在动物饲料市场上大豆和菜粕互帮互为替代品，为了研究用大豆主力期货为菜粕现货套期保值的功能，本文运用确定套期保值比率的OLS、VAR和ECM三个模型和套期保值绩效的衡量指标，对上述二者的套期保值比率和绩效进行了实证研究。结果显示，大豆主力期货和菜粕现货周数据的最佳套期保值比率是0.1338，套期保值绩效为0.0832。在本文中，从模型上看，ECM模型的套期保值比率和绩效比OLS和VAR模型要高，但利用样本数据所得的结果是OLS模型的套期保值比率和绩效比VAR和ECM模型要高。不过随着中国期货市场的逐步成熟，用大豆主力期货为菜粕现货套期保值功能将得到更好发挥，在以这些产品为原材料的企业的采购中将发挥更重要作用。
Soybeans and rapeseed meal in animal feed market are substitutes for the help each other in order to study the main futures soybean, rapeseed meal spot hedging function, the paper use the OLS to determine the hedge ratio, VAR and ECM three models and of preserving and increasing performance metrics, the hedge ratio and performance of the above two empirical studies. The results show that the optimal hedge ratio for soybean the main futures and rapeseed spot, weekly data is 0.1338, the hedging performance of 0.0832. In this article, from the model point of view, the hedge ratio and performance of the ECM model than the OLS and VAR models to be high, but the use of sample data obtained result is that the hedge ratio and performance of the OLS model is higher than the VAR and the ECM model . But with the gradual maturity of the futures market, the main futures soybean rapeseed spot hedging would be better to play in the corporate purchasing these products as raw materials will play a more (2012-05-20, WORD, 31KB, 下载12次)