考量狀態轉換對銀行在利率和匯率下的風險管理

A regime-switching approach for Bank interest rate and foreign exchange risk management

吳瑞益(Jui-Yi Wu)

指導教授 ： 李享泰

國立暨南國際大學/管理學院/財務金融學系/碩士(2010年)

https://doi.org/10.6837/NCNU.2010.00162

摘要

本文檢定美國銀行產業在利率風險和匯率風險下的投資組合動態避險績效，在避險文獻上鮮少有針對銀行研究同時考慮投組效果和狀態轉換的避險績效。本文同時考量上述兩種可以改善銀行避險績效的效果，並採用 Billio 與 Caporin (2005) 提出的多變量馬可夫狀態轉換動態條件相關 GARCH (Multivariate Markov Switching Dynamic Conditional Correlation GARCH, MS-DCC GARCH) 模型來彌補文獻上的不足。實證結果顯示投組避險相對於個別避險在樣本外有較佳的避險績效。而且當我們考慮狀態轉換的效果後，此績效能夠更進一步的提升。因此，當銀行要同時建構利率和匯率的避險策略時，實證結果顯示同時考量投組避險和狀態轉換效果兩者的重要性。

關鍵字

動態避險 ； 利率風險 ； 匯率風險 ； GARCH模型 ； 狀態轉換

並列摘要

This paper investigates the dynamic portfolio hedging effectiveness of US banks when expose to both risks of interest rate and currency. There are few studies focus on bank’s hedging effectiveness under portfolio effect and regime switching effect. This paper tries to fill this literature gap by applying a Multivariate Markov Switching Dynamic Conditional Correlation GARCH (MS-DCC GARCH) model to investigate if taking account of both effects improves bank’s hedging effectiveness. Empirical results show that portfolio hedging is superior to separate hedging out-of-sample in terms of both return maximization and risk minimization. The hedging performance is further improved when we incorporate the regime switching effect. This shows the importance of incorporating both effects of portfolio and regime switching for bank while constructing hedging strategies to hedge both interest rate and currency risks.

並列關鍵字

Dynamic hedge ； Interest rate risk ； Foreign exchange risk ； GARCH model ； Regime-Switching

參考文獻

Alizadeh, A. & Nomikos, N., (2004). “A Markov regime switching approach for hedging stock indices.” The Journal of Futures Markets 24, 649-674.

Anderson, R. W. & Danthine, J. P., (1981). “Cross hedging.” Journal of Political Economy 89, 1182-1196.

Bollerslev, T., (1986). “Generalized autoregressive conditional heteroscedasticity.”Journal of Econometrics 31, 307-327.

Bollerslev, T., (1990). “Modeling the coherence in short -run nominal exchange rates: A multivariate generalized ARCH model.” The Review of Economics and Statistics 72, 498-505.

Brailford, T., Penm, H. W. & Lai, C. D., (2006). “Effectiveness of High Interest Rate Policy on Exchange Rates: A Reexamination of the Asian Financial Crisis.” Journal of Applied Mathematics & Decision Sciences 26, 1-9.