我国铜企业战略套期保值研究
摘要
2000年以后,随着国际宏观经济环境的急剧变化,国际铜价呈现出波动频率与幅度成倍增加的新特征。面对如此剧烈的价格波动,我国铜企业难以用以过去常规性的套期保值方法规避,很多铜企业生产经营陷入困境,有的甚至被破产兼并。为此,学术界有必要提出新的套期保值思路及方法解决我国铜企业所面临的这一新的问题。基于此背景,中国农业大学常清教授率先提出了基于经济周期的套期保值理论,并称其为战略套期保值。
本文以我国铜企业为例,以铜价与经济周期关系为核心,通过理论和实证研究,深入分析了铜价与经济周期之间的内在运行规律,从而全面系统地完善了战略套期保值理论,印证了战略套期保值理论的合理性和可行性。在内容上,本文首先对我国铜企业套期保值现状进行了分析,指出战略套期保值的必要性、重要性,并界定了战略套期保值的概念,对其内涵及理论依据进行了深入分析,提出了战略套期保值必须建立在实证上能够验证铜价与经济周期确实存在显著相关性这一核心命题。随后,在系统梳理铜价影响因素的基础上,围绕核心命题,从显著性、时滞关系、同步性等三个维度对铜价与世界经济周期的相关性进行了实证分析。实证结果表明,尽管世界经济周期与铜价之间存在着显著的相关性且在时滞关系上存在经济周期先于铜价变化的特征,但它们的同步性并不稳定,且呈现逐步弱化的趋势。这主要是世界经济结构正在发生显著变化,中国经济一跃成为影响铜需求的决定因素,反映世界经济周期的OECD全球领先指数已经不能很好地解释铜需求及其铜价的变化,从而导致世界经济周期与铜价同步性逐步弱化的现实。
同时,本文用相同的维度和实证方法对中国经济周期与铜价的关系进行了实证分析。结果显示,中国经济周期在显著性、时滞关系、同步性上都优于世界经济周期。特别是在同步性上,中国经济周期与铜价的同步性非常好,明显优于世界经济周期。这说明中国经济周期较世界经济周期对铜价具有更强的指示意义。此外,本文还进一步用状态空间时变模型验证了中国经济周期对铜价影响日益增强的经济现实。这些实证结论为我国铜企业基于中国经济周期开展战略套期保值提供了扎实的理论及实证基础。
最后,本文对上游、中游、下游三类铜企业战略套期保值的适用性问题进行了分析,并利用现有基本套期保值工具构建了相应的战略套期保值基本策略,对战略套期保值绩效进行了回溯分析。回溯检验结果表明,相对于非战略套期保值策略,战略套期保值策略能够取得明显超额绩效。
本文研究创新主要体现两个方面。一是在理论和实证两个层面首次全面系统地分析了战略套期保值的合理性和可行性,是对战略套期保值理论的一次重要完善和发展；二是在实证层面较全面分析了世界经济及中国经济与铜价的关系,得出中国经济周期影响铜价的程度正在逐渐增强的结论,从而说明我国铜企业基于中国经济周期进行战略套期保值是合理的、可行的和可靠性的,这是本文的一个特色。
The copper price features increasingly frequent fluctuation and margin multiplied as the international macroeconomic environment has changed dramatically since2000. Copper enterprises in China cannot cope with the dramatic impact on the operational environment any longer with normal hedging method. Many such enterprises have faced with operation difficulties, and some of them even have been bankrupted or acquired. Therefore, a new hedging principle should be put forward to solve this problem. Under this background, Professor Qing Chang has put forward a hedging theory based on the economic cycle which is referred to as strategic hedging.
Take the copper enterprises in China as an example, this thesis take the correlation between the copper price and the economic cycle as a core, and the internal operation rule between the copper price and the economic cycle is deeply researched through theoretical and empirical research to master the strategic hedging theory systematically, and verified the reasonability and feasibility of strategic hedging theory. In the content, firstly, the thesis analyzes the current situation on hedging of copper enterprises in China, points out the necessity and importance for strategic hedging, puts forward the concept of strategic hedging, deeply analyzes its connotation and theoretical basis, and also puts forward the core proposition that remarkable correlation between the copper price and the economic cycle has been verified in terms of actual evidence. Secondly, correlation between the copper price and the world economic cycle has been analyzed with actual evidences from three dimensions of significance, time-lag relation and synchronism, based on factors affecting the copper price. The empirical results show that there is instable synchronization between the world economic cycle and the copper price, with a gradual weakening trend, although copper is an international commodity. This mainly caused by significant changes on the world economic structure that Chinese economy has become the determinant affecting the copper demand, while the OECD global leading indicators which used to reflect the world economic cycle cannot well explain the change of copper demand and copper price. This also explains the weakened synchronization between the world economic cycle and the copper price.
Meanwhile, to verify the preceding analysis conclusions and the reasonability of adopting strategic hedging based on Chinese economic cycle, the thesis also analyzes the relationship between Chinese economic cycle and the copper price with the same methods and dimensions. It is proved that Chinese economic cycle is prior to the world economic cycle in terms of significance, time lag relationship, and synchronization. That is to say, Chinese economic cycle is more significant than the world economic cycle in affecting the copper price. Besides, the increasingly enhanced impact of Chinese economic cycle on the copper price has been verified through the state-space time-varying model in this thesis. These results from empirical research provides solid theoretical and empirical basis for the strategy hedging in copper enterprises in China based on Chinese economic cycle.
Finally, the thesis analyzes feasibility of strategic hedging for upstream, midstream, and downstream copper enterprises, constructs corresponding strategic hedging strategy using the existing basic hedging tool, and contains retrospective analysis on performance of strategic hedging. The retrospective verification result shows that strategic hedging, comparing with non-strategic hedging, brings much more outstanding performance for copper enterprises in China.
Innovation of this research includes the following two aspects:1) This thesis analyze the rationale and feasibility of strategic hedging comprehensively and systematically from both theoretical level and empirical level.2) This thesis comprehensively analyzes the relationship between the copper price and the world economy and even Chinese economy, with a conclusion that the impact of Chinese economic cycle on the copper price gradually increased. Therefore, the strategic hedging based on Chinese economic cycle for copper enterprises in China is reasonable, feasible, and reliable.
本文以我国铜企业为例,以铜价与经济周期关系为核心,通过理论和实证研究,深入分析了铜价与经济周期之间的内在运行规律,从而全面系统地完善了战略套期保值理论,印证了战略套期保值理论的合理性和可行性。在内容上,本文首先对我国铜企业套期保值现状进行了分析,指出战略套期保值的必要性、重要性,并界定了战略套期保值的概念,对其内涵及理论依据进行了深入分析,提出了战略套期保值必须建立在实证上能够验证铜价与经济周期确实存在显著相关性这一核心命题。随后,在系统梳理铜价影响因素的基础上,围绕核心命题,从显著性、时滞关系、同步性等三个维度对铜价与世界经济周期的相关性进行了实证分析。实证结果表明,尽管世界经济周期与铜价之间存在着显著的相关性且在时滞关系上存在经济周期先于铜价变化的特征,但它们的同步性并不稳定,且呈现逐步弱化的趋势。这主要是世界经济结构正在发生显著变化,中国经济一跃成为影响铜需求的决定因素,反映世界经济周期的OECD全球领先指数已经不能很好地解释铜需求及其铜价的变化,从而导致世界经济周期与铜价同步性逐步弱化的现实。
同时,本文用相同的维度和实证方法对中国经济周期与铜价的关系进行了实证分析。结果显示,中国经济周期在显著性、时滞关系、同步性上都优于世界经济周期。特别是在同步性上,中国经济周期与铜价的同步性非常好,明显优于世界经济周期。这说明中国经济周期较世界经济周期对铜价具有更强的指示意义。此外,本文还进一步用状态空间时变模型验证了中国经济周期对铜价影响日益增强的经济现实。这些实证结论为我国铜企业基于中国经济周期开展战略套期保值提供了扎实的理论及实证基础。
最后,本文对上游、中游、下游三类铜企业战略套期保值的适用性问题进行了分析,并利用现有基本套期保值工具构建了相应的战略套期保值基本策略,对战略套期保值绩效进行了回溯分析。回溯检验结果表明,相对于非战略套期保值策略,战略套期保值策略能够取得明显超额绩效。
本文研究创新主要体现两个方面。一是在理论和实证两个层面首次全面系统地分析了战略套期保值的合理性和可行性,是对战略套期保值理论的一次重要完善和发展；二是在实证层面较全面分析了世界经济及中国经济与铜价的关系,得出中国经济周期影响铜价的程度正在逐渐增强的结论,从而说明我国铜企业基于中国经济周期进行战略套期保值是合理的、可行的和可靠性的,这是本文的一个特色。
The copper price features increasingly frequent fluctuation and margin multiplied as the international macroeconomic environment has changed dramatically since2000. Copper enterprises in China cannot cope with the dramatic impact on the operational environment any longer with normal hedging method. Many such enterprises have faced with operation difficulties, and some of them even have been bankrupted or acquired. Therefore, a new hedging principle should be put forward to solve this problem. Under this background, Professor Qing Chang has put forward a hedging theory based on the economic cycle which is referred to as strategic hedging.
Take the copper enterprises in China as an example, this thesis take the correlation between the copper price and the economic cycle as a core, and the internal operation rule between the copper price and the economic cycle is deeply researched through theoretical and empirical research to master the strategic hedging theory systematically, and verified the reasonability and feasibility of strategic hedging theory. In the content, firstly, the thesis analyzes the current situation on hedging of copper enterprises in China, points out the necessity and importance for strategic hedging, puts forward the concept of strategic hedging, deeply analyzes its connotation and theoretical basis, and also puts forward the core proposition that remarkable correlation between the copper price and the economic cycle has been verified in terms of actual evidence. Secondly, correlation between the copper price and the world economic cycle has been analyzed with actual evidences from three dimensions of significance, time-lag relation and synchronism, based on factors affecting the copper price. The empirical results show that there is instable synchronization between the world economic cycle and the copper price, with a gradual weakening trend, although copper is an international commodity. This mainly caused by significant changes on the world economic structure that Chinese economy has become the determinant affecting the copper demand, while the OECD global leading indicators which used to reflect the world economic cycle cannot well explain the change of copper demand and copper price. This also explains the weakened synchronization between the world economic cycle and the copper price.
Meanwhile, to verify the preceding analysis conclusions and the reasonability of adopting strategic hedging based on Chinese economic cycle, the thesis also analyzes the relationship between Chinese economic cycle and the copper price with the same methods and dimensions. It is proved that Chinese economic cycle is prior to the world economic cycle in terms of significance, time lag relationship, and synchronization. That is to say, Chinese economic cycle is more significant than the world economic cycle in affecting the copper price. Besides, the increasingly enhanced impact of Chinese economic cycle on the copper price has been verified through the state-space time-varying model in this thesis. These results from empirical research provides solid theoretical and empirical basis for the strategy hedging in copper enterprises in China based on Chinese economic cycle.
Finally, the thesis analyzes feasibility of strategic hedging for upstream, midstream, and downstream copper enterprises, constructs corresponding strategic hedging strategy using the existing basic hedging tool, and contains retrospective analysis on performance of strategic hedging. The retrospective verification result shows that strategic hedging, comparing with non-strategic hedging, brings much more outstanding performance for copper enterprises in China.
Innovation of this research includes the following two aspects:1) This thesis analyze the rationale and feasibility of strategic hedging comprehensively and systematically from both theoretical level and empirical level.2) This thesis comprehensively analyzes the relationship between the copper price and the world economy and even Chinese economy, with a conclusion that the impact of Chinese economic cycle on the copper price gradually increased. Therefore, the strategic hedging based on Chinese economic cycle for copper enterprises in China is reasonable, feasible, and reliable.
引文
2 资料来源：《矿产资源可持续供应问题及对策》,2003。
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