I ABSTRACT Ill 第一章引言 1 1.1背景与意义 1 1.2概念界定与业务流程 3 1.2.1套期保值贷款 3 1.2.2套期保值贷款流程 3 1.2.3套期保值贷款举例 4 1.3本文的结构 4 1.4本文的创新点与不足 5 1.4.1本文的创新点 5 1.4.2本文的不足 5 第二章文献综述 6 2.1套期保值理论 6 2.2期货合约设计 6 2.2.1外国期货合约设计 6 2.2.2中国期货合约设计 8 2.3不同种类期货合约 9 2.4简评 11 第三章套期保值贷款必要性与可行性分析 12 3.1套期保值贷款的必要性 12 山东大学硕士学位报告 3.1.1企业、银行、国家发展 12 3.1.2银行加强资本约束管理 12 3.1.3银行提高风险控制水平 13 3.1.4银行资本扩张与市场规模约束 13 3.1.5股东收益最大化与降低资本消耗 14 3.2套期保值贷款可行性分析 14 3.2.1市场条件已然成熟 14 3.2.2操作机制已然成熟 18 3.2.3运作经验已经成熟 21 第四章我国期货市场套期保值贷款市场规模测算 25 4.1数据来源、变量描述与模型构建 25 4.2实证结果及分析 27 4.3我国套期保值贷款规模预测 29 4.3.1期货市场成交规模预测 29 4.3.2套期保值总额预测 30 4.3.3套期保值贷款规模测度 32 4.3.4规模预测结论分析 33 第五章政策建议与研究展望 36 5.1政策建议 36 5.2研究展望 38 39 聽 43 山东大学硕士学位报告 Abstract ABSTRACT(Chinese) I ABSTRACT(English) Ill Chapter I Introduction 1 1.1 Background and significance 1 1.2 Concept definition and business case 3 1.2.1 Hedging loans 3 122 Hedging the loan process 3 1.2.3 Examples of hedging loan 4 1.3 Structure 4 1.4 Innovation and insignificance 5 1.4.1 Innovation 5 1.4.2 Insignificance 5 Chapter II Literature Review 6 2.1 Futures contract design 6 2.1.1 Foreign futures contract design 6 2.1.2 Chinaflitures contract design 7 2.2 Different types 9 2.3 Brief Review 10 Chapter III The necessity and feasibility analysis 12 3.1 Necessity 12 3.1.1 Enterprises, banks, national development 12 3.1.2 Strong capital constraint management 12 3.1.3 The level of risk control 13 3.1.4 Capital expansion and size of market constraints 13 3.1.5 Maximize shareholder value and reduce capital consumption 14 3.2 Feasibility 14 3.2.1 Sophisticated market conditions 14 山东大学硕士学位报告 3.2.2 Mature operating mechanism 18 3.2.3 Ripe operational experience 21 Chapter IV Market scale estimates 25 4.1 Data sources, variable description and model 25 4.2 Empirical results and analysis 27 4.3 Scales 29 4.3.1 Turnover scale forecasts 29 4.3.2 Hedging the total forecast 30 4.3.3 Hedging the loan scale measure 32 Chapter V Policy recommendations 36 References 39 Acknowledgements 43 山东大学硕士学位报告 中文摘要 改革幵放以来,我国确立了以发展建立社会主义市场经济为主导思想的经济 体制改革方针。随着市场经济制度在我国的建立,我国计划经济成分不断下降, 对市场经济制度的理解不断加深,对市场经济体制的贯彻逐步深入,市场参与主 体空前活跃,国家经济总量不断发展,截至2010年,中国GDP总量已经超过日 本,成为世界第二大经济体。市场经济的一个重要特点就是供求关系决定价格, 产品的生产、销售和各种服务完全通过自由价格机制所引导,通过市场这支“看 不见的手”将资源配置到能发挥其最大功效的地方,这极大的有助于资源的有效 配置。然而,在市场经济中,国家“看的见的手”对价格的控制能力逐渐减弱, 农户、企业的生产完全由产品市场价格决定,受到价格风险的制约,而现实中的 市场并不满足市场经济理论中市场“信息无成本、结构有弹性、资源无极限”的 假设,有摩擦的市场最终会造成市场的“非效率”,使得价格大起大落,更为严 重的可能导致“生产过剩”的经济危机,造成企业的倒闭,工人的失业。 从银行的传统信贷业务来看,吸收存款、发放贷款,通过存贷差获取的利润 仍然占据国内商业银行80%以上的利润来源。而对于多数国内企业来讲,扩大再 生产需要的资金大部分仍由间接银行融资来满足,市场价格大幅波动在导致企业 生产、经营遇到困难的同时,对银行的经营也会产生重要的影响。如何控制企业 所面临的价格风险、控制银行所面临的企业信用风险、控制国家经济发展由于企 业生产过剩带来的不稳定性至关重要。通过合理使用远期、期货、期权等衍生金 融产品进行套期保值业务将会有效规避这种价格的不确定性,即使在价格出现大 起大落时,套期保值业务的使用也能有效地为企业降低甚至消除由价格变动带来 的风险,尽管这也使得企业放弃了可能获得的收益。 有鉴于套期保值业务在保障企业正常运营,保护银行免于信用风险,维护国 家经济稳定等方面的重要性,本文在分析现阶段我国市场中的具体因素、发展状 况基础上,探讨套期保值业务对支持我国传统信贷业务发展的可能性,并对套期 保值支持传统信贷业务的市场规模进行测度分析,提出政策建议,为我国更好的 发展套期保值业务,维护企业生产经营,保障银行正常资金融通,促进国家经济 发展作出有益探索。 关键词:套期保值;期货市场;对冲交割;大宗商品;美国商品期货交易委 员会 山东大学硕士学位报告 ABSTRACT Since the reform and the opening-up, China has established a policy of economic reform for the development of establishing a socialist market economy,it is also the dominant ideology. With the establishment of market economy system and the deepening understanding of the market economy system in China, the composition of China's planned economy continues to decline and the carrying out of the market economy system gradual deepens. Market participants are more active than ever and the continuous development of the national economic aggregate. As of 2010, the total GDP of China has surpassed Japan to become the world's second largest economy. An important feature of the market economy is the supply and demand determine the prices and the productions, sales, and various services are completely guided by the free-price mechanism. People use market—the invisible hand to allocate resources to maximize its efficacy, which greatly helps with the efficient allocation of resources. However, in market economy, this visible hand which controls the prices gradually weakened. The production is completely determined by the market price and the farmers are subjected to the constraints of price risk. In reality, the market does not meet the market economic theory in the market as it does not satisfy free information, flexible structure, unlimited resources assumption. The friction in the market will eventually results in the inefficiency of the market, making the price fluctuate and also could lead to more serious economic crisis of overproduction and result in the closure of enterprises, jobless of workers. From the traditional bank credit business, deposits and loans, domestic commercial banks continue to occupy more than 80% of the source of profit through the high saving rate and low deposit rate. Most of the reproduction funds still come from indirect bank finance for the majority of domestic enterprises to expand. Market price fluctuations trap enterprises in difficulties an will also have a major impact on banks' business. How to control the price risk faced by the enterprise to control the corporate credit risk faced by banks and how to control the country's economic development due to the production of excess stability is essential. By rational use of in 山东大学硕士学位报告 forwards, futures, options and other derivative products for hedging business will effectively avoid the uncertainty of this matter concerning the ups and downs of the price. The use of hedging operations can also be effective for enterprises to reduce or even eliminate the risks of price changes, although it also allows companies to give up potential gains. In view of the hedging operations to protect the normal operation of enterprises, to protect banks from credit risk, to safeguard the country's economic stability and on the basis of the development of specific factors in the analysis of China's market, this article explores the hedging business and discuss the possibility of its supporting to the traditional credit business. We also measure its market scales and make policy recommendations in order that China could develop hedging operations, maintain the operation of enterprises and protect banks from bankrupts. We want to promote national economic development to make a useful exploration. Keywords: Hedging; futures market; hedge settlement; commodities; the U.S. Commodity Futures Trading Commission IV 山东大学硕士学位报告 第一章引言 1.1背景与意义 改革开放以来,我国确立了以发展建立社会主义市场经济为主导思想的经济 体制改革方针。随着市场经济制度在我国的建立,我国计划经济成分不断下降, 对市场经济制度的理解不断加深,对市场经济体制的贯彻逐步深入,市场参与主 体空前活跃,国家经济总量不断发展,截至2010年,中国GDP总量已经超过日 本,成为世界第二大经济体。市场经济的一个重要特点就是供求关系决定价格, 产品的生产、销售和各种服务完全通过自由价格机制所引导,通过市场这支“看 不见的手”将资源配置到能发挥其最大功效的地方,这极大的有助于资源的有效 配置。然而,在市场经济中,国家“看的见的手”对价格的控制能力逐渐减弱, 农户、企业的生产完全由产品市场价格决定,受到价格风险的制约,而现实中的 市场并不满足市场经济理论中市场“信息无成本、结构有弹性、资源无极限”的 假设,有摩擦的市场最终会造成市场的“非效率”,使得价格大起大落,更为严 重的可能导致“生产过剩”的经济危机,造成企业的倒闭,工人的失业。 期货市场的价格发现和风险回避功能能够为市场经济的参与主体提供有效 的避险工具,期货市场能够在不同承受能力的市场主体之间进行风险的再配置, 提高交易主体的定价效率。通过合理使用远期、期货、期权等衍生金融产品进行 的套期保值业务将会有效地规避价格的不确定性,即使在价格出现大起大落时, 套期保值业务使用也能有效地为企业降低甚至消除由价格变动带来的风险,尽管 这也使得企业放弃了可能获得的收益,但大规模风险的消除也使得企业在面临严 重困难时免于破产危机。 通过远期、期货、期权、互换等衍生产品进行套期保值业务已经成为了西方 发达国家用以消除价格波动的影响、规避风险、提高竞争力的重要手段。由于跨 国公司原材料采购的全球性