Analyzing the dynamics of the refining margin: implications for valuation and hedging
Analyzing the dynamics of the refining margin: implications for valuation and hedging
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DOI：
10.1080/14697688.2012.708430
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发表时间：
2012-12
影响因子：
1.3
通讯作者：
A. G. Mirantes;J. Población;G. Serna
中科院分区：
文献类型：
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作者：
A. G. Mirantes;J. Población;G. Serna
众所周知，原油及其初级成品油(即取暖油和汽油)的价格是协整的。在本文中，我们扩展了这一经验证据，表明炼油利润率是平稳的，因此表现出与原油或其初级精炼产品不同的动态变化。此外，我们还发现，原油、取暖油和汽油不仅是协整的，而且具有共同的长期动态。这一发现对于管理和对冲炼油公司面临的风险具有至关重要的影响，因为共同的长期趋势发现表明，炼油利润率风险只反映了短期影响。具体地说，本文分析了一种利用裂解价差期权对冲炼油利润率的方法，我们发现，假设原油、取暖油和汽油的共同长期趋势是最准确的套期保值方法。
It is well known that the prices of crude oil and its primary refined products (i.e., heating oil and gasoline) are cointegrated. In this paper, we extend this empirical evidence by showing that the refining margin is stationary and therefore exhibits different dynamics from crude oil or its primary refined products. Furthermore, we show that crude oil, heating oil and gasoline are not only cointegrated but also share common long-term dynamics. This finding has crucial implications in terms of managing and hedging the risk faced by refining companies because the common long-term trend finding implies that the refining margin risk only reflects short-term effects. Specifically, in this paper, a way to hedge the refining margin with crack-spread options is analyzed, and we find that assuming a common long-term trend for crude oil, heating oil and gasoline is the most accurate approach to hedging.