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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/89586


    Title: 新台幣匯率風險管理外匯期貨契約與遠期外匯契約交叉避險之比較研究
    Authors: 蔡春泉
    Contributors: 林祖嘉
    蔡春泉
    Date: 1991
    1990
    Issue Date: 2016-05-02 17:00:35 (UTC+8)
    Abstract: 外匯期貨市場及遠期市場的存在，使得絕大部分擁有外匯部位的企業或個人在匯率風險管理方面，有了避險管道可以運用。原則上，為了規避外匯風險暴露額的匯率變動風險，企業或個人可以經由買賣該外匯的期貨契約或遠期契約的方式達成目的。然而，在實際運用上，由於現貨部位的外匯風險暴露額，往往與避險工具的標的物並不相同，在此種交叉避險的情況下，如何決定出適當的避險比率，以提高避險效果，便成為一個相當重要的課題。
    本文將針對外匯期貨契約與境外美元遠期外匯契約兩種避險工具，導出各種可能策略下的最適避險比率，並評估各種避險策略的相對成效。文中首先說明運用期貨契約與境外美元遠期外匯契約的最適避險理論，探討避險比率及避險效果的估計方法，並以Anderson and Danthine (1981)所提出的交叉避險理論為基礎，採用Eaker andGrant (1987)的價差迴歸模式為實證方法，比較兩種避險工具在避險比率上及避險效果上是否有差別。
    Reference: 一、中文部份
    1.于政長，『我國外匯貿易管理之過去、現在與未來』，台灣經濟金融月刊，民國79年2月，第26 卷2期。
    2.江金德，『匯率風險之交叉對沖一台灣個案之實證研究』，淡江大學金融研究所碩士論文，民國79年5月。
    3 .岑蕙娟，『匯率風險管理一期貨契約最適交叉避險之研究』，台灣大學商學研究所碩士搞文，民國78年6月。
    4. 林忠英，『金融期貨市喝及其避險操作』，台灣經濟金融月刊，民國79年12月，第26 卷12期。
    5. 劉德明，『外匯期貨與新台幣匯率風險管理』，證券市場發展季刊，民國78年4月。
    6 .盧飛山，『金融期貨市場之角色與背景』，台北市銀月刊，民國79年4月，第21 卷4期。

    二、英文部份
    1. Anderson , R. W. and J.P. Danthine (1981) , "Cross-Hedging" , Journal of Political Economy , 89 , 1182-1196.
    2. Braga , F.S . , Martin , L. J. , and K.D.Meilke (1989) "Cross Hedging the Italian Lira/Us Dollar Exchange Rate with Deutsch Mark Futures" , Journal of Futures Markets , 9 , 87-99.
    3. Chang , J.S.K. and L. Shanker(1987) ," A Risk-Return Measure of Hedging Effectiveness A Comment" , Journal of Financial and Quantitative Analysis , 22 , 373-376.
    4. Cornell , B. and H. R. Reinganum (1981), "Forward and Futures Prices Evidence From the Foreign Exchange Markets" , Journal of Finance , 36 , 1035-1046.
    5. Dale , C. (1981) , "The Hedging Effectiveness of Currency Futures Markets", Journal of Futures Markets , 1 , 77-88.
    6. Duffie , Darrell (1989) , "Futures Markets" , Prentice Hall , New Jersey.
    7. Eaker, M.R. and D.W.Grant (1987) , "Cross Hedging Foreign Currency Risk" , Journal of International Money and Finance , 6 , 85-105.
    8. Ederington , L.H. (1 979) , "The Hedging Performance of the Hew Futures Markets" , Journal of finance, 34 , 157-170.
    9. Fieleke Norman S. (1985), "The Foreign Currency Futures Market: Some Reflections on Competitiveness and Growth", Journal of Futures Markets , 5, 625-63 1.
    10.Frammatikos , T. and A. Saunders (1983) , "Stability and the Hedging Performance of Foreign Currency Futures" , Journal of Futures Markets , 3 , 295-305.
    11.Franckle , C.T. (1980) , "The Hedging Performance of the New Futures Markets Comment" , Journal of Finance , 35 , 1273-1279.
    12.Gjerde ，φ(1987) ，"Measuring Hedging Effectiveness in a Traditional One-Periodic Portfolio Framework" , Journal of Futures Markets , 7 , 663-674.
    13.Giyarati , D. (1970) , "Use of Dummy variables in Testing for Equality between Sets of Coefficients in Two Linear Regressions A Note" , American Statistician , 24 , 50-52.
    14.Gufarati , D. (1970) , "Use of Dummy variables in Testing for Equality between Sets of Coefficients in Two Linear Regressions A Generalization" , American Statistician , 24 , 18-21.
    15.Hammer, J.A. (1988) , "Hedging and Risk Aversion in the Foreign Currency Markets" , Journal of Futures Markets , 8 , 657-686.
    16.Haminer, J.A. (1990) , "Hedging Performance and Hedging Objectiveness Test of New Performance Measures in the Foreign Currency Markets" , Journal of Financial Research , XⅢ, 307-323.
    17.Herbst , A.r. Kare , D.D. , and Caples S.C. (1989),"Hedging Effectiveness and Minimum Risk Hedge Ratios in the Presence of Autocorrelation Foreign Currency Futures" , Journal of Futures Markets, 9 , 185-197.
    18.Hill , J. and Scheeweis T.(1981) , "A Note on the Hedging Effectiveness of Foreign Currency Futures" , Journal of Futures Market , 4 , 659-664.
    19.Howard , C.T. and L. J. D`Antonio (1984) , "A Risk-Return Measure of Hedging Effectiveness" , Journal of Financial and Quantitative Analysis , 19 ,101-112.
    20.---- (1986) , "Treasury Bill Frutures as a Hedging Tool A Risk-Return Approach" , Journal of Financial Research , 9. 25-39.
    21.----(1987) ，"A Risk-Return Measure of Hedging Effectiveness A Reply" , Journal of Financial and Quantitative analysis , 22 , 377-381.
    22.Johnson , L.L.(1960) , "The Theory of Hedging and Speculation in Commodity Futures" , Review of Economic Studies , 27 , 139-151.
    23.Kolb , Robert(1988) , "Understanding Futures Markets" , Second Edition , Scott Foresman and Company Illinois.
    24.Levy , A (1989) , "A Note on the Relationship Between Forward and Futures Contracts" , Journal of Futures Markets , 9 , 171-173.
    25.Lindahl, M. (1989) , "Measuring Hedging Effectiveness With R2: A Note", Journal of Futures Markets, 9. 469-475.
    26.Saunders. A. and S. Sienkiewicz (1988), " The Hedging Performance of ECU Futures Contracts" , Journal of Futures Markets , 8 , 335-352.
    27.Stein , J.L. (1961) , "The Simultaneous Determination of Spot and Futures Prices" , American Economic Review , 51 , 1012-1025.
    28. Working , H. (1953) , "Futures Trading and Hedging", American Economic Review , 43 , 314-343.
    29.So1nik , Bruno (1988) , "International Investment", Addison-Wesley Publishing co. , Massachusetts.
    30.Toevs. A.L. and Jacob. D.P. (1986). "Futures and Alternative hedge ratio methodologies". Journal of Portfolio Management. 60-70.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004978
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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