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مدیریت ریسک قیمت محصول خرما با استفاده از بازار آتی (کاربرد مدل گارچ دو متغیره) | ||
| تحقیقات اقتصاد و توسعه کشاورزی ایران | ||
| مقاله 3، دوره 45، شماره 4، دی 1393، صفحه 601-611 اصل مقاله (832.71 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22059/ijaedr.2014.53835 | ||
| نویسندگان | ||
| حبیبه شرافتمند* 1؛ سعید یزدانی2؛ رضا مقدسی3 | ||
| 1دانشجوی دکتری اقتصاد کشاورزی دانشگاه آزاد اسلامی، واحد علوم و تحقیقات تهران | ||
| 2استاد گروه اقتصاد کشاورزی، پردیس کشاورزی و منابع طبیعی دانشگاه تهران | ||
| 3دانشیار گروه اقتصاد کشاورزی دانشگاه آزاد اسلامی، واحد علوم و تحقیقات تهران | ||
| چکیده | ||
| کشاورزی فعالیتی است که مخاطرات زیادی دارد. در این فعالیت، انواع ریسک‌های طبیعی، اجتماعی و اقتصادی دست‌به‌دست هم می‌دهند و مجموعة شکننده و آسیب‌پذیری برای تولیدکنندگان فراهم می‌کنند. در این میان، ریسک قیمتی در محصولات کشاورزی، مشکلات مالی فراوانی برای تولیدکنندگان ایجاد کرده است، این مطالعه بر امکان استفاده از بازار آتی به‌عنوان ابزار مدیریتی ریسک قیمتی محصول خرما تمرکز کرد؛ بنابراین ابتدا با استفاده از قیمت‌های ماهانة خرما و به‌کارگیری چارچوب تئوری میانگین واریانس، نسبت تأمین با روشOLS تعیین شد. سپس به‌دلیل وجود واریانس‌های شرطی خودهمبسته، نسبت تأمین متغیر طی زمان با استفاده از مدل گارچ دومتغیره برآورد شد. ماتریس واریانس کوواریانس شرطی متغیر طی زمان براساس مدل‌های چندمتغیرة ناهمسان واریانسBekk (1/1) تخمین زده شد. سپس با استفاده از نتایج این ماتریس‌ها، نسبت تأمین متغیر طی زمان برآورد شد. پیش‌بینی قیمت آتی خرما با استفاده از الگوی شبکة عصبی و الگوی گارچ است. نسبت تأمین استخراجی از روش گارچ دومتغیره به‌طور متوسط برابر 7/0 برآورد شد و بیانگر این است که حدود 70 درصد از ریسک قیمتی محصول خرما می‌تواند با فروش در بازار آتی کاهش یابد. | ||
| کلیدواژه‌ها | ||
| بازار آتی؛ خرما؛ ریسک قیمت؛ مدل گارچ | ||
| عنوان مقاله [English] | ||
| Dates price risk management using futures markets tools (Bivariate GARCH model) | ||
| نویسندگان [English] | ||
| Habibe Sherafatmand1؛ Saied Yazdani2؛ Reza Moghadasi3 | ||
| 1PhD. Candidate and Associate Professor, Agricultural Economics, Azad University, Branch of Sciences and Research, University of Tehran, Iran | ||
| 2Professor, Agricultural Economics, University of Tehran, Iran | ||
| 3Professor, Agricultural Economics, University of Tehran, Iran | ||
| چکیده [English] | ||
| Agricultural activities are risky activities. In these activities, various natural, social and economic risks have created fragile and vulnerable situation for producers. Price risk in agricultural products has caused financial problems for many producers and farmers. To deal with these price risks and price fluctuations, there are varieties of tools. This paper focused on futures markets instruments as risk management tools for date's price risks management. This study used monthly futures prices of dates and used mean-variance framework to determine the optimal hedge ratio with OLS method. Due to the conditional variances autocorrelated in residuals in regression models, time varying hedge ratios with Bivariate GARCH models were determined. Bivariate GARCH model was used in this study to determine hedge ratios. Therefore, first, time varying conditional variance covariance matrix with using multivariate models based on heterogeneous variance BEKK (1, 1) was estimated. Then, using the results of this matrix, the optimal time varing hedge ratios was calculated. Dates future price series were predicted using artificial neural networks pattern and the GARCH model. The results of hedge performance showed that time varying hedge ratios were eliminated more price risk than the OLS method. The results showed that the average hedge ratios of Bivariate GARCH model is 0.7, meaning that about 70% of the date's price risk could be reduced with sales in the futures market. | ||
| کلیدواژه‌ها [English] | ||
| BGARCH models and dates, future market, price risk | ||
| مراجع | ||
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