成品油"期货稳价订单"模式的套期保值效率研究OACHSSCDCSTPCD

The"futures price stabilization order"model is of great significance in stabilizing commodity prices in the energy and chemical industry chain and ensuring the security of the energy and chemical supply chain.To study the cross-species hedging efficiency of Shanghai crude oil futures and diesel&gasoline products under the"futures price stabilization order"model,the paper takes Shanghai crude oil futures prices and spot prices of diesel and gasoline from September 2018 to July 2022 as samples,uses OLS,B-VAR,ECM,and BEKK-GARCH models to calculate hedging efficiency,and obtains the optimal hedging ratio.It is found that risk management subsidiaries can reduce risks by participating in"futures price stabilization order",the dynamic hedging ratio based on BEKK-GARCH model is the most effective in diesel and gasoline daily data,the effect based on OLS model is the most effective in weekly and monthly data,the hedging efficiency gradually increases with the sample period extending,and hedging period management is an important channel to reduce the risk of fluctuations in refined oil prices.The comparative study of gasoline and diesel strengthens the credibility of the regression results and provides a reference basis for the model to expand the varieties of oil and gas business in the future.