黃金期貨之避險分析

The Hedging Analysis of Gold Futures

李亦屏(Yi-Ping Lee)

指導教授 ： 胡為善 ； 劉立倫

中原大學/商學院/企業管理研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500266

摘要

自從九一一恐怖攻擊陰影籠罩，國際局勢未見緩和，經濟低迷，利率短期並無大幅上升空間、伴隨著美元走弱，黃金再次發揮避難作用，且印度與中國隨著經濟發展，對黃金與貴金屬的需求愈來愈高。另一方面，根據世界銀行(2000)研究報告指出，黃金產量將在未來10年減少30%，在未來需求增加與供給減少的情況下，促使金價上揚。
國內在黃金商品期貨避險之研究屬早期研究，使用的方法也為Johnson最小變異數，其假設殘差項變異數為固定不變；但許多財務資料，殘差項變異數並非固定不變，而會隨著時間經過而改變。由於我國屬於進口黃金的主要國家，購入成本包含黃金價格與匯率波動，此兩者為影響與黃金有關之的重要因素。因此本研究係以GARCH、EGARCH及OLS探討黃金如何應用黃金期貨及遠期契約等工具來規避黃金價格的波動風險。
1、本研究顯示， EGARCH模型為衡量避險績效最佳之模型，不論在何種策略之下，皆能得到最佳的避險績效。
2、我們進口黃金若以新台幣計價，則有匯率風險的存在。
3、黃金進口及加工業者在採取進口黃金策略時，宜考慮使用避險工具來規
避匯率波動所產生的風險。

關鍵字

OLS ； GARCH ； EGARCH ； 單根檢定 ； 避險理論 ； 黃金期貨

並列摘要

Under the shadow of 911 terrorist attack for three years, the political situation around the world is still very tense, economy is depressed, and there is no adequate margin for the interest rate to climb up in the short-term. With the devaluation of the US dollar, gold is again playing an important role as a hedging instrument. With the rapidly economic development of India and China, the level of the demand for gold and noble metal increases. On the other hand, according to a report being conducted by Worldbank (2000), it is suggested that the quantity of gold output will be decreased by 30 percent during next decade. The decreasing supply is expected to force the price of gold to rise up given that the demand for gold will increase while the supply of gold will decrease in the near future.
Most of the literature review in Taiwan concentrated on the hedging of gold futures for many years and the researchers commonly used Johnson’s Minimum Variance method which assumed the variances of return time-series were constant. As a matter of fact, the variances of return are not constant but are changeable through time. Because Taiwan is a gold importing country, the key factors affecting the profit of Taiwan’s gold-relevant enterprises are gold price and the fluctuations of foreign exchange rate. This study attempts to examine how to use gold futures and forward contracts to hedge against the risk of fluctuations of gold price by employing GARCH、EGARCH and OLS methods.
The empirical results are summarized as follows:
(1) EGARCH model is the best one in measuring the hedging performance among various models which were employed under all strategies.
(2) This work find that there is an exchange rate risk existed if the gold importers price gold in terms of NT dollars.
(3) The gold importers or processors should use foreign exchange (FX) derivatives to hedge against the risk of FX fluctuations when they import gold.

並列關鍵字

unit root test ； GARCH ； EGARCH ； OLS ； gold futures ； hedging

參考文獻

康信鴻、繆俊華 1998外匯期貨最適避險比例之實証研究，管理學報，第15卷第3期，pp.419-513。

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