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題 名 | 油品期貨最適裂解價差避險部位之研究=Optimal Crack Spread Hedging Positions in Oil Futures Markets |
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作 者 | 葉立仁; 許和鈞; 唐明月; | 書刊名 | 實踐學報 |
卷 期 | 30 1999.06[民88.06] |
頁 次 | 頁267-291 |
分類號 | 561.76 |
關鍵詞 | 油品期貨; 裂解價差; 最適價差避險比例; 便利殖利率; Oil futures; Crack spread; Optimal spread hedging ratios; Convenience yield; |
語 文 | 中文(Chinese) |
中文摘要 | 價差(spread)避險較基差(basis)避險複雜,所牽涉的商品數目較多,交易型 態也較繁複, 目前文獻中,理論模式仍以定值的價差避險比例為主( Baesel and Grant, 1982;Shutz,1984,Poitras,1989 )。 定值價差避險模型的前提乃為相對部位的商品價 格需具有穩定的市場關聯性( market linkage )。然而,商品間價差( inter-commodity spread )交易,因無到期日商品間價格收斂現象,所以商品間的關聯性也就未必確保。 原油價格對國際間的政治局勢有高的敏感性,相關油品期貨間未必能夠維持穩定的價格關聯 現象,造成油品煉製業者經常暴露於原油與其產製油品價格間的不利變動風險之中,為確保 自身的生產毛利潤,油品煉製業者經常採用裂解價差( crack spread )交易以同時規避原 油採購與產製品銷售價格變動的風險。如果運用傳統定值價差部位的避險策略,將因不同商 品間關聯性不足導致低的避險效果。 本文透過油品的便利殖利率( convenience yield ) 的變動行為加以動態模式化,以解析出相關油品部位可以透過無風險利率予以反向操作,藉 以規避便利殖利率變動的風險。此種理論架構可以適用於弱關聯性的商品間避險策略,且可 發展最小變異數裂解價差避險模型以說明原油與其相關產製品間價差避險的特性,本研究除 可證明最適裂解價差避險比例不等於一,實證中相關資料( 1985 ﹣ 1995 年)也支持本研 究裂解價差避險模型具有較傳統定值模型更高的避險效果。 |
英文摘要 | Unlike the analysis of basis hedging, theoretical analysis of spread hedging strategies has been somewhat limited. The textbook approach to spreading assumes one-to-one positions, more sophisticated approaches such as Baesel and Grant (1982), Shutz (1984) and Poitras (1989) have just sought some fixed-ratio spread strategies. Due to no convergence, there do not necessarily exist strong market linkage among related commodities in inter-commodity spread trading. Therefore, traditional spreading probably leads to low hedging effectiveness under weak market-linkage environment. Oil refiners frequently adopt crack spread trading to transfer the risk from unstable change of prices differences among related oil products. Oil prices are sensitive to international political situations so that there just exist weak oil markets linkages among oil markets. In our paper, we model the dynamic behaviors of oil convenience yields to derive intertemporal optimal crack spread hedging positions. The empirical results also show that our minimum-variance model performs better than some fixed model even in weak market-linkage situations. |
本系統中英文摘要資訊取自各篇刊載內容。