狀態轉換下原油期貨對非能源商品的交叉避險績效

The Cross Hedging Effectiveness of Oil Futures for Non-energy Commodities under Regime Switching

本文提出一個同時使用原油期貨及相對應非能源商品期貨的交叉避險策略用來管理非能源商品現貨的價格風險。我們應用多重隨機係數自我迴歸馬可夫狀態轉換模型（MRCARRS）同時估計原油期貨及相對應非能源商品期貨的最適避險比例，文中亦同時建構一個較為精簡的部分狀態轉換MRCARRS （PRCARRS）進行多重期貨避險。實證結果顯示在所有本文檢驗的非能源商品中，MRCARRS或PRCARRS避險策略有最佳的避險績效。根據Diebold、Mariano及West （DMW）的統計檢定量，多重期貨最小平方避險策略顯著不差於單一期貨最小平方避險策略，顯示多重期貨避險的優越性。此外，相較於本文其他競爭的避險策略，最佳避險策略（MRCARRS或PRCARRS）的DMW統計檢定量都為正值，顯示多變量狀態相依RCARRS模型有較優於狀態獨立及靜態避險模型的傾向。

This paper suggests a cross hedging strategy for managing non-energy commodity price risk using both crude oil futures and corresponded non-energy commodity futures. We apply multiple random coefficient autoregressive Markov regime switching models (MRCARRS) for simultaneously estimating the optimal hedge ratios of crude oil futures and non-energy commodity futures. We also envision a more parsimonious partial switching version of MRCARRS (PRCARRS) for multiple futures hedging. Empirical results show that either MRCARRS or PRCARRS is the best performer for all commodities considered. According to the Diebold, Mariano and West (DMW) test statistics, the hedging performance of the multiple futures ordinary least square (MOLS) is statistically no worse than the single futures ordinary least square (OLS). This justifies the superiority of multiple futures hedging over single futures hedging. Moreover, all DMW statistics are positive for the best performer (MRCARRS or PRCARRS) over competing hedging strategies indicating that multivariate state-dependent RCARRS models have a tendency to outperform state-independent and static hedging models.