国际干散货航运市场的动态套期保值效率研究

摘要

This article has estimated the optimal hedging ratio of C3 and C5 routes with asymmetric BEKK model ,compared with the results of static hedging model (OLS model ,B‐VAR model and VEC model B) and other dynamic hedging model (DVEC and diagonal BEKK models) ,and improved the defi‐ciency in performance evaluation of the existing hedging model .The results show that in terms of the hedging ratio of C3 and C5 models ,the OLS hedging ratio of static hedging model is the largest ,and asym‐metrical BEKK dynamic hedging ratio of the dynamic model is the largest .Comparing the hedging efficien‐cy of C3 and C5 routes ,the results show that asymmetric BEKK models can be used to calculate the opti‐mal hedging ratio ,w hich is the most appropriate ,of highest effectiveness ,and closer to the reality .%利用非对称BEKK模型对C3和C5航线最优套期保值比率进行了估计，并与静态套期保值模型（OLS模型、B‐VAR模型、B‐VEC模型）以及其他动态套期保值模型（DVEC、对角BEKK模型）的结果进行比较。针对现有套期保值模型的绩效评价缺陷进行了改进。结果表明，从C3和C5模型下的套期保值比率来看，静态套期保值模型中OLS的套期保值比率最大，动态模型中非对称BEKK的动态套期保值比率最大。从C3和C5航线的套期保值效率比较，结果表明，用非对称BEKK模型来计算最优套期保值比率最合适，有效性最高，更接近于现实。