便利收益下碳排放动态套期保值效果

摘要

Stochastic price change of carbon emissions directly determines drastic investment risks of assets portfolio , and affects portfolio policy between spot and futures of carbon emissions. Based on term structure of the commodity futures price , the paper proposes a newly estimating method to determine dynamic hedge ratios and hedging effectiveness under the stochastic conve-nience yields. Dynamic hedge ratios exhibit close correlation with the parameters of volatility , covariance and correlation both spot and convenience yields, the time to maturity, the mean-reverting speed of convenience yields. Market participants can establish dynamic hedge ratios using the term structure parameters of carbon emissions price , real-timely optimize and adjust portfolio size between spot and futures with different maturities for carbon emissions. Compared with unhedged effectiveness of carbon emissions assets, hedging returns variance of carbon emissions assets exhibit a significantly inclining trend using dynamic two-factor hedge ratios, and then achieve better hedging effectiveness. In order to reduce market risks induced by drastic volatility of spot price of carbon emissions, market participants can optimize and adjust hedging ratios between spot and future using historical information of convenience yields, estimate optimal hedge ratios and effectively avoid investment risk of spot assets of carbon emissions, and then achieve best investment revenues of assets portfolio.%随机的碳排放价格变化直接导致资产组合的投资风险加剧，影响碳排放现货与期货资产的投资组合策略。依靠商品期货价格的期限结构，本文提出了一种新的在便利收益下动态套期保值比率及其套期保值效果评价方法。动态套期保值比率是由现货和便利收益的波动率、协方差及其相关系数、距离到期日时间、便利收益均值回复速度等参数存在紧密关联性。为了有效地规避碳排放现货价格剧烈波动所引发的市场风险，市场参与者利用便利收益的历史信息优化调整期货与现货的对冲比例，确定最优化的套期保值比率，可以有效规避现货资产的市场风险，实现资产投资组合最佳的投资收益。