採購風險控管之最適外匯避險策略探討

The Optimal Hedging Strategy on the Control of Purchasing Risk

陳美惠(Mei-Hui Chen) ； 張簡明賢(Ming-Hsien Chang Chien)

《國防管理學術暨實務研討會》 第十八屆 (2010/06) Pp. 250-269

https://doi.org/10.29497/GFGL.201006.0250

摘要

本研究探討外匯避險策略，衡量外匯期貨與美元指數期貨商品的避險績效，透過OLS、ECM、DCC-GARCH與ICSS-GARCH等避險模型估計最佳避險比率，並進行樣本內與樣本外避險績效之比較。實證結果發現樣本內美元指數期貨其避險績效優於其他外匯期貨，表示投資組合概念商品的避險效果優於單一貨幣商品。另外，對於避險模型之績效比較，在發現不同期貨商品操作下亦要考慮適合的固定或動態模型，加上配合觀察避險績效趨勢決定交易時間點，以達最佳避險效果。

關鍵字

外匯期貨 ； 美元指數 ； 避險策略 ； 避險模型

並列摘要

This paper discusses the foreign exchange hedging strategies by considering the hedging performance among currency futures and US Dollar Index (USDX) futures. We adopt OLS, ECM, DCC-GARCH and ICSS-GARCH models to obtain optimal hedge ratios and to measure out-of-sample hedging performance of future contracts in order to find out the most appropriate hedging strategy. The empirical results show that the USDX futures in-sample hedging performance is superior to currency futures, indicate the concept of commodity hedging portfolio is better than a single currency products. Moreover, in comparison with performances resulted by hedges models, a best hedging effect should be taken for different forwards contracts to consider adequate static or dynamic models as well as an opportune trading time prior to observation of trends of hedging performances.

並列關鍵字

Currency futures ； USDX ； hedging strategy ； hedge model