人民幣匯改前後避險績效評估

周郁翔

doi:10.6846/TKU.2015.00833

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人民幣匯改前後避險績效評估

The Performance Evaluation in the Hedging of Exchange Rate Before and After Renminbi Reform

周郁翔 , Masters　　Advisor：李沃牆　　

繁體中文 DOI： 10.6846/TKU.2015.00833

人民幣； Copula模型；外匯期貨；避險績效； CCC-GJR GARCH ； RMB ； Copula model ； exchange rate futures ； hedge performance ； CCC-GJR GARCH

Abstract │ Reference (41) │ Altmetrics

Abstract 〈TOP〉

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RMB exchange rate has widely discussed international issues in recent years. With the upgrading of China's economic power and strategic position, RMB exchange rate change includes a number of international political and economic considerations. The Government of China after reform and opening. The rapid rise of the Chinese market began trading with the world. Not only led to the overall economic development and employment in China but also promote global economic prosperity. RMB become more and more influential currency. This study aims to improve the risk of foreign exchange spot value when inventor use foreign exchange rate futures to hedge.
From the literature review, few research discussed about RMB’s hedging. In particular, the china’s four RMB Reforms impact china’s economic. This study aims at the performance evaluation in the hedging of exchange Rate before and after RMB reform when investor use exchange rate futures to hedge. Beside, we also find out the optimal hedge ratio. This study also apply Copula model to measure the rank correlation between before and after reform.
Finally, we add CCC-GJR GARCH model and OLS model compare with copula model to estimate parameters. The empirical results RMB hedge performance to improve apparently after china’s exchange rate reform. Furthermore the other foreign performance significantly better than in-samples

Reference ( 41 ) 〈TOP〉

3.李沃牆、李莠苓(2011)，「應用Copula-GJR-GARCH模型於黃金與白銀期貨之避險」，台灣期貨與衍生性商品學刊，第12期，頁28-65。
連結：
4.李亦屏(2004) ，黃金期貨之避險分析，中原大學企業管理系碩士論文。
連結：
5.李美杏、丁聖祐(2010) ，關聯結構與適投資組合-Copula 模型的應用，統計與資訊評論，第13卷，頁69-100
連結：
6.巫春洲、劉炳麟、楊奕農 (2009) ，「農產品期貨動態避險策略的評價」，農業與經濟，第42卷，頁 39-62。
連結：
12.柯星妤(2013)，金磚五國之期貨避險績效應用Copula-based GJR-GARCH模型，淡江大學財務金融系碩士倫文。
連結：

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