摘要
文章构建OLS、ECM和ECM-BGARCH三种模型,测度了港交所人民币期货最优套期保值比率,并对套期保值效果展开评价。研究发现:人民币在岸汇率和期货汇率呈现大致相同的增长和变化趋势,即存在长期协整关系,并且现货价格和期货价格之间的价差口径具有渐进收敛性特征。经过套期保值后的期货收益标准差全部小于未进行套期保值的标准差,说明套期保值能够起到降低汇率风险的作用。相较于OLS和ECM模型,通过ECM-BGARCH计算得出的最优套期保值比率可以将风险降到最小化,并得到最优套期保值效果。文章相关结论可为中国实体企业使用人民币期货进行套期保值,以规避外汇风险、减少汇兑损失提供方法支持。
This paper constructs three models of OLS, ECM and ECM-BGARCH to measure the optimal hedge ratio of RMB futures on the Hong Kong Stock Exchange evaluate the hedging effect. It is found that the onshore exchange rate of RMB and the futures exchange rate shows approximately the same growth and change trend, that is, there has been a long-term cointegration relationship, and the spread between the spot price and futures price has the characteristics of gradual convergence. After hedging, the standard deviation of futures return is all smaller than that without hedging, indicating that hedging can play a role in reducing exchange rate risk. Compared with OLS and ECM models, the optimal hedging ratio calculated by ECM-BGARCH can minimize the risk and obtain the optimal hedging effect. The conclusion of this paper can provide methodological support for Chinese entities to use RMB futures for hedging to avoid foreign exchange risks and reduce exchange loss.
作者
何剑
魏涛
甘如宁
He Jian;Wei Tao;Gan Runing(School of Economics and Management,Shihezi University,Shihezi,Xinjiang 832000,China;Finance Department,Shihezi Branch of China Telecom Co.,Ltd.,Shihezi,Xinjiang,832000,China)
出处
《新疆农垦经济》
2020年第2期79-85,共7页
Xinjiang State Farms Economy
基金
国家自然科学基金(项目编号:71863031)
新疆维吾尔自治区普通高等学校人文社会科学重点研究基地资助项目(编号:XJEDU2017RS056)
新疆维吾尔自治区文科基地项目(项目编号:XJEDU020217C02).
