基于期货风险溢价效应的套期保值行为模式

摘要

This paper firstly proves that the risk premium serves as a good proxy for net hedging demands. Then, based on the futures risk premium effect, a model is constructed to study how volatility and skewness of the spot price and the horizon influence hedgers' behaviors. The results show that hedgers are more likely to hedge when volatility of spot price and the horizon increase, that skewness has different impacts on the hedging behaviors and that the hedging behaviors vary across different contracts.%首先论证便利收益调整后的风险溢价是套期保值净需求的代理变量,然后构建基于期货风险溢价效应的模型来研究现货价格波动率、偏度和期限结构对套保行为的影响.结果显示随着现货波动率和到期期限增加,套期保值净需求增加；但现货价格偏度对套保影响的结果不一致,表明套保者会在一定条件下选择性套期保值；不同品种间套期保值行为存在明显差异.本文结论有助于理解套期保值的真实行为模式.