外匯避險效益之衡量以美元兌新台幣為例

Abstract

隨全球化腳步加快，國與國之間貿易往來頻繁，匯率風險管理成為重要課題，中外學者針對外匯避險策略、理論、工具及期間等均有所探討，並提出不同的見解，然各國外匯政策及法規概有不同限制，市場環境亦與台灣不同，所得之結論不見得一體適用；至於國內相關研究中，於模型中引用的衍生性金融商品價格，礙於資料取得不易，多採取設算後的理論價格替代，或有理想化的狀況，故本研究擬以實際交易價格為基礎，進行不同期間下，各個避險策略之避險效益分析，提供企業、投資人、政府等外匯市場參與者，於操作相關工具有所依據。 本研究經由實證結果發現： 一、依照傳統避險理論，以遠期外匯或選擇權為避險工具，避險效益相近，整體而言仍以選擇權較佳，當採取選擇性避險策略時最為明顯。 二、運用投資組合理論進行避險，其效益會優於傳統避險理論，且以最適比率避險法表現最佳。 三、若無特殊金融事件或政府干預等外在因素影響，以一個月至三個月為避險期間，較具避險效益。

Following the accelerating pace of globalization, trade between countries has become much more frequent and thus the topic of exchange risk management has become important. Researchers from different countries have been exploring and raising different opinions regarding hedging strategies, theories, tools, periods in foreign exchange rates. However, the conclusions based on their studies might not be applicable in Taiwan since each individual country has different restrictions based on their own foreign exchange policies and regulations and the market environments are not similar as well. As for the research within Taiwan, the derivative prices which are used in the model cannot be obtained easily. Hence, they are often substituted with numbers from calculations based on pricing theory and this may be too idealized. The objective of this study is to analyze the effectiveness of various hedging strategies using the actual transaction price based on different periods. This study may be used as a reference for enterprises, investors, government and other foreign market participants when they deal with the corresponding hedging strategies. The empirical findings of this study showed： 1. According to the traditional theory, the hedging effects of forward and options are close but on the whole, options is still better. This is especially evident when it comes to selective strategy. 2. Portfolio theory is a more effective than traditional theory and the optimal hedge ratio method performance. 3. The most effective hedging period will be one month to three months when there are no special financial issues, government interventions or any other external factors.