中國石油公司進口原油價格風險之避險策略分析

Abstract

本文主要探討利用期貨契約來規避台灣中油(CPC)進口原油價格風險之避險策略。首先本文根據台灣中油(CPC)的「國內汽、柴油浮動油價調整機制作業原則」之油價調整估計公式，估計台灣中油(CPC)進口原油現貨部位成本，並利用ICE之布蘭特(Brent)原油期貨為避險標的。接著在最小化避險投資組合變異數的目標下，利用不同的動靜態避險方法：天真避險(naive)、傳統最小平方法(OLS)、移動樣本的最小平方法(rollover OLS)、固定條件相關雙變量GARCH模型(constant conditional correlation bivariate GARCH model，CCC-GARCH)與動態條件相關雙變量GARCH模型(dynamic conditional correlationbivariate GARCH model，DCC-GARCH)，加入基差的CCC-GARCH和DCC-GARCH模型以及選擇性避險(selective hedge)方法，來進行規避台灣中油(CPC)進口原油價格風險的績效比較和分析。 實證結果在樣本內避險績效的比較方面，本文的選擇性避險(selective hedge)策略，不但優於一般的CCC-GARCH和DCC-GARCH動態模型避險策略，也優於加入基差後的CCC-GARCH和DCC-GARCH動態模型避險策略，甚至首度超越了表現最好的傳統OLS靜態模型避險策略，為最佳之避險策略；實證結果在樣本外避險績效的比較方面，本文的選擇性避險(selective hedge)策略，也優於傳統OLS靜態模型和CCC-GARCH以及DCC-GARCH動態模型。因此，實證結果顯示無論是在樣本內或是樣本外，本文的選擇性避險(selective hedge)策略都是台灣中油(CPC)規避進口原油價格風險的最佳避險策略。

The purpose of this thesis is to use Brent crude oil futures to dodge the price risk of importing crude oil of Chinese Petroleum Corporation. First, we estimated the cost of importing crude oil of Chinese Petroleum Corporation based on the「Domestic floating price mechanism adjusting principle of gasoline and diesel oil」. Then, we compare the hedging effectiveness based on the hedge ratios estimated from the conventional ordinary least squares (OLS) method, the rollover OLS method, the constant conditional correlation GARCH (CCC-GARCH) model, the dynamic conditional correlation GARCH (DCC-GARCH) model and the selective hedge model. In the framework of minimizing hedging portfolio variances, we find that the hedging strategy of the selective hedge model, which explicitly considers heteroscedasticity and time-varying correlations between the spot and futures returns, outperforms the others both in in-sample and out-of-sample forecasts in this study.