摘要
计量经济模型总风险由模型(误设)风险和估计风险构成。本文同时运用基于频率统计的后视计量经济模型和基于MCMC模拟的贝叶斯方法对我国铜期货市场不同套期保值期限的最优套期保值比进行实证分析。实证结果清楚表明,估计风险对模型结果有重要影响。在处理估计风险方面,贝叶斯方法较频率统计方法有明显优势。另外,套期保值效率与套期保值期限之间的正相关关系在本研究中得到确定,无论是基于频率统计,还是基于贝叶斯统计。
The risk of econometric models includes model-misspecification risk and estimation risk.Backward-looking econometric models based on frequentist statistics don't account for the existence of estimation risk.The Bayesian approach provides a general framework where estimation risk is naturally accounted for when considering the parameters as random variable.This article use Bayesian approach based on MCMC simulation to estimate the optimal hedge ratio of china's copper futures market.The performance of the Bayesian hedge ratios is compared to that of alternative frequentist statistics approach.The Bayesian empirical result indicate EC-VAR model perform best and the hedging performance of VAR model significantly surpass that of simple OLS model.On the contrary,if not accounting for estimation risk,EC-VAR model perform worst and the hedging performance of VAR model don't significantly surpass that of OLS model The positive correlation between hedging horizon and hedging effectiveness is identified in this research.
出处
《管理工程学报》
CSSCI
北大核心
2009年第3期120-125,共6页
Journal of Industrial Engineering and Engineering Management
关键词
估计风险
贝叶斯统计
频率统计
MCMC模拟
套期保值
estimation risk
Bayesian statistics
frequentist statistics
MCMC simulation
futures hedging
