文档介绍：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
20090501
论文摘要

2005 年我国实行人民币汇率制度改革以来,人民币汇率弹性逐
步扩大,企业面临的汇率风险随之加大。目前我国金融工程技术和金
融衍生产品市场不发达,持有外汇敞口头寸的企业和金融机构难以有
效应对复杂多变的汇率风险。在美元持续波动,国际石油、黄金价格
也随之激烈波动的背景下,发现和利用其价格联动关系,并探讨组合
套期保值技术在汇率风险管理中的应用,具有重大理论与现实意义。
本文首先研究美元、石油期货和黄金期货价格之间的联动关系;
然后对当前的套期保值理论与方法进行比较与评析,在此基础上提出
组合套期保值理论,并对汇率风险的组合套期保值策略进行了研究;
最后,运用石油期货和黄金期货对企业和金融机构的美元现货进行组
合套期保值,求解最优套期保值率,并对其进行套期保值有效性的比
较分析。
经研究,本文认为,在我国这样一个金融衍生工具市场尚在初步
发育阶段的国家,企业和金融机构可以采用相关期货的组合套期保值
策略来消除汇率风险。由于原油期货、黄金期货被证明是美元兑人民
币汇率的“风向标”,基于三者之间的协整关系,可以利用它们的期
货组合对汇率风险进行套期保值。通过实证研究表明,基于这些商品
的组合套期保值策略的效果优于传统套期保值策略。

关键词:美元;石油;黄金;汇率风险;组合套期保值
I
Abstract
Since the reformation of RMB exchange rate in 2005,along with
the flexibility of RMB exchange rate is escalating,China faces more
exchange the finance engineering technique and derivatives
are undeveloped in China,it is hard for the corporations and financial
organizations who hold foreign exchange to meet plex and
changeful exchange the environment of US Dollar fluctuates
continually ,while the prices of international oil and gold fluctuates
accordingly,it is of great significance in theory and practice to discover
and utilize their price relation and to study bination hedge
technology in exchange risk management.
The ultimate object of the dissertation is to furnish the parties
concerned with practical and effective strategies of exchange risk
dissertation firstly examines the price co-integrative
relationships and causalities among US dollar,oil futures and gold
futures;pares ments on the hedge literatures and
brings forward bination hedge theory and studys bination
hedge strategy on exchange risk;finally utilizes the oil futures and gold
futures to hedge US dollar,works out the pares and analyzes
the hedge efficiency.
The study concludes that in developing country such as China where
the derivative