原油進口之動態避險策略分析

Dynamic Hedging in WTI Crude Oil Futures

林師模(Shih-Mo Lin) ； 謝文耀(Wen-Yao Hsieh) ； 林晉勗(Jin-Xu Lin)

《農業與資源經濟》 6卷2期 (2009/12) Pp. 1-27

https://doi.org/10.29796/ARE.200912.0001

摘要

近年來能源價格飆漲，使得對進口能源高度依賴的台灣在進口能源時的負擔大幅度地增加，也使得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，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，本文在極小化購油成本變動下，希望能找出以原油期貨以及其他金融商品進行原油避險時之避險策略；同時也計算最適之動態避險比率，並討論其績效。 本文以2000年7月12日至2007年1月17的WTI每日現貨收盤價，搭配紐約交易所原油期貨價格、燃煤期貨價格，以及美元兌新台幣遠期外匯組成四個避險策略，再利用多變量GARCH計算各期最適動態避險比例，並在比較不同目標下四種避險策略的優劣後，針對進口原油之公營及民營企業提出避險策略建議。本文研究結果顯示，若以降低購油成本波動風險爲主要考量，則以原油期貨作爲避險工具較能有效降低購油風險；而若以降低購油成本爲目標時，則以燃煤期貨作爲避險工具優於其他策略。

關鍵字

原油避險 ； 雙變量GARCH ； 三變量GARCH ； 原油期貨 ； 燃煤期貨

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 paper aims to estimate the optimal dynamic hedging ratios and their associated performance based on oil and other commodities' future prices. Hedging strategies are then 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: 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). 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. The results also indicate that for firms seeking to reduce the volatility of oil cost, oil futures will be the suitable hedge instrument; while for those focusing on reducing total oil cost, coal futures perform better than other instruments.

並列關鍵字

Hedging in Crude Oil ； Bi-GARCH ； Tri-GARCH ； Crude Oil Futures ； Coal Futures