本文从 DB 饲料企业的豆粕采购对企业运营的影响出发，首先对饲料企业的
豆粕价格风险进行评估；再介绍豆粕市场及其定价机制的发展现状；然后对期
货市场及豆粕期货的运行状况进行分析；通过运用数理方法对豆粕期货的价格
发现功能及期货套期保值比率进行实证分析；在此基础上，对企业套期保值操
作提出建议。本文通过对 DB 饲料企业的豆粕价格风险评估及套期保值的研究，
为 DB 公司管理豆粕价格风险提供理论支持
关键词：饲料；豆粕；风险；期货；套期保值；Abstract
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ABSTRACT
There are many risks such as procurement, marketing, finance and policy risks
consisted in feed businesses. Procurement risks, which are considered as the most
important in feed businesses, have being influenced by the risks of prices, stocks,
qualities and contracts. As the main raw material of feed, there are also
corresponding risks in soybean meal procurement. In terms of dispersible of risks,
the price risks of soybean belongs to diversifiable risks. So it is helpful for people to
decrease the prices risks of soybean meal of feed industry with the help of future
hedging.
In this thesis, we proceeded from the influence of businesses operations by
soybean meal procurement of DB feed enterprise. So the first assignment is to
evaluating the price risks of soybean meal of feed enterprise. Then we introduced
development of the soybean meal market and its pricing mechanism. After that,
positive analysis of price discovery and future hedge ratio of soybean meal futures
was done with the use of the mathematical methods. And then we gave some
suggests to the enterprise of operating hedging based on our study results. The
theoretical support could be given to the DB feed companies in managing price risks
of soybean meal with the help of our study results of soybean meal price risks and
hedging of DB feed enterprise.
Keywords: Feed；Soybean meal；Risk；Futures；Hedging；目录
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目录
第 1 章 绪论.....1
1.1 选题背景及意义..........1
1.1.1 选题背景1
1.1.2 选题意义2
1.2 文献综述..........3
1.2.1 国外研究的文献综述....3
1.2.2 国内研究的文献综述....6
1.3 研究思路、本文内容和研究方法......7
1.3.1 研究思路 7
1.3.2 本文内容8
1.3.3 研究方法8
第 2 章 DB 饲料企业豆粕采购对企业发展的影响...9
2.1 DB 饲料企业发展现状与前景 9
2.1.1 DB 饲料企业发展现状 ..9
2.1.2 DB 饲料企业发展前景 10
2.2 DB 饲料企业发展过程面临的主要风险......11
2.3 豆粕采购对 DB 企业发展的影响....11
2.3.1 短期波动..........12
2.3.2 长期波动..........14
第 3 章 豆粕市场概况及豆粕期货...17
3.1 豆粕的生产与消费....17
3.2 豆粕现货定价方式....18
3.3 期货市场特点及豆粕期货....18
3.3.1 期货市场特点..19
3.3.2 期货市场的功能..........19目录
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3.3.3 豆粕期货..........19
第 4 章 豆粕期货价格发现功能及套期保值功能实证分析...........23
4.1 豆粕期货价格与现货价格的一致性分析....23
4.1.1 样本数据..........23
4.1.2 分析步骤..........24
4.1.3 豆粕的期货价格和现货价格的相关性分析..25
4.1.4 豆粕的期货价格和现货价格的 ADF 检验....26
4.1.5 豆粕现货价格与期货价格的协整检验..........28
4.1.6 豆粕现货价格与期货价格的因果检验..........29
4.2 VAR 目标函数约束下的 GARCH 动态套期保值比率模型30
4.2.1 ECM 模型框架下的套保比率.31
4.2.2 基于 VaR 模型的期货套期保值比率模型.....31
4.2.3 基于动态套期保值比率的套期保值效果评估..........37
第 5 章 结论与展望...38
5.1 研究结论........38
5.2 DB 企业风险管理策略 ..........38
5.3 本文的创新....39
致谢.....40
参考文献.........41
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