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題 名 | 風險貼水對短期遠匯避險績效之影響探討=The Impact of Risk Premium to the Hedging Performance on the Short-term Forward Exchange |
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作 者 | 李命志; 邱建良; 吳佩珊; 鄭婉秀; | 書刊名 | 管理研究學報 |
卷 期 | 5:1 2005.01[民94.01] |
頁 次 | 頁149-170 |
分類號 | 563.2 |
關鍵詞 | 風險貼水; 避險比例; 避險績效; 外匯投資組合; GARCH模型; Risk premium; Hedge ratio; Hedging performance; Foreign exchange portfolio; GARCH model; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以日圓兌美元之匯率為研究對象,結合避險與風險貼水的概念,探討在各種短天期外匯避險工具下,加入與未加入風險貼水因子之模型之避險績效差異;並分析避險績效與風險貼水風險是否會隨著持有避險期間的長短而有所差異。實證結果發現,加入貼水因子模型之避險績效優於未加入模型的避險績效,表示風險貼水確實對外匯避險策略有一定程度的影響,估計結果亦顯示風險貼水值的上下限,確實會對外匯市場產生不對稱效果的現象。另外,30天遠匯能提供投資人較佳的避險效果,且避險期間愈長,避險績效就愈高。此外,風險會隨持有避險部位的時間遞增而降低,此結果與避險績效衡量的結果一致,即長期間避險效果比短期間避險效果來得好。 |
英文摘要 | This paper investigates that if the difference exists between the two hedge models, which the risk premium factor is considered or not. We combine the ideas of hedge and risk premium simultaneously to analyze which kind of short-term asset is appropriate to the hedge on the Japan foreign exchange market. We also analyze that whether the hedging performance and the risk premium are various in different hedge period. The empirical results show that the hedging performance of the model considering the risk premium factor is between than the other one, and it indicates that risk premium with either upper or lower than the threshold value exist in the market. The 30-days forward is the best hedge instrument in the markets, and longer the hedge is more effectives than short-term hedge. |
本系統中英文摘要資訊取自各篇刊載內容。