中国饲料企业原料价格风险规避策略研究

在贸易摩擦加剧和新冠疫情的多重冲击下,中外主要饲料原料品种价格波动剧烈,然而国内饲料企业普遍抗风险能力差,对于套保、套利策略的选择和使用尚缺乏灵活性.以2015年1月5日至2020年1月23日的豆粕、菜粕、玉米、大豆期现货价格数据为样本区间,应用误差修正模型估计最优套期保值比率及其有效性,并对4个原料进行跨品种套利的可行性进行实证分析.研究结论表明:最优套期保值策略能够有效规避风险且操作性强,跨品种套利策略可行但专业性较强.在此基础上,针对不同类型的饲料企业提出原料价格风险规避的对策和建议.

Research on Raw Material Price Risk Aversion Strategy of Feed Enterprises in China

Under the impact of trade friction and COVID-19, the prices of main feed raw materials fluctuates sharply. However, domestic feed enterprises generally have poor anti-risk ability, and still lacke of flexibility in the selection and using of hedging and arbitrage strategies. Soybean meal, vegetable meal, corn and soybean futures spot price data on January 5, 2015 and January 23, 2020 were taken as the sample interval, the error correction model was applied to estimate the optimal hedging ratio and its effectiveness, and empirical analysis was conducted on the feasibility of cross-species arbitrage of four raw materials. The conclusion shows that the optimal hedging strategy can effectively avoid risks and has strong operability, and the arbitrage?across?varieties strategy is feasible but professional. On this basis, for different types of feed enterprises to put forward the raw material price risk aversion countermeasures and suggestions.