我国电力期货发展的必要性及交易策略研究

发布时间：2018-01-10 15:41

本文关键词：我国电力期货发展的必要性及交易策略研究　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：电力工业是我国国民经济的支柱性产业之一,电力的供应必须满足经济发展对于电力的需求,供应的不足将制约经济的发展,供应的过剩将降低生产效率。因此,提高电力的交易效率将直接降低企业生产成本,提高供电行业利润。从我国目前情况来看,电力市场在实现逐步转型,诸如远期交易等电力交易都已逐步应用到实际电力交易中,但是,现有的电力交易模式仍然存在着“电力供应缺少长期、稳定的计划”、“电价的剧烈波动”、“交易方法很不灵活”、“电力消费者不易主动参与市场竞争”等问题,在电力市场上电力交易依旧缺乏一定的灵活性,电力市场中的电力交易产品也显得不充分,也使得国内的电力交易者面临较大风险。但是国外诸多发达国家都已相继在电力市场中推出电力期货、期权等电力衍生产品,利用新的金融工具的创新和发展,利用期货的套期保值、风险规避功能,减少价格波动带来的巨大市场冲击。不仅对规避本国的电力交易风险起到了一定的作用,并且也使得本国的电力资源使用效率大大提高。因此本文借鉴国外电力期货交易模式,并结合我国自身的电力资源情况,提出了在我国开展电力期货的必要性以及可行性。运用格兰杰提出的因果检验模型来研究分析期货与现货相互影响的关系,并提出了我国电力期货的交易模式以及合约形式,论述了直接套保和交叉套保时最佳套期保值率的计算方法及其在套期保值中的实际应用。
[Abstract]:Electric power industry is one of the pillar industries in our national economy. The supply of electric power must meet the demand of economic development, and the shortage of supply will restrict the development of economy. Therefore, increasing the efficiency of electricity transaction will directly reduce the production cost and increase the profit of the power supply industry. From the current situation in China, the electricity market is gradually transforming, such as forward trading and other electricity transactions have been gradually applied to the actual electricity transactions, but. There are still "lack of long-term and stable plans for electricity supply", "sharp fluctuations in electricity prices" and "inflexible trading methods" in existing electricity trading modes. "electricity consumers are not easy to take part in the market competition" and so on. In the electricity market, there is still a lack of flexibility in electricity trading, and the electricity trading products in the electricity market are not sufficient. However, many developed countries have introduced electricity futures, options and other power derivatives in the electricity market one after another, using the innovation and development of new financial instruments. The use of futures hedging, risk aversion function, reduce the huge market impact brought by price fluctuations, not only to avoid the domestic electricity transaction risk has played a certain role. And also make the domestic power resources use efficiency greatly improved. Therefore, this paper draws lessons from the foreign electricity futures trading model, and combines the situation of our own power resources. The necessity and feasibility of developing electric power futures in China are put forward. Granger's causality test model is used to study the relationship between futures and spot. The paper also puts forward the trading mode and contract form of electric power futures in China, and discusses the calculation method of optimal hedging rate for direct hedging and cross hedging and its practical application in hedging.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F426.61;F724.5

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