收入期货之避险角色探讨.PDFVIP

Journal of China University of Science and Technology Vol.42-2010.1 收入期貨之避險角色探討 Implications of Revenue Futures for Producer Hedging 許惠珠 Hui-Chu Shu 中華科技大學國際企業系副教授 Department of International Business China University of Science and Technology 摘 要 農業生產者與相關廠商的避險目的在降低收入的不確定性。由於收入風險來源 包括價格與產量的波動，藉由價格期貨與 產量期貨無法移除此複合風險，因此有 學者建議收入期貨為較佳的避險工具。本文探討在收入期貨與價格期貨為同時可 用下，生產者的最適避險策略，並比較使用單一與兩種期貨進行避險之避險效益。 研究結果顯示，當特有產出風險與系統風險為高度相關時，避險者應提高收入期 貨避險部位，同時收入期貨的避險效益較佳。反之，若兩種生產風險為完全無關 時，避險者可以只在價格期貨市場避險， 此時收入期貨成為多餘。避險效益的比 較結果顯示，當兩種生產風險非完全無關時，使用兩種期貨避險優於使用單一期 貨避險。 關鍵字 : 收入期貨、收入風險、避險效益 ABSTRACT As reducing revenue uncertainty has become the major concern of agricultural producers and related firms, while neither yield futures nor price futures can eliminate the compound yield-price risk, revenue futures have been proposed to be a good candidate for hedging revenue risk. This paper explores the optimal hedging behavior of producers with both revenue futures and price futures available. Using mean-variance and minimum-variance approaches, the exact solutions of optimal positions in both futures markets are derived. Further, hedging effectiveness of using either or both futures contracts are compared. Analytical results indicate that when both futures are imperfect substitutes for each other, hedgers should increase their revenue futures 189 收入期貨之避險角色探討 positions in the face of higher correlation between the idiosyncratic and systematic yield risk, or, lower variation in the aggregate yield. Additionally, if idiosyncratic yield