恒生指数和沪深300股指期货套期保值效果对比研究

本文利用OLS、ECM、ECM-GARCH模型对沪深300股指期货和恒生指数期货的最优套期保值率进行了估算,并在风险最小化框架下对它们的套期保值效果进行了对比研究。结果发现:无论是哪种股指期货,不考虑期现货间存在的协整关系会使估算的最优套期保值率偏高,影响套期保值效果;其次是虽然在样本内外,沪深300股指期货的套期保值效果比恒生指数期货的好,但是沪深300股指期货套期保值效果的稳定性比恒生指数差。此时,ECM-GARCH和OLS模型分别为样本内外投资者利用沪深300指数期货进行套期保值时的最佳选择;对于恒生指数股指期货,最优模型是ECM。     

The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration

This study investigates the effectiveness of the Tokyo Stock Exchange (TSE)-traded Japanese 10-year JGB futures contract to hedge portfolios of Japanese bonds of differing maturity and credit quality. The bond portfolios examined are Government, AAA-, and AA-rated Eurobonds with maturities of 2, 3, 5, 7, 10, and 20 years. Consistent with the recent literature, the study employs univariate methods for calculating hedge ratios based on levels, first differences, and percentage change of each series. Out-of-sample forecasting is used to determine the effectiveness of the calculated hedge ratios for each of the bond portfolios and to determine which approach to calculating hedge ratios is the most effective. The results show that this particular futures contract does provide a good hedge, particularly for those bond terms closest to the 10-year term of the contract. There is some evidence, although not strong, that JGBs are better hedged than AAA and AA bonds. Investors should take some caution when using this futures contract to hedge bond portfolios of different maturities and credit ratings.     

Cointegrated Periodically Collapsing Bubbles in the Exchange Rate of “BRICS”

We test the occurrence of periodically recurring rational bubbles in the exchange rate of each of the “BRICS” countries currency relative to the US dollar. The forward exchange rate is used as a proxy for the expected exchange rate, different Purchasing Parity Power (PPP)-based rules for the fundamental exchange rate are considered, and its initial value is endogenously determined. For the chosen model, the regime switching equation satisfactorily fits the data, confirming the presence of rational bubbles for all countries. The dynamics of the exchange rate series for each country is interpreted with the help of the estimated bubbles. The bubbles are compared across countries, found to be cointegrated, and this is interpreted as evidence of the international transmission of exchange rate shocks between these countries.     

Are commodity futures a hedge against inflation? A Markov-switching approach

This study examines the inflation hedging ability of various commodity futures using Markov-switching vector error correction models (MS-VECM). We find that total commodity futures fail to provide a hedge against inflation over the sample period between January 1983 and December 2021. However, industrial metals and precious metals are able to hedge against inflation. Other sub-indexes, including energy, agriculture, and livestock, do not have a significant inflation hedging ability. The inflation hedging capacity of industrial metals exhibits substantial variation over time, with most of the inflation hedging power occurring during the relatively longer and more common regimes covering the Great Moderation, the post-subprime crisis, and the periods after the outbreak of the COVID-19 pandemic. We further evaluate the inflation hedge ability of commodity futures by including stocks and bonds in the model. Our results suggest that industrial metals are more reliable inflation hedges.     

Cointegration analysis of the intensity of the ERM currencies under the European Monetary System

This paper examines the (long-run) intra-zonal elasticities between the spot exchange rates of the deutschemark and other major ERM currencies (French franc, Belgian franc, Dutch guilder, Danish krone, Italian lira and British pound) under the EMS. The findings show that under the fixed-but-adjustable rate system, the hypothesis of no cointegration can be rejected for all chosen ERM currency pairs and unit restriction on zonal elasticities can be accepted for almost all cointegrated currency pairs. On the other hand, under the fixed-rate system, Danish krone, Italian lira and British pound fail the cointegration test and the zonal elasticities for all cointegrated currency pairs are rejected to be unity. The study signifies less intense linkages of the ERM currencies without parity realignments. Finally, the deutschmark took the role of error-correcting process for one cointegrated currency pair under the fixed-but-adjustable-rate system, and it performed the same role for two pairs under the fixed-rate system. Hence, deutschmark should not be assumed a priori statistically exogenous under the EMS     

国际期货市场机构投资者的发展及借鉴

期货市场上的机构投资者主要有期货投资基金和对冲基金，证券公司或投资银行、养老基金、共同基金以及商业银行等机构也是重要参与者。本文介绍了参与国际期货市场的机构投资者的投资特点、在不同市场投资所占的比重和发挥的作用，分析了期货市场机构投资者的类型、发展及与现货市场机构投资者及期货公司之间的关系，并为中国期货市场机构投资者的发展提出了相关建议。     

我国铝期货与现货价格均衡关系实证研究

期货市场与现货市场是一对关联程度非常高的市场,本文以上海期货交易所铝期货和现货为例,利用协整检验、误差修正模型等方法,得到了我国铝期货市场与现货市场长期均衡关系和短期动态关联关系,表明我国铝期货市场已基本具备市场价格发现功能,并形成了价格自我约束机制。     

On the Long Run Effects of Public Capital and Disaggregated Public Capital on Aggregate Output

We study the cointegration properties of data on aggregate output, five proxies for labor, two proxies for private capital, public capital, and disaggregated public capital for the United States for 1948–1993. We find evidence of multiple cointegrating vectors; we typically find three or four cointegrating vectors depending on which combination of proxies is evaluated. When public capital is disaggregated by type there is less evidence for cointegration. Finally, innovations in public capital have long lasting effects on output, labor, and private capital, and innovations to output, labor, and private capital also have long lasting effects on public capital.     

盯市风险下的期货套期保值

本文把盯市风险引入传统的期货套期保值框架，论证了在考虑盯市风险的情况下，一个关注每日最大亏损值的套期保值者会显著地减少他的期货头寸。在一个中期的套期保值期内，该套期保值者的期货套期保值头寸约为其现货头寸的80％。盯市风险的影响随着套期保值期的延长而缓慢减弱。如果套期保值者关注的是每日平均亏损值，在一个中期的套期保值期内盯市风险的影响极小。     

中国期货价格的时变跳跃性及对现货价格影响的研究

期货价格受到异常消息的影响会发生跳跃行为,本文通过构建ARMAJI-GARCH模型刻画了我国金属期货的自相关性、条件异方差性以及动态跳跃性,并分析其跳跃行为对现货市场的影响。经研究表明,期货价格具有时变跳跃特征,铜期货的跳跃强度受到滞后一期跳跃强度的显著影响,铝期货的跳跃强度不仅受到自身滞后的影响,还受到跳跃强度残差的影响;当期和滞后一期的期货跳跃强度均对现货的收益率和波动性形成影响,期货价格的跳跃行为起到价格发现的作用。     

现货市场波动与商品期货合约定价

通过构建商品期货合约定价模型,证明商品期货合约价格由资本市场系统风险溢价和标的现货市场特有(非市场)风险溢价两个部分构成.商品期货市场价格影响标的商品期货价格的前提条件是存在足够多的参与商品期货市场的交易者.当标的商品现货市场需求增加.在预期商品期货合约价格为正值的情况下,都将会使商品期货合约的价格上升,扩大交易风险并增加多头收益.相反,在预期商品期货合约价格为负值的情况下,需求增长引起初级产品价格上升将使商品期货合约价格的绝对值下降,减少交易风险和引起多头损失.如果标的商品现货市场需求减少,在预期商品期货合约价格为正值的情况下,将引起商品期货合约的价格下降,减少交易风险并降低空头损失.相反,在预期商品期货合约价格为负值的情况下,商品期货合约价格的绝对值增加,扩大交易风险和增加空头收益.