布伦特原油期货交易及对我国的启示

原油期货贸易是国际原油市场重要的组成部分之一。它以其独特的方式影响和预示着原油现货市场的发展。文章以伦敦布伦特原油期货交易为例。对期货交易中的交易方式，合约规则，成交量及价格等一些因素的特征进行了说明，并对我国原油期货市场的建立提出了一些建议。     

动力煤期货市场的发展及其对大型煤炭企业的挑战

分析了我国动力煤期货市场发展情况,重点分析了动力煤期货对现货市场、大型煤炭企业的影响,并为大型煤炭企业积极参与动力煤期货交易提出了若干应对策略。     

动力煤期货将深刻改变行业定价逻辑和经营模式

动力煤期货的上市将会对我国的煤电行业、我国期货市场和国际期货市场等方面产生深远影响,其中最为核心与显著的影响是将会深刻改变我国煤炭行业的定价机制。首先从经济理论与微观制度两个方面论证了动力煤期货价格引领现货价格的理论基础,并且通过分析先前上市的焦炭和焦煤期货的历史价格数据,实证检验了期货价格对现货价格的引领作用,指出期货合约的优化设计将会促进动力煤成为高活跃度和参与度的期货品种。     

中国上海燃料油期货定价模型研究

采用协整理论及基于VAR的Grange因果关系检验与冲击反应函数方法对中国上海期货交易所燃料油期货价格作建模分析。单位根检验显示，选取的样本序列均为I（1）。Granger因果关系检验显示：美原油期货价格，新加坡180燃料油现货价格变量为燃料油期价的Granger原因；上海燃料油期货价格是黄埔现货价格的单向的Granger原因，期货价格对现货价格具有发现作用。最终作出的长期协整方程显示：美原油期货价格，新加坡180燃料油现货价格、欧元汇率与上海燃料油现货价构成长期显著的均衡关系。美原油期货价格对沪燃料油期价的弹性为0．85；新加坡180燃料油现货价格对沪燃料油期价的弹性为0．78；欧元汇率对沪燃料油期价的弹性为1．04。从最终建立动态模型来看，模型有较好的拟合及预测精度。因此，该模型对沪燃料油期价风险控制具有较好的参考作用。     

Martingale property in bond futures return including volatility spillover effect from bank bill futures

This paper analyses the time series properties of the daily return from the ten-year bond futures contracts traded on the Sydney Futures Exchange (SFE), together with the transmission of volatility from other interest rate futures contracts. The methodology relies on appropriate modelling of the conditional heteroscedasticity observed in the futures price change series. It is then evident that the volatility spillover effect exists from the short-term bank bill futures to the ten-year bond futures and not the other way. This suggests that the traders attempt to make inferences from price movements in other interest rate futures contracts which ultimately impinge upon the price movement in the bond futures contracts. It is indicative of the expectation theory of the term structure.The author is Lecturer in Finance in the School of Finance and Economics, University of Technology, Sydney.     

纽约商业交易所原油期货合约浅析

以美国纽约商业交易所(NYMEX)的低硫轻质原油期货合约为例，介绍了国际原油期货合约的基本交易规则，并结合我国期货贸易的开展情况，提出了建立和发展我国原油期货贸易的建议。     

Some recent methodologies in futures studies: A personal view

Everyone wishes to know what the future holds; to understand the problems ahead so that they may be able to effectively manage possible future adverse events. This need to know and to understand the future is no less real now than it has ever been, and this is particularly true of groups, organizations and institutions, which, in a world of considerable flux, feel particularly vulnerable if they are not aware of the vital forces at work affecting their own fortunes. Consequently, a number of attempts have been made in the recent past to develop ways to become better informed about particular futures for specific needs. These improvements in ways of looking at the future will inevitably continue to develop. Organizational plans will become increasingly dependent upon such studies, and management, particularly R&D management, will need to be able to judge the value of such studies carried out on its behalf just as informed management attempts to assess, for example, the value of economic, market, manpower or raw materials forecasts. The intended purpose of this paper is to reduce some of the ‘futures studies’ mystique and to provide management with a feel for what can be done now as a result of forward thinking. That is, the intention is: —to introduce the concept of a futures study (why forecast?); —to suggest what it should encompass (what to ask for); —to describe some of the more useful methods together with suggested advantages and disadvantages (what are the tools?); —to recommend the type of analysis of a futures study which generates maximum effectiveness in the planning process. It is worth repeating that the emphasis in this paper is placed upon the use to which a good futures study can be put, if effectively commissioned, analysed and implemented.     

部分发达国家利率期货发展路径及对我国的启示

随着中国人民银行在1996年建立全国统一的拆借市场以及尝试国债市场化的发行,我国拉开了利率市场化的序幕。利率市场化加速推进的过程中,利率风险将逐步加大,利率期货作为有效的风险管理工具,已成为世界成熟金融市场最重要的金融衍生工具。本文研究了美国、英国和日本等发达国家利率期货的发展路径,并从利率现货市场培育、利率期货合约设计、政府监管和自律监管等三方面得到发展我国利率期货的启示。     

动力煤期货上市对煤炭定价机制和行业竞争的影响研究

使用定性与定量相结合的方法,就动力煤期货上市后的发展预期,包括煤炭市场定价权变化、期现货价格的互动关系,以及动力煤期货上市对煤炭行业的影响进行了分析。     

动力煤期货对煤炭定价模式的影响分析

通过调查研究和理论阐述等方法,在研究动力煤期货合约的设计和内容的基础上,从价格体系、市场风险和行业服务等方面分析了动力煤期货对促进我国煤炭产业市场化体系建设的功能和作用,探讨了动力煤期货上市对煤炭行业定价方式中长期发展的影响。最后,提出了煤炭企业开展动力煤期货的应对措施。     

动力煤期货强势引领 煤价有望走出低迷

动力煤期货的上市将会对我国煤电行业、我国期货市场和国际期货市场等方面产生深远影响,其中最为核心与显著的影响是将会深刻改变我国煤炭行业的定价机制。分别从国内外经济环境、动力煤供求关系、库存水平、运输能力、行业政策、进口动力煤价格、生产成本等方面的变动论证了当前动力煤期货价格将会引领煤炭价格的回升。     

Entry,imperfect competition,and futures market for the input

We analyze firms' entry, production and hedging decisions under imperfect competition. We consider an oligopoly industry producing a homogeneous output in which risk-averse firms face an entry cost upon entering the industry, and then compete in Cournot with one another. Each firm faces uncertainty in the input cost when making production decision, and has access to the futures market to hedge the random cost. We provide two sets of results. First, under general assumptions about risk preferences, demand, and uncertainty, we characterize the unique equilibrium. In contrast to previous results in the literature (without entry), both production and output price depend on uncertainty and risk aversion. Specifically, when entry is endogenized and the futures price is not actuarially fair, access to the futures market does not lead to separation. Second, to study the effect of access to the futures market on entry and production, we restrict attention to constant absolute risk aversion (CARA) preferences, a linear demand, and a normal distribution for the spot price. In general, the effect of access to the futures market on the number of firms and production is ambiguous.     

Interest Rate Risk, Residential Mortgages and Financial Futures Markets

Residential mortgage markets in both the United States and Canada have recently been dominated by instruments such as variable-rate and short-term rollover mortgages which require borrowers to assume a greater burden of interest rate risk. An outstanding question is whether this approach to risk allocation is Pareto optimal or whether there are other more effective methods of dealing with the risk created by interest rate volatility. This study examines the potential for shifting this risk from the mortgage market to the financial futures market. After considering the rationale for expecting that neither mortgage borrowers nor lenders wish to absorb the high levels of risk present in the existing financial environment, this study discusses the hedging of interest rate risk through financial futures markets. Empirical tests are then performed to evaluate the effectiveness of U.S. futures markets for hedging positions from the U.S. mortgage market. These results indicate that the interest rate risk inherent in residential mortgages can be substantially shifted through one or more positions in the existing futures contracts and long-term, fixed-rate mortgages may still be financially feasible under conditions of interest rate volatility.     

企业期货市场投机行为效应——基于中国有色金属行业的实证研究

随着期货市场发展,期货交易量已远超出实体经济需要,期货市场已成为企业重要的投机场所。基于此,本文主要研究了期货市场投机是否真正有利于提高企业业绩这一问题。首先提出了对企业期货交易行为是出于套期保值还是投机动机的识别方法,在此基础上,基于中国有色金属行业上市公司期货交易数据,研究了期货投机对企业业绩的影响。结果表明：从投资回报的角度看,有色金属行业上市公司的期货投机行为并未为其带来超额收益,反而对企业业绩产生了负面影响。     

上海燃料油期货市场运行效率实证研究

应用协整检验、Granger因果检验、套保比率计算和套保绩效检验等方法,对上海燃料油期货与现货的长期相关关系以及价格发现和套期保值功能的发挥情况进行了定量研究。结果表明,上海燃料油期货与黄埔现货之间具有长期均衡关系,二者之间是相互引导的;上海燃料油期货市场具有良好的价格发现和套期保值功能,可以为企业利用期货市场进行套期保值规避风险提供有效的支持。     

高油价影响我国经济

从2004年初以来，国际油价急剧攀升，文章分析了原油价格居高不下的原因，对未来油价的走势及其对我国经济的影响和冲击进行了预测，面对这种情况我国必须采取应对措施：树立节能消费理念；促进技术创新，推动产业升级；建立石油战略储备、推出原油期货、推动多元化战略等。     

Hedging spot fuel oil in Singapore: Will the new SIMEX contract succeed?

We assess SIMEX's new market for fuel oil futures by examining its effectiveness in hedging a cash fuel oil position in Singapore. We find that the SIMEX contract can eliminate about two-thirds of the volatility of a Singapore cash position and is many times more effective than a cross-hedge constructed with overseas contracts. Given its potential usefulness as a hedging tool for the regional petroleum industry, we anticipate that the new contract will be a success.We are grateful to Mobil (New York) for making the Platt oil price data available to us and to Jim Bovenage specifically for accessing the data for us.     

动力煤期货交割模式探索

介绍了国内首次动力煤期货交易的背景及交易过程,指出了本次交易实现了动力煤期货交易的"三大探索""三大保证"和"两大结果",并对本次交易进行了深入的分析。     

国内外大宗商品市场间信息溢出效应的实证研究——基于 DAG 方法与溢出指数模型

基于多维信息溢出视角,本文采用有向无环图和溢出指数方法,选取2006年6月2日至2015年12月25日的周度数据,从期货和现货两个层面实证分析国内外大宗商品市场间信息溢出效应及其动态变化趋势。结果显示,国内外大宗商品市场的收益率溢出指数呈现出先上升后下降的趋势,而波动率溢出指数则呈现明显的突变特征;国际大宗商品市场对中国大宗商品市场影响较大,在信息溢出方面处于主导地位,我国大宗商品市场的国际影响力相对较小,但呈现逐步增强的趋势;此外,国际大宗商品市场的金融属性强于我国,并且在2012年,我国大宗商品的去金融化趋势明显。     

Risikoprämien im Erdölhandel

Risk premiums are not directly observable, since they are only a part of futures prices. In an efficient market, the historical price at maturity of the futures prices can be taken as an approximation of expected spot price. Therefore, risk premiums are identified as the bias between the historical spot prices at maturity and futures prices with the correspondent maturity. The Brent Futures markets with maturities of four months are examined. The calculated risk premiums are positive and the deviations from the historical spot price are left skewed, which implies that buyers in crude oil markets are risk averse and prudent. The risk premiums have approximately tripled in 2001–2008 to 1991–2000. This is caused either by an increased specific market risk or by inefficient information of market participants.