium in terms of the covariance of futures returns with the market return and hedging pressure variables. Own hedging pressure and cross hedging pressure variables are regarded as important factors in explaining the futures risk premium.Firstly,this paper analyzes risk premium based on hedging pressure effects,mainly from own hedging pressure and cross hedging pressure of 12 kinds of commodity futures contract including agricultural products,energy,and chemical industry and metal futures.Secondly,when considering the market risk both own hedging pressure and cross hedging pressure within the group significantly affect the future risk premium. Finally,this paper tests the robustness of the empirical results. The empirical results show that both own hedging pressure and cross hedging pressure within the group significantly affect the futures risk premium.To sum up,these two kinds of hedging pressure effects remain significant even after controlling market risks and price pressures.