原油及大宗穀物之波動關係與避險策略分析

葉毓琪

doi:10.6840/CYCU.2009.00316

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原油及大宗穀物之波動關係與避險策略分析

Volatility Transmission and Hedging Strategy between Oil Price and Commodity Futures

葉毓琪 , Masters　　Advisor：林師模　　

繁體中文 DOI： 10.6840/CYCU.2009.00316

DCC ； BEKK ；避險；波動關係；大宗穀物；原油； oil price ； bulk grain ； volatility ； BEKK model ； DCC model ； hedging

Abstract │ Reference (37) │ Times Cited (2) │ Altmetrics

Abstract 〈TOP〉

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The significant increase in demand from developing countries and speculations has pushed up oil price sharply from 2007 to mid-2008, which, in turn, has accelerated the development of alternative energy all over the world. Grains, which can be made into bio-fuels, inevitably became the highly-demanded goods. However, when oil price started to drop during late 2008, grain price fell as well. The phenomenon of co-movement between oil price and grain price has never happened before, and, hence, has seldomly been explored by researchers. 
     This study applies multi-variate GARCH methods to analyze the transmission relationship among several price variables. Our results find that significant transmission effects do exist between oil price and grain price. The computed correlation coefficients between the variables also reveal that the correlation has risen apparently in recent years. With respect to hedging, we find that multi-GARCH can reduce risk in most cases. In addition, DCC-GARCH model can reduce much larger percentage of risk than BEKK-GARCH model does. Furthermore, cross hedging does not show to have better performance than direct hedging does. That is, direct hedging is good enough to reduce most of the risk.

Reference ( 37 ) 〈TOP〉

李常春(2005)，「不同條件相關係數與共變異數模型在預測能力方面之比較」，中原大學國際貿易研究所碩士論文
連結：
施冠宇(2008)，「國內外大宗原物料價格發展趨勢」，台灣經濟研究月刊，第31卷11期，頁15-24
連結：
郭俊宏(2004)，「多變量GARCH模型之比較研究」，國立台灣大學經濟研究所碩士論文
連結：
翁靖迪(2008)，「美國大宗穀物期貨價格時間序列分析—短期預測模型比較」，國立台灣大學農業經濟研究所碩士論文
連結：
謝文耀(2007)，「動態原油期貨避險—以WTI原油期貨為例」，中原大學國際貿易研究所碩士論文
連結：

Times Cited (2) 〈TOP〉

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