亞太地區外匯交叉避險策略研究：理論及實證

Abstract

外匯市場近年來由於匯率變動劇烈，使廠商的匯兌風險增高，對於規避匯兌風險的需求也更為殷切。利用外匯期貨來規避及管理匯兌風險，是廠商常用的方法之一，但是亞太地區有部份外匯並未在期貨市場上交易，廠商因而無法以直接避險來規避匯兌風險。這些地區之廠商一般採用其它外匯之期貨來進行交叉避險，但是避險績效較之直接避險明顯偏低。因此尋求一個有效的避險策略，在匯兌風險的控管上，具有重要的意義與價值。 目前研究外匯交叉避險的方法大都採用Ederington(1979)所提出之風險極小化模式，依外匯直接避險的方式來估計交叉避險比率，並據以進行避險交易。但是這種方法，因為不易掌握避險外匯與避險標的外匯間的關係，容易造成交叉避險績效偏低的現象。本論文針對外匯交叉避險之風險進行分析，在探討匯率決定理論後，發現匯率之變動與總體經濟因素有關。本論文繼而進行亞太地區外匯交叉避險策略之設計，依據匯率決定理論而提出總體經濟觀點下的外匯交叉避險策略。在假設一價法則成立及市場無套利機會的情況下，本論文將總體經濟因素中的物價、利率、貨幣供給、貿易收支及國民所得等因素導入外匯交叉避險策略，以期能提高亞太地區外匯交叉避險績效，達到降低匯兌風險之目的。 本論文實證研究發現，總體觀點下的外匯交叉避險策略之績效高於傳統模式，外匯交叉避險可以降低匯兌風險。本論文並檢驗1997年亞洲金融風暴對外匯交叉避險策略效度的影響，結果發現金融風暴發生後，外匯交叉避險績效顯著降低。顯示總體經濟環境對外匯間均衡關係的影響甚大，進行外匯交叉避險時，更應將總體經濟因素納入考量。 本論文對避險理論及匯率決定理論進行論述與探討，提出一個總體經濟觀點下的外匯交叉避險策略，並進行實證分析之檢驗。本論文發現亞太地區外匯交叉避險，可以Ederington(1979)的方法先選擇相關程度較高的外匯，再以總體經濟因素來修正避險比率。依據所提出之方法可以提高亞太地區外匯交叉避險績效，降低匯率兌換風險。

The exchange rate is volatile in recent years. The firms are exposed to the currency risk. Currencies futures are widely employed to hedge away the undesirable risk. However, the currencies in most of the Asian Pacific region are not trading in the futures market. One alternative for the firms to avoid currency risks is to apply cross hedge, i.e. to employ the currencies traded in the futures markets to hedge their positions. But the cross hedge effectiveness of the strategy is generally low. Many studies adopted the risk minimization model of Ederington (1979) to estimate the cross hedge ratio. But the Ederington’s methodology should be only applied to the direct hedge or highly correlated commodity. The lack of emphasizing the difference between the direct hedge and cross hedge methods may lead to a reduction in hedge effectiveness. According to numerical studies of exchange rate volatility, it is generally assume that for gaining a better explanation, the marcoeconomic factors should be used to describe the change of exchange rate. Then we discuss a more suitable model to estimate the cross hedge ratio by working on the nature of the exchange rate fluctuation. We employ the exchange rate determined theory to revise Ederington’s methodology. By the strategy that we proposed, we estimate the cross hedge ratio, thus we could improve the cross hedge effectiveness. We test the efficiency of the proposed models. Our results indicate that the estimated ability of marcoeconomic-based models outperform the conventional model. And it shows that the currency exposure risk could be reduced. We also examine how the validity of cross hedge effectiveness was affected by the Asia crisis in 1997. It revealed that the cross hedge effectiveness apparently decreased after the crisis. The reason may be due to the structural change of the macroeconomic environment when the equilibrium between currencies became unstable. We explore the hedging theories and the exchange rate determined theories. Based on the findings of previous studies, we propose a modified model of cross-hedge strategy and proceed with an empirical research. It shows that the model of Ederington (1979) could be adopted to select the objective currency with higher correlation. Furthermore, the macroeconomic-based model could be used to estimates the cross-hedge ratio. It seems that when we treating the currency exposure risk of the Asian Pacific region, the proposed strategy is more substantial than the conventional one.