農産品期貨動態避險策略的評價

Evaluating the Performance of Dynamic Hedging Strategies in Commodity Futures Markets

10.6181/agec.2009.42.02

巫春洲(Chun-Chou Wu)；劉炳麟(Nathan Liu)；楊奕農(Yi-Nung Yang)

動態避險策略 ； 期貨 ； 動態條件相關係數模型 ； 多變數GARCH ； Dynamic hedging strategies ； Futures ； Dynamic conditional correlation model ； Multivariate GARCH

農業與經濟

42期（2009 / 06 / 01）

39 - 62

繁體中文

本文主要探討農產品（玉米、大豆、大豆油和小麥）與軟性商品（可可、咖啡、棉花和糖）期貨契約的避險策略。利用不同的動靜態策略來進行避險績效的比較，這些避險策略分別是傳統最小平方法(OLS)、移動樣本的最小平方法(rollover OLS)、固定條件相關係數模型(constant conditional correlation, CCC)與動態條件相關係 數模型(dynamic conditional correlation, DCC)。在極小化避險投資組合變異數的目標下，本研究發現考慮資產報酬數列條件異和資產間動態關係的DCC避險策略，可以有效改善農產品與軟性商品樣本外的避險績效。

This paper compares the hedging effectiveness of eight commodity futures (including corns, soybeans, soybean oil, wheat, cocoa, coffee, cotton, and sugar) based on the hedge ratios estimated from the conventional ordinary least squares (OLS) method, the rollover OLS method, the constant conditional correlation (CCC) model, and the dynamic conditional correlation (DCC) model. In the framework of minimizing hedging portfolio variances, we find that the hedging strategy of the DCC model, which explicitly considers heteroscedasticity and time-varying correlations between the spot and futures returns, outperforms the others in this study.

1. Baillie, R. T.,R. J. Myers(1991).Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge.Journal of Applied Econometric,6,109-124.
2. Bollerslev, T.(1986).Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics,31,307-327.
3. Bollerslev, T.(1990).Modelling, the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.Review of Economics and Statistics,72,498-505.
4. Bollerslev, T.,R. Chou,K. Kroner(1992).ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.Journal of Econometrics,52,5-59.
5. Bollerslev, T.,R. Engle,D. Nelson,R. F. Engle,D. C. McFadden (ed.)(1994).Handbook of Econometrics IV, 2959-3038.Amsterdam:North-Holland Press.
6. Bollerslev, T.,R. F. Engle,J. M. Wooldridge(1988).A Capital Asset Pricing Model with Time-Varying Covariances.Journal of Political Economy,96,116-131.
7. Chen, S. S.,C. F. Lee,K. Shrestha(2001).Futures Hedge Ratios: A Review.The Quarterly Review of Economics and Finance,43,433-465.
8. Chou, R.(2005).Forecasting Financial Volatilities with Extreme Values: The Conditional AutoRegressive Range (CARR) Model.Journal of Money Credit and Banking,37,561-582.
9. Cotter, J.,J. Hanly(2006).Reevaluating Hedging Performance.Journal of Futures Markets,26,677-702.
10. Ederington, L. H.(1979).The Hedging Performance of the New Futures Market.Journal of Finance,34,157-170.
11. Engle, R.(1982).Autoregressive Conditional Heteroscedasticity with Estimate of the Variance of U.K. Inflation.Econometrica,50,987-1008.
12. Engle, R.(2002).Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models.Journal of Business and Economic Statistics,20,339-350.
13. Engle, R.,C. W. Granger(1987).Cointegration and Error Correction: Representation, Estimation, and Testing.Econometrica,55,251-276.
14. Engle, R.,K. Kroner(1995).Multivariate Simultaneous GARCH.Econometric Theory,11,122-150.
15. Johnson, L. L.(1960).The Theory of Hedging and Speculation in Commodity Futures.Review of Economic Studies,27,139-151.
16. Kroner K. F.,J. Sultan(1993).Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures.Journal of Finance and Quantitative Analysis,28,535-551.
17. Laws, J.,J. Thompson(2005).Hedging Effectiveness of Stock Index Futures.European Journal of Operational Research,163,177-191.
18. Lei, L. F.,C. J. Ko(1994).Alternative Estimates of Optimal Hedge Ratio for Soybeans, Cattle, and Hogs.Agriculture and Economics,15,69-85.
19. Lien, D.,Y. K. Tse(2002).Some Recent Developments in Futures Hedging.Journal of Economic Surveys,16,357-396.
20. Lien, D.,Y. K. Tse,K. C. Tsui(2002).Evaluating the Hedging Performance of the Constant-Correlation GARCH Model.Applied Financial Economics,12,791-798.
21. Liu, K. E.,J. Geaun,L. Lei(2001).Optimal Hedging Decisions for Taiwanese Corn Traders on the Way to Liberalisation.Agricultural Economics,25,303-309.
22. Moschini, G.,R. J. Myers(2002).Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach.Journal of Empirical Finance,9,589-603.
23. Sim, A. B.,R. Zurbruegg(2001).Optimal Hedge Ratios and Alternative Hedging Strategies in the Presence of Cointegrated Time-Varing Risks.European Journal of Finance,7,269-283.
24. Stein, J. L.(1961).The Simultaneous Determination of Spot and Futures Prices.American Economic Review,51,1012-1025.
25. Tong, W. H. S.(1996).An Examination of Dynamic Hedging.Journal of International Money and Finance,15,19-35.

1. 戴孟宜(2012)。目標區與農產品價格之穩定：農產品現貨與期貨模型。農業經濟叢刊，18(1)，31-81。
2. 葉仕國、張森林、林丙輝(2016)。台灣衍生性金融商品定價、避險與套利文獻回顧與展望。臺大管理論叢，27(1)，255-304。
3. (2014)。金磚五國之期貨避險績效─動態Copula-GJR-GARCH模型應用。期貨與選擇權學刊，7(1)，1-36。
4. (2016)。The Futures Hedging Performance of Taiwan Top 50 ETF。期貨與選擇權學刊，9(2)，1-31。