外匯風險管理－外匯期貨及遠期外匯契約之避險效益分析

Foreign Exchange Risk Management - Analysis of the Hedging Effectiveness of the Currency Futures and Currency Forwards

楊明晶(Ming-Jing Yang) ； 董澍琦(Shuh-Chyi Doong) ； 劉孟宜(Meng-Yi Liu)

《證券市場發展季刊》 22卷3期 (2010/10) Pp. 105-136

https://doi.org/10.6529/RSFM.2010.22(3).4

摘要

此研究以現代投資組合風險與報酬避險模型、擴展式平均吉尼避險模型及傳統極小化變異數避險模型，來分析國際性外匯期貨（日圓、英鎊、及瑞士法郎等外匯期貨）對新台幣即期匯率之最適避險比率與避險效益。引進一個同時考量風險與報酬的期貨避險效益衡量方法，使得期貨契約之避險效益不僅決定於期貨與現貨的相關程度，同時更決定於期貨與現貨部位各別風險與報酬的相對比例值，因此在考慮到國際風險分散化利益後，外幣期貨亦可能產生相當高的交叉避險績效。此研究執行多種不同實證分析外匯期貨對新台幣即期匯率的避險效益，此外亦比較性分析主要國際性遠期外匯契約（日圓、英鎊、及瑞士法郎等遠期外匯契約）對新台幣匯率的避險效益。若外匯期貨或遠期外匯契約能有效地規避台灣匯市風險，不但能為海外投資的資金提供一個避險方式，亦為台灣經濟及進出口貿易在邁向國際化時，找到一項深具潛能而有價值的避險工具。實證研究方法中除傳統靜態避險模式外，並衡量動態避險模式在樣本外之避險績效，使避險者可因應新資訊的改變而適度地調整最適避險比率。本研究主要結論為：（1）若僅考慮風險因素，日圓期貨與遠期契約在規避新台幣兌日圓及美元之即期匯率風險上具有較高的避險績效。（2）當引進投資報酬因素時，亦即同時考量風險與報酬的影響，則風險趨避程度及避險期間的長短會影響其最適的避險工具及避險策略，但日圓期貨與遠期契約仍為有效的避險工具。（3）整體而言，以避險模型所求出之避險比率進行避險皆優於單純避險比率的避險績效。

關鍵字

外匯期貨 ； 遠期外匯 ； 避險效益 ； 交叉避險 ； 外匯風險管理

並列摘要

This research uses the modern portfolio risk-return model, the extended mean-Gini model, and the traditional minimum-variance model to analyze the hedging effectiveness of the major foreign currency futures (Japanese Yen, British Pound, and Swiss Franc futures) to the exchange rate market of Taiwanese Dollar. A risk-return measure of the hedging effectiveness of futures contracts not only depends on the spot-futures correlation, but also depends on the risk-return relative of the spot and futures. Thus, after taking into account the international diversification benefits, the cross-hedging performance of the foreign currency futures could be relatively satisfactory. Various empirical tests are performed to hedge the spot exchange rate of Taiwanese Dollar with the foreign currency futures. Furthermore, a comparative analysis is performed on the hedging effectiveness of the foreign currency futures and that of the currency forwards to the spot exchange rate of Taiwanese Dollar. If the foreign currency futures or forwards can effectively hedge the risk associated with the Taiwanese exchange rate market, they would provide a hedge for the capital invested abroad and would become a valuable hedging instrument for Taiwanese economy. Besides the traditional static hedging, the out-of-sample hedging performance of the optimal dynamic hedge ratios is also measured to adjust for the arrivals of new information. The major findings are summarized as follows: (1) The hedging performance of Japanese Yen futures and forwards is higher than other hedging instruments when the minimization of portfolio risk is the major concern. (2) If risk and return are both taken into account, the hedge period and investors’ risk aversion affect the optimal hedging instruments and hedging strategies. Nevertheless, Japanese Yen futures and forwards are still effective hedging instruments. (3) Overall, the hedge ratios derived by the hedging models outperform the naïve hedge ratios in most of the sample periods.

並列關鍵字

Currency Futures ； Currency Forwards ； Hedging Effectiveness ； Cross Hedging ； Foreign Exchange Risk Management

參考文獻

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