USD/TWD交叉避險之績效分析-外匯期貨之應用

THE EFFECTIVENESS ANALYSIS OF CROSS HEDGING STRATEGIES ON USD/TWD—CURRENCY FUTURES

楊麗芬(LI-FEN YANG)

指導教授 ： 辛敬文

元智大學/管理學院/管理研究所/碩士(2005年)

摘要

科技之發達，資訊得以快速地傳播，其影響更是無限想像。對各企業而言，全球化佈局勢在必行。對於投資人而言，加速了其訂定投資決策所需之時間，且增加投資機會。無論是投資資金、無形勞務或有形商品的轉移都需透過貨幣的清算功能來達成。然而貨幣的流動，必然反應在匯率的波動上。再者，便是涵括大半毆洲版圖之流通貨幣歐元的出現，與歷經科技泡沫與飽受雙赤字之苦的美元間，有著微妙的關係，且此關係更牽動著其他貨幣價格之走勢。遠期外匯雖能幫助企業鎖住風險，但其流動性似乎無法執行動態避險，以規避瞬息萬變的匯率波動。況且我國期交所尚未推出外匯期貨或選擇權，因此利用此研究以進一步了解，採用其他幣別之期貨契約進行交叉避險，以規避美金對新台幣匯率波動風險之避險效果。

本文主要探討分別採用澳幣期貨、加幣期貨、歐元期貨、英磅期貨及日圓期貨之任一或任二期貨以規避美元對新台幣匯率波動風險。理論基礎，引用最小變異數避險理論模型為主，採用取價差資料型態來建構迴歸式，以最小平方法(OLS)估計迴歸式斜率，而避險比率即為此迴歸式斜率，再依據單一避險策略及二元避險策略進行避險績效分析。由實證分析可作成下列結論：
1.樣本內避險之績效優於樣本外之避險績效。
2.樣本外之動態避險績效大致上優於樣本外之靜態避險績效。
3.樣本內、外避險績效，不同避險期間別之避險績效無太大差異。
4.各組別避險績效上，仍以相關係數較高之日圓期貨為首，再搭配其他四種幣別期貨大致
上更能提升避險績效，且歐元期貨未取代日圓期貨。

關鍵字

交叉避險 ； 外匯期貨 ； 績效分析

並列摘要

In this research I examine the effectiveness of cross hedging the USD/TWD spot exchange rate changes with various futures contracts, including those of Euro, Japanese Yen, Australian Dollar, British Pound and Canadian Dollar, all relative to US Dollar. This study applies the minimum-variance hedge model and the hedge ratio is the slope coefficient estimated from the regression of spot price changes on futures price changes. Both simple cross hedges and portfolio cross hedges with two futures contracts are tested based on in-sample and out-of-sample data. Major conclusions are listed as follows:

1.The hedging effectiveness of in-sample strategies is, as expected,
much higher than those of out-of-sample strategies.
2.The effectiveness of dynamic hedging performs better than that of
static hedging.
3.The hedging effectiveness changes with the length of hedge period,
ranging from 3 months to 9 months, irregardless of whether in-
sample or out-of-sample hedge ratios are applied.
4.Japanese Yen futures, due to its higher correlation with US
dollar, consistently yield the greatest hedging effectiveness as
being used to cross hedge USD/TWD exchange rate. Cross hedging
with multiple hedges generally performs better than that with
single hedges.

並列關鍵字

CROSS HEDGING ； CURRENCY FUTURES ； EFFECTIVENESS ANALYSIS

參考文獻

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