美元、石油和黄金的价格协整关系及其组合套期保值策略研究

华侨大学硕士学位论文美元、石油和黄金的价格协整关系及其组合套期保值策略研究姓名：魏同乐申请学位级别：硕士专业：企业管理指导教师：陈金龙20090501I2005IIAbstractSincethereformationofRMBexchangeratein2005,alongwiththeflexibilityofRMBexchangerateisescalating,Chinafacesmoreexchangerisk.WhereasthefinanceengineeringtechniqueandderivativesareundevelopedinChina,itishardforthecorporationsandfinancialorganizationswhoholdforeignexchangetomeetthecomplexandchangefulexchangerisk.UndertheenvironmentofUSDollarfluctuatescontinually,whilethepricesofinternationaloilandgoldfluctuatesaccordingly,itisofgreatsignificanceintheoryandpracticetodiscoverandutilizetheirpricerelationandtostudythecombinationhedgetechnologyinexchangeriskmanagement.Theultimateobjectofthedissertationistofurnishthepartiesconcernedwithpracticalandeffectivestrategiesofexchangeriskmanagement.Thisdissertationfirstlyexaminesthepriceco-integrativerelationshipsandcausalitiesamongUSdollar,oilfuturesandgoldfuturessecondlycomparesandcommentsonthehedgeliteraturesandbringsforwardthecombinationhedgetheoryandstudysthecombinationhedgestrategyonexchangeriskfinallyutilizestheoilfuturesandgoldfuturestohedgeUSdollar,worksouttheOHRs,comparesandanalyzesthehedgeefficiency.ThestudyconcludesthatindevelopingcountrysuchasChinawherethederivativemarketsareembryonic,thepartiesconcernedaresupposedIIItoreducetheexchangeriskviacombinationhedgestrategywiththecorrelativefutures.BecauseitisprovedthattheoilfutureandgoldfuturehavebeenthekeyindicatorofexchangerateRMB/USD,sobasetheirco-integrativerelationships,itisfeasibletoutilizetheircombinationoffuturestohedgeexchangerisk,anditisvalidatedthattheVECMcombinationhedgestrategyissuperiortothetraditionalones.Keywords:dollar;oil;gold;exchangerisk;combinationhedge111.1WTO200572118.11WellerLilly2004-0.7[1]12100%[2]1.2Krugman(1981)[3]Golub(1983)[4]Lastrapes(1992)[5]EndersLee(1997)[6]Amano(1998)1972-1993[7]LarryA,FabioS(1996)[8](2004)3GDP[9]ForrestC,TerenceCM(2006)[10]TomomichiN,MichaelS(2006)[11](1999)[12]CollinsRA(2002)-[13](2002,2004)-[1415](2004)Markowitz[16]AbrahamLioui(1996)[17]LaurentJP(1999)[18]LienD(2004)[19]141.320057212003EngleGranger1.41.4.1EngleGranger5Granger/VARVECMOLSVARVECMVECM1.4.2VECM161.4.3JohansenGrangerOLSVARVECM1722.17035/7080197910197151%1979512/809020212001112007200137%200831012.58/2865302003,9,2090,,,2.61996395200836001.1%199675420083765.22.3%(79.8%68.9%)2.2207020701635/57/207070120/12/2070801980835.5/35/1981201999210252.25/10/1999200832005200831012.58/20087135/200871120019.1131/5271.5/293.25/200570/[7]2.32402%50201050.30.4100%2121333.1200572118.11200572220087313(NYMEX)(2005)[20]Kroner&Sultan(1993)3[21]MichaelHolt(2000)[22]125620082NYMEX20082122008118200812192008117787314//100Y1//Y2//Y3Y1Y2Y3LY1LY2LY3YtRt=(Yt-Yt-1)/Yt-1rt=ln(1+Rt)=ln(Yt/Yt-1)=lnYt-lnYt-1=LYt-LYt-13-1rt3.2Engle(1987)[23]LY1LY2LY3DFADFPPddI(d)15Dickey(1979,1981)ADFAugmentedDickey-FullerTest[24,25]Augmented-Dickey-FullerADF11pttititixtxxαβδθε−−=∆=+++∆+∑3-21()tttxxx−∆=−txαtβδiθtxtεPAICSC0Hδ01Hδ0ADF0Htx0HADFAIC(AkaikeInformationCriterion)EViews5.011ADFADFADFLY1-0.269605p=0.9914(α,t)-4.225478***(p=0.0000)(0,0)LY2-1.550478(p=0.8113)(α,t)-30.68317***(p=0.0000)(0,0)LY3-2.798507(p=0.1982)(α,t)-7.032461***(p=0.0000)(0,0)1ADFAugmentedDickey-Fullerteststatistict2(α,t)0,03p4***1%3161LY1LY2LY3ADFLY1LY2LY3ADF1%LY1LY2LY3I(1)3.33.3.1Johansen(1988)Juselius(1990)VARJohansen[26,27]VAR11221122tttptpttrtrtYAYAYAYBXBXBXε−−−−−−=++⋅⋅⋅++++⋅⋅⋅++(3-3)tYmtXdtε(VARVARinnovation)1...pAA1...rBBprtLYt(31)LY1LY2LY3VAR2AICSC-22.57997-22.45516p=2120.9937880.004060.0186240.0074010.0041460.0180610.0038350.3600640.9144640.058025*0.2863910.0725910.050193*0.630.6392380.0438620.9411520.6085120.0459280.046941tttLYLYLY−−−−−=−−++−−92230.319482(3-4)3.3.217pVAR11...ttptpttyAyAyBxε−−=++++(3-5)tymI(1)iAi=1,2,,pm*mBtxdtεm111ptititttiyyyBxε−−−=∆=Γ∆+Π++∑(3-6)1pijjiA=+Γ=−∑1piiAI=Π=−∑iΓΠtym*mΠr(1)r=mΠty(2)r=0Πty(3)0rmΠm*r()αβαβ′Π=(3-7)α()β()tytyβ′Πty3.3.3JohansenJohansenΠΠrΠr12,,...rλλλJohansenΠ(LR),H0rH1m()1log(1)mtraceiirTλλ=+=−−∑(3-8)318iλiTH010λm-1H0LY1LY2LY3I(1)AICSCVARP2Johansen122HypothesizedTrace0.05No.ofCE(s)EigenvalueStatisticCriticalValueProb.**None*0.03136332.7522129.797070.0222Atmost10.0079527.73807915.494710.4938Atmost20.0018721.4708803.8414660.2252:EigenvalueiλStatistic*95%**MacKinnon-Haug-Michelis(1999)p-value[28]5%3.4Granger[29](VEC)19VAR(3-5)VAR(P)(3-6)111ptititttiyyyBxε−−−=∆=Γ∆+Π++∑(3-6)(3-5)tymI(1)(3-6)111ptitittiyyyαβε−−−=′∆=Γ∆++∑(3-9)tε(i=1,2,m)111pttititiyvecmyαε−−−=∆=+Γ∆+∑3-1011ttvecmyβ−−′=α1110.0068010.0042020.0179830.0008880.0002020.3116780.0770960.0581410.001722*0.0007640.6350970.0457190.0522180.0057570.000619tttLYLYvecm−−−−−−∆=−−−∆+−+−−(3-11)[123]LYlylyly′=10.17247520.78791131.014726tvecmlylyly=+−−(3-12)VECMAICSC-22.57776-22.470773.5GrangerGrangerGranger1969XYX320Y[30]GrangerXYYY22(|,0)(|(,),0)ttkttktkYYkYYXkσσ−−−∀∀XYGrangerYX⇒GrangerGranger[27]11,12,23,3111mmmittttttttitttttXvecmaXbXcXuαε−−−−===∆=+∆+∆+∆++∑∑∑(3-13)itX1tvecmα−r3-13αF1,1tX−∆ta,2,2tX−∆tb3,3tX−∆tc0333Granger2χpDLY2DLY15.75391310.