中国的大豆压榨行业起源也较早，以小规模作坊加工活动为主。2000 年以来 国内油脂油料行业发生了根本性变化，加入 WTO 后，随着中国全面对外开放和城 镇化建设，油脂油料行业出现了剧烈变化，消费升级带来的油脂油料消费需求迅 速攀升，国内油脂油料需求呈现刚性增长，自产能力不足导致大豆及食用油脂对 外依存度逐年加大。价廉质优的进口大豆快速地抢占中国市场，同时大豆加工产 能也出现爆炸性增长，全国大豆压榨产能整体过剩，行业竞争激烈。中国进口大 豆的规模逐步攀升，但中国庞大的市场需求，并未给中国带来绝对定价的主动权， 对外依存度依然较高。从国际贸易流向和压榨企业产业链的角度看，依靠进口外 国油脂原料为压榨企业持续地运营、控制风险和获取利润提出较大的考验。同时， 国内油脂企业也在大量发展，行业竞争日趋激烈，也加剧了市场波动的风险，这 就为稳定油脂油料市场提出了现实要求。 随着两次“大豆风波”的发生，在大豆原料对外依存度增强的情况下，历经 国际大豆市场价格波动考验的产业人士意识到国内压榨企业缺乏有效的规避风险 的手段和工具。利用期货工具进行套期保值，规避价格波动风险逐步成为压榨行 业内所接受的全新运营理念，为行业的平稳发展发挥了积极的作用，管控价格风 险是企业持续稳健发展的关键。 为了更好地指导和服务压榨企业做好大豆等原料的价格管控工作，稳定压榨 原料价格变动风险，本文基于蛛网理论和套期保值的理念，在收集和分析实证数 据的基础上，通过分析和论述影响期货价格的诸多因素，重点研究其中的关键因 素——供需因素，分析了国内压榨企业主要采取的“现对现”、“100%套期保值”、 “合理套保”和“不套保赌市场”等期现货运营模式。以 SOC 公司期货保值操作 为例，通过对美国大豆供需形势、供需平衡表和库存消费比等供需因素的研究， 建立多元回归模型分析其与美国芝加哥期货交易所(CBOT)的大豆期货走势的相 关性研究，依据回归分析结果指导压榨企业依托供需因素和供需数据进行套期保 值，通过研判期货价格走势，寻找最佳的套保时机。在此基础上，对影响套期保 值利润的因素进行分析，对整个国际大豆供需形势进行准确的分析判断，从而预 测未来价格和行业榨利的变动，并提出相应的套期保值策略。结果表明，套期保 值策略的优势主要体现在减小波动、防范风险、锁定利润等方面，可以形成真实、 连续和权威的期货价格，指导企业完成销售工作，鼓励客户也积极参与到期货交 易中去，实现企业和客户的双赢。总之，期货市场为公司期货保值业务的决策寻 找新的解决思路，以期在风险可控的基础上稳步扩大经营规模。 关键词：油脂油料行业；期货工具；供需因素；套期保值策略Abstract China's soybean crushing industry originated earlier, mainly in small-scale workshop processing activities. Since 2000, fundamental changes have taken place in the domestic oil and oil industry.After China's accession to the WTO, with China's comprehensive opening up and urbanization construction, the oil and oil industry has undergone dramatic changes. The consumption demand for oil and oil is rising rapidly due to consumption upgrading. The domestic demand for oil and oil is growing rigidly. The lack of self-production capacity leads to the increasing dependence of soybean and edible oil on foreign countries 。 The cheap and high-quality imported soybeans quickly occupied the Chinese market, while the soybean processing capacity also showed explosive growth, the whole country's soybean crushing capacity was overabundant, and the industry competition was fierce. The scale of China's soybean imports has gradually increased, but China's huge market demand has not brought China the absolute pricing initiative, and the degree of dependence on foreign countries is still high. From the perspective of international trade flow and the industrial chain of pressing enterprises, relying on the import of foreign oil and fat raw materials puts forward a great test for the continuous operation, risk control and profit of the press enterprises. At the same time, domestic oil enterprises are also developing in a large number, and the industry competition is becoming increasingly fierce, which also aggravates the risk of market fluctuations, which puts forward practical requirements for stabilizing the oil and oil market. With the occurrence of two "soybean storm", in the case of increasing dependence of soybean raw materials on foreign countries, the industrial people who have experienced the test of international soybean market price fluctuation realize that domestic squeezing enterprises lack effective means and tools to avoid risks. Using futures instruments to hedge and avoid price fluctuation risk has gradually become a new operation concept accepted by the squeezing industry, which has played a positive role in the steady development of the industry. Controlling the price risk is the key to the sustainable and stable development of enterprises. In order to better guide and serve the squeezing enterprises, do a good job in the price control of soybean and other raw materials, and stabilize the price fluctuation risk of raw materials, this paper, based on the cobweb theory and the concept of hedging,analyzes and discusses many factors that affect the futures price, focusing on the key factors of supply and demand, and analyzes the domestic market The main operating modes adopted by squeezing enterprises are "cash to cash", "100% hedging", "reasonable hedging" and "no hedging gambling market". Taking the futures hedging operation of SOC company as an example, this paper studies the supply and demand situation, balance sheet and inventory consumption ratio of soybean in the United States, and establishes a multiple regression model to analyze the correlation between it and the trend of soybean futures of Chicago Futures Exchange (CBOT) We should study and judge the futures price trend and find the best hedging opportunity. On this basis, this paper analyzes the factors that affect the hedging profit, analyzes and judges the international soybean supply and demand situation accurately, so as to predict the future price and the industry profit, and puts forward the corresponding hedging strategy. The results show that the advantages of hedging strategy are mainly reflected in reducing volatility, preventing risks and locking profits. It can form a real, continuous and authoritative futures price, guide enterprises to complete sales work, and encourage customers to actively participate in futures trading, so as to achieve a win-win situation between enterprises and customers. In a word, the futures market is looking for new solutions for the decision-making of the company's futures hedging business, so as to steadily expand the business scale on the basis of controllable risks. Key Words：Oil and oil industry; Futures instruments; Supply and demand factors; Hedging strategy目录 第一章 引言..................................................................................................1 1.1 研究背景..........................................................................................................1 1.2 问题的提出......................................................................................................4 1.3 研究的目的和意义..........................................................................................5 1.4 研究的主要内容..............................................................................................5 1.5 研究方法..........................................................................................................6 1.6 论文结构安排..................................................................................................6 1.7 研究创新点与难点..........................................................................................7 第二章 相关理论与文献综述......................................................................9 2.1 蛛网理论..........................................................................................................9 2.1.1 收敛型蛛网模型......................................................................................................9 2.1.2 发散型蛛网模型......................................................................................................9 2.1.3 封闭型蛛网模型................................................................................................