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最优套期保值比率的确定是套期保值理论的核心问题。本文运用传统的最小二乘线性回归模型(OLS)和误差修正模型(ECM)分别对燃料油期货市场的最优套期保值比率进行了估计,并对套期保值的效果进行比较分析。结果表明:基于协整的误差修正模型估计的最优套期保值比率具有较好的保值效果。
The determination of the optimal hedge ratio is the core issue of hedging theory. In this paper, we use the traditional least squares linear regression model (OLS) and the error correction model (ECM) to estimate the optimal hedging ratio of the fuel oil futures market, and compare and analyze the hedging effect. The results show that the optimal hedging ratio estimated by the cointegration-based error correction model has better hedging effect.