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近些年来,我国的期货市场在不断地发展,大豆作为我国的主要农产品之一,其商品期货合约的套期保值比率的研究具有十分重要的意义。因此,本文选用豆一期货为主要研究对象,选取一定量的样本数据,并对数据进行平稳性检验与协整检验,运用普通最小二乘回归模型(OLS模型)、双变量向量自回归模型(B-VAR)以及误差修正模型(ECM)分别估算出套期保值比率,经过一系列的检验最终确定最优套期保值比率。
In recent years, the futures market of our country is developing unceasingly. Soybean, as one of the main agricultural products of our country, is of great significance to the study of hedging ratio of commodity futures contracts. Therefore, in this paper, we choose beans-a-stock as the main research object, select a certain amount of sample data, and test the data for stability and co-integration test using ordinary least squares regression model (OLS model), bivariate vector regression model B-VAR) and Error Correction Model (ECM) were used to estimate the hedge ratio respectively. After a series of tests, the optimal hedge ratio was finally determined.