美國利率期貨避險實證之研究

Abstract

從2007年金融海嘯至今，美國的債務擴張問題加上聯準會過多的超額準備，使美國公債利率波動非常大；再加上歐洲主權信用危機的不確定性，市場不時出現二次衰退的疑慮，又促使避險資金回流美國公債，因此美國公債持有者在這過程中持續面臨相當大的價格波動風險。本研究係以20061/1∼2010/4/2美國公債及公債期貨為研究對象，探討於金融風暴前採用OLS-價格法、OLS-報酬法、GARCH法三種模型估算出的避險參數，是否於金融風暴期間產生良好的避險效果。 實證結果發現，平均而言，以OLS-報酬率法的避險效果最差，避險週期為週時OLS-價格法的避險效果優於GRACH法避險效果；避險週期為日及月時，OLS-價格法的避險效果優於GRACH法避險效果。長券的避險的效果較短券好，而在避險期間上並無顯著優劣的差異。 若進行每日避險，在不考量交易成本下，以操作10年券且用OLS-價格法方式避險的效果最好；若進行每週避險，在不考量交易成本下，以操作30年券且用OLS-價格法方式避險的效果最好；若進行每月避險，在不考量交易成本下，以操作30年券且用OLS-報酬率法方式避險的效果最好。

Since the 2007 financial crisis until present, the ever-growing debt problem coupled with excess reserves by the Federal Reserve System results in huge fluctuations in the interest rate of US Government Bonds. Add to that the instability of European sovereign credit crisis, there is constant looming as to the emergence of a second financial crisis. This resulted in influx of hedge funds back to the US Bonds, and consequently the vicissitudes of its interest rate. This research utilizes US Government Bonds and futures from the period of January 1st, 2006 to April 2nd, 2010, and investigates the hedge effects of the hedge parameters during the financial crisis, which are calculated prior to the crisis by models computed through the following methods: OLS-price method, OLS-rate-of-return method and GARCH method. Empirical results indicate that on average, the OLS-rate-of-return method has the worst hedge effect; when hedge period is in weeks, the OLS-price method performs better than GRACH method; when hedge period is in days or months, the OLS-price method also performs better than GRACH method. Long-term bonds perform better than short-term bonds, with no significant difference in performance for varying hedge periods. If hedge is performed daily without considering the costs of transactions, a ten-year bond coupled with OLS-price method performs best in terms of hedge effect; if hedge is performed weekly without considering the costs of transactions, a 30-year bond coupled with OLS-price method performs best in terms of hedge effect; if hedge is performed monthly without considering the costs of transactions, a 30-year bond coupled with OLS-rate-of-return method performs best in terms of hedge effect.