外匯市場最適避險策略之研究

Abstract

過去有相當多文獻以外匯期貨來規避外匯價格風險, 但文獻上很少有人嘗試以 其他資產進行交叉避險的策略, 因此本文加入具有貨幣性質且能抵抗全球幣值波 動的黃金及其期貨, 並利用投資組合風險極小化概念, 來分析單一資產與多重資產 組合避險績效之優劣。本研究的樣本期間為 1999 年 1 月 5 日至 2012 年3 月30日, 以OLS 、單變量GARCH 與DCC-GARCH 模型為研究方法, 針對外匯市 場流通量較大的六種主要貨幣—澳幣(AUD) 、加幣(CAD) 、日圓(JPY) 、瑞士 法郎(CHF) 、歐元(EUR) 以及英鎊(GBP) 下的五種避險策略進行分析。實證 結果發現: (一) 純粹採用外匯期貨避險之績效優於僅採用黃金現貨、期貨之避險 策略; (二) 單一與多重避險策略之避險績效無顯著差異; (三) 大致而言, OLS 模型所求得之避險績效略優於GARCH 與DCC-GARCH 模型。

While several studies have indicated that currency futures contracts can effectively minimize foreign exchange risk, few studies have discussed cross-hedging strategies using other assets. Gold is known as its monetary property and anti-cyclical nature. Therefore, we try to add gold and its futures into our currency exchange hedging strategies to see whether hedging effectiveness would be improved or not. We focus on the hedging strategies of six main foreign exchange markets: Australian dollar (AUD), Canadian dollar (CAD), Swiss franc (CHF), Euro (EUR), British pound (GBP), and Japanese yen (JPY). We compare the hedging effectiveness of five hedging strategies under three different empirical models: OLS, GARCH, and DCC-GARCH.Using daily data from 5 January 1999 to 30 March 2012, we find three main results: (1) Performance of hedging strategies using currency exchange futures is better than those using gold or its futures. (2) There’s no significant difference on hedging effectiveness between single-asset and multiple-asset portfolio hedging strategies. (3) The hedging effectiveness of OLS model is better than GARCH model and DCC-GARCH model on average.