【摘要】：受國際金融危機余波和歐債危機持續(xù)發(fā)酵等因素影響,加之國內經(jīng)濟增速放緩,鋼鐵行業(yè)整體面臨市場需求回落、產(chǎn)能嚴重過剩、價格大幅下降、行業(yè)利潤下滑的困境。生產(chǎn)企業(yè)減少生產(chǎn)甚至是停產(chǎn)現(xiàn)狀,而鋼材貿易商則是在市場價格倒掛中虧本經(jīng)營。本文從鋼材貿易商的角度分析,鑒于期貨市場具有價格發(fā)現(xiàn)和規(guī)避風險的功能,從而提出貿易商進入期貨市場為企業(yè)的產(chǎn)品進行套期保值交易。促使鋼材貿易商可以實現(xiàn)兩條腿走路,做到“期現(xiàn)結合、鎖定風險”,利用金融工具來規(guī)避市場風險。本文從基差的角度分析了鋼材貿易商進行套期保值時面對的風險。并從實證的角度分析宏觀經(jīng)濟因素和微觀市場因素對基差的影響,并得出結論認為宏觀經(jīng)濟因素會影響基差走勢,但是效果不顯著。而微觀市場因素對基差存在顯著的影響,因此在投資者進入市場時可以根據(jù)微觀市場因素進行時點選擇。在因素回歸中加入滯后因子后,方程顯著性明顯提升。說明當基差偏離均衡值過大,由于市場的套利因素存在,基差會產(chǎn)生自我的修正,基差的最主要影響因素是滯后因子。因此在套期保值者進入市場的時候需要結合基差的偏離程度。本文還從在險價值的角度,提出了多頭、空頭套期保值基差VaR值,結合基于核估計的非參數(shù)法、GARCH族模型的參數(shù)法、四階矩的半?yún)?shù)法分別計算出基差風險的在險價值,為套期保值者提供風險管理依據(jù)。實證表明了,對于基差的在險價值度量中非參數(shù)法比參數(shù)法和半?yún)?shù)方法較為適用目前的鋼材市場。
[Abstract]:Affected by the aftermath of the international financial crisis and the continued fermentation of the European debt crisis, coupled with a slowdown in domestic economic growth, the steel industry as a whole faces the plight of falling market demand, severe overcapacity, sharp price declines and declining profits. Production enterprises reduce production or even stop production status quo, and steel traders are in the market price upside down in the loss. This paper analyzes from the point of view of steel traders, in view of the function of price discovery and risk avoidance in futures market, puts forward that traders enter the futures market to carry out hedging transactions for the products of enterprises. To enable steel traders to walk on two legs, to "combine now, lock in risk," and use financial instruments to avoid market risk. This paper analyzes the risks faced by steel traders in hedging from the point of view of basis. And from the perspective of empirical analysis of macroeconomic factors and micro-market factors on the basis of the impact, and draw a conclusion that macroeconomic factors will affect the trend of the basis, but the effect is not significant. However, the micro market factors have a significant effect on the basis difference, so investors can choose the time points according to the micro market factors when they enter the market. When the lag factor was added to the regression equation, the equation was significantly improved. It is shown that when the deviation from the equilibrium value is too large, the basis will produce self-correction due to the existence of arbitrage factors in the market, and the lag factor is the most important factor of the basis deviation. Therefore, when the hedgers enter the market, we need to combine the deviation of the basis. From the point of view of the value of risk, this paper puts forward the VaR value of long and short hedging basis, and calculates the risk value of base risk by combining the nonparametric method based on kernel estimation, the parameter method of GARCH family model and the semi-parametric method of fourth-order moment. Provide risk management basis for hedgers. The empirical results show that the non-parametric method is more suitable to the present steel market than the parametric method and the semi-parametric method.
【學位授予單位】：東北大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F426.31

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