本文运用经验模态分解(EMD)方法对螺纹钢期货和现货价格的对数收益率数据进行分解。通过对不同周期的分量进行对比,本文研究了套期保值期限与最优套期保值比率和套期保值绩效之间的关系。实证结果表明:随着套保期限的增加,最优套期保值比率先增大,后减小;螺纹钢市场进行不同期限的套期保值能够不同程度地降低螺纹钢现货生产和经营的风险,短期套期保值的效果更好。

Applying empirical mode decomposition（EMD） method,this paper decomposes times series of both steel futures prices and spot prices into several intrinsic modes functions（IMFs） and the average trend terms.It makes statistics and quantitative analysis for the decomposed data of different component,which indicates that：1） compared with the correlation of the futures prices and the spot prices,the trend terms of futures prices are more correlated with that of the spot prices;2） the dominant IMFs of futures guide the dominates IMFs of spot prices on the shape;3） medium-term and long-term volatility component have good Granger relationship between futures and spot prices.All these show that the steel futures market has achieved the price discovery function.