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題 名 | 匯率風險下黃豆期貨避險績效之研究--GARCH模式之應用=The Hedging Performance of Soybean Futures under Exchange Risks--The Application of GARCH Model |
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作 者 | 蔡佩玲; 洪仁杰; | 書刊名 | 國立屏東科技大學學報 |
卷 期 | 9:4 2000.12[民89.12] |
頁 次 | 頁341-348 |
分類號 | 561.76 |
關鍵詞 | 黃豆期貨; 避險; 價格風險; 匯率風險; GARCH模型; Soybean futures; Hedging; Price risk; Exchange risk; GARCH model; |
語 文 | 中文(Chinese) |
中文摘要 | 由於國內黃豆自給率未超過1%,大多數以進口來因應國內對黃豆之需求,也因此國內黃豆進口商及自行進口黃豆原料之加工業者會面臨到多重風險管理的問題。近年來,國內對於農產品期貨避險的研究並不多見,且多在變異數恆定的假設下運作,未考慮到匯率風險的問題。因此,本研究應用GARCH模型來探討考慮匯率風險下,黃豆期貨險之績效,以提供國內黃豆進口商及自行進口黃豆之加工業者作為擬定險策略之參考。 |
英文摘要 | Soybean importers and processors in Taiwan always face uncertain soybean price risk and exchange risk. Usually, soybean importers and processors can utilized forward contract or futures contracts to hedge the price risk of soybean or they can just buy and hold soybeans to hedge the price risk. Soybean futures, with standardized contracts and mechanized trading system, seem to be good hedging instruments for soybean importers and processors in Taiwan. In the recent years, there is only few research on agricultural futures hedging, not to say on soybean futures hedging. Almost all the research on agricultural futures hedging assumes that the variances of return time-series are constant. In addition, the exchange risk is always neglected. This paper employs GARCH model to investigate the hedging performance of soybean futures under exchange risks for the reference of soybean importers and processors in managing the hedging strategies. |
本系統中英文摘要資訊取自各篇刊載內容。