An Empirical Study Of The Optimal Hedge Ratio Of Brent Crude Oil Futures

This paper focuses on the international oil market and hedging theory research, through the study of international crude oil spot market and the price system, the use of futures hedging theory, in-depth study of Brent crude oil hedging ratio between futures and spot. Currently more than 70% of global crude oil trade directly or indirectly, the use of Brent crude oil futures prices, while China’s dependence on crude oil has exceeded 50%, and therefore, the risk of fluctuations in international crude oil price control has become the focus of the work of each enterprise must focus. Crude oil is the blood industry, but also affect the national economy and an important resource. Through the study of the international oil market and crude oil pricing system, describes the current views of Brent crude oil became the main basis of international crude oil prices, and the analysis of the main factors affecting the changes in oil prices as well as companies choose to hedge factors, this article further deepen the study of the development of hedging theory, the theoretical study of the optimal hedge ratios are expanded discussion, introduced several models and methods hedge ratio study. And for the Brent crude oil market, Brent crude oil spot and futures prices for a detailed study and comparison of the data. The use of minimum variance model(MV), dual variable vector auto regression model(B-VAR), error correction model(ECM) and Brent futures for Brent crude oil spot market empirical research, find three kinds of static hedging optimal hedge ratio model. Come in the near future preservation, select B-VAR model of optimal hedge ratio is excellent, the choice of forward hedging contracts is the ECM model is better. For domestic enterprises to participate in international crude oil trading, crude oil futures to hedge the use of theoretical basis, to fill the Brent crude oil spot and futures on research gaps.