動態原油期貨避險—以WTI原油期貨為例

Dynamic Hedging in WTI Crude Oil Futures

謝文耀(Wen-Yao Hsieh)

指導教授 ： 林師模

中原大學/商學院/國際貿易研究所/碩士(2007年)

https://doi.org/10.6840/cycu200700724

摘要

近年來能源價格的飆漲，使得對能源依賴度高的台灣進口能源的負擔大幅度地增加，而因能源價格大幅變動所帶來的各種財務風險及能源供應安全議題，也益發受到重視。在眾多進口能源中，尤以原油對於台灣人民生活的影響最大，基於此，本研究在極小化財富變化下，希望能找出以原油期貨以及其他金融商品進行原油避險，其避險策略為何；同時也計算其最適之動態避險比率，並討論其績效。
本研究所採用的資料頻率為日，樣本資料期間為2000年7月12日至2007年1月17日，分析變數共有WTI原油現貨價格、紐約交易所原油期貨價格、紐約交易所煤期貨價格及美元兌台幣即期匯率與遠期外匯匯率。本研究分析之策略避險工具有四，分別為：策略一為原油期貨、策略二為煤期貨、策略三為原油期貨與遠期外匯，策略四為原油期貨和煤期貨。本研究所採用的研究方法主要係多變量GARCH，並利用Engle and Kroner （1995）以新的參數化形式來克服正定之問題的BEKK模型，來計算各策略下最適動態避險比率所需的條件（共）變異數，再利用 、 、 三種指標來評估各避險策略的績效，找出在不同的避險目的下最適之避險策略。
研究結果顯示，動態避險比率在為一定態序列，故避險比率為一圍繞在一平均值下的數列；在交易策略方面，在動態的避險策略下交易策略也會隨時間變化有所改變，並非皆為買進或賣出。交易策略方面會因以次數或是以均值來評斷的方式不同進而在避險策略上也會隨之不同。

關鍵字

BEKK模型 ； 多變量GARCH模型 ； 原油避險

並列摘要

The substantial increase in energy prices over the past several years has put great pressure on energy supply and economic security of economies that rely heavily on imported energy, such as Taiwan. Among the energies imported, crude oil is regarded as the one that has the closest relationship with the normal life of Taiwan people. As such, this study intends to estimate the optimal dynamic hedging ratios and their associated performance based on oil and other commodities’ future prices. The estimation will also be based on the principle that minimizes the change in a representative agent’s wealth. Hedging strategies will then be formulated for firms with different characteristics.
The data frequency of this study is daily. Data period spans from 12/07/2000 to 17/01/2007. Variables considered include NYMEX’s WTI crude oil, NYMEX’s crude oil futures, NYMEX’s coal futures, exchange rate for USD/NTD and its forward. Hedge instruments used for different strategies are as follows: Strategy 1: crude oil futures; Strategy 2: coal futures; Strategy 3: crude oil futures and exchange rate forward; and Strategy 4: crude oil futures and coal futures. The research method used is multi-variate GARCH model, and the conditional variances and covariances needed for computing optimal dynamic hedge ratios are calculated by BEKK estimation method due to Engle and Kroner (1995). The BEKK method makes sure that H matrix is always positive definite.
Three performance indices: , and are used to evaluate each strategy’s performance. Our results reveal that dynamic hedge-ratio series are all stationary, implying that hedge ratios are numbers that jumping up and down around a constant mean. Under dynamic hedging, trading strategies should change as time moves. Performance index will also have some influences on trading strategy as well.

並列關鍵字

Hedging in crude oil ； BEKK model ； Multivariate GARCH model

參考文獻

羅莉莉 （2004），「期貨市場交叉避險策略分析-以銅商品交易為例」，中原大學會計研究所未出版碩士論文。

Akgiray, V.（1989）. “Conditional Heterosecdasticity in Time Series of Stock Return：Evidence and Forecasts,” Journal of Business. 62, pp.55-80.

Baillie, R. T., R. J. Myers (1991). “Bivariate Garch Estimation of the Optimal Commodity Futures Hedge,” Journal of Applied Economics.vol.6, pp.109-124.

Chan, H. L., S. K. Lee（1997）“Modelling and forecasting the demand for coal in China,”Energy Economics. 19, pp.271-287.

Chen, K. C., R. S. Sears, and D. N. Tzang (1987).“Oil Price and Energy Futures,” The Journal of Futures Markets. 17, pp.501–508.