摘要
2020年8月以来,粮价大涨,大豆、玉米等价格纷纷逼近历史高位,给粮食行业带来了一定的成本压力,更给人类生存带来了挑战。面对粮食价格上涨带来的价格风险,首先,本文基于DCCVAR-GARCH模型构建现货与期货套期保值策略进行价格风险管理,并基于中美玉米现货与期货真实数据对套期保值绩效进行评价。首先对2018~2020年中美玉米价格风险进行测度;其次,基于DCC-VARGARCH模型在最小方差准则下构建套期保值策略;最后,从单一风险角度(风险降低比率)以及风险—收益匹配角度(夏普比率)对套期保值绩效进行评价。
Since August 2020,food prices have risen sharply,with prices of soybeans and corn approaching record highs.It has brought certain cost pressure to the grain industry and moreover brought challenges to human survival.Faced with the price risk brought by rising grain prices,this paper proposes to construct a spot and futures hedging strategy based on the DCC-VAR-GARCH model for price risk management,and evaluate the hedging performance based on real data of corn spot and futures in China and the United States.This paper first measures the price risk of China-US corn from 2018 to 2020.Then,the hedging strategy is constructed based on the DCC-VARGARCH model under the minimum variance criterion.Finally,the hedging performance is evaluated from a single risk perspective(risk reduction ratio)as well as from a risk-return matching perspective(Sharpe ratio).
作者
李思捷
王曦宇
郭文旌
Li Sijie;Wang Xiyu;Guo Wenjing(Institute of Food and Strategic Reserves,Nanjing University of Finance and Economics,Nanjing,210003,China;School of Finance,Nanjing University of Finance and Economics,Nanjing,210003,China)
出处
《粮食经济研究》
2022年第1期65-82,共18页
Food Economics Research
基金
2020年度江苏省社科基金项目(20EYB008)
2020年江苏省研究生科研创新计划(KYCX20_1271)
2021年度服务国家特殊需求博士人才科研专项课题(BSZX2021-18)
