The Efficiency of a Cross Hedge Model for Currencies among Asian Four Dragons

Jing-Tung Wu ； Her-Jiun Sheu ； Sou-Shan Wu

《Asia Pacific Management Review》 6卷3期 (2001/09) Pp. 305-316

並列摘要

The cross hedge ratio of exchange rate is usually estimated using Ederington's risk minimization model (1979). However, the resulting hedge effectiveness didn't show well in general. After the exploration of the exchange rate valuation model, a single factor adjusted model and multiple factors adjusted model are proposed to enhance the hedge effectiveness. The data from Jan. 1990 to Dec. 2000 for the Asian four dragons (Taiwan, Singapore, Hong Kong, Korea) are employed to test the efficiency of the proposed models. Our results indicate that the estimated ability of the adjusted models outperform the traditional model.

並列關鍵字

Asian Fur Dragons ； Cross Hedge Ratio ； Exchange Rate ； Hedge Effectiveness ； Risk Minimization Model

參考文獻

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