Hedging Strategies on New Taiwan Dollars’Exchange Rate Risk: Power EWMA

[[abstract]]本研究應用Harris and Shen (2003)的Power EWMA估計式，並修正其固定條件分配參數為具有與時改變的特性以估計台幣匯率風險之單一與多元兩種避險策略的最適避險比率。此外，本文進ㄧ步檢定Power EWMA法在不同分配參數設定下，是否會對避險績效產生不同的影響。本文以美元兌日圓、英鎊、歐元及瑞士法郎等四種外匯期貨與新台幣兌美元之30天期、60天期及90天期遠期外匯契約形成單一與多元避險策略以規避新台幣兌美元的匯率風險。實證結果為：(1)避險期間與避險績效並無一致性關係；(2) 採用多元外匯避險策略並不會增加避險績效；(3) 條件分配的設定並不會增加避險績效。本文建議台幣匯率風險的避險策略應採固定條件分配參數下的單一遠期外匯避險策略。[[abstract]]The basic model of this study is exponentially weighted moving average (the Power EWMA) estimator developed by Harris and Shen (2003), at the same time; we can estimate the optimal hedge ratio of both hedge strategies by fixing the unconditional power parameter into time-varying parameter. In addition, we will further exam whether or not the Power EWMA would influence the hedging efficiency under different power parameter condition. In this study, we use single and multiple hedging strategies formed by foreign futures (US/JPY, US/GRP, US/ECU and US/SWF) and forward exchange contracts (30, 60 and 90 days) as tools to avoid the US/NT exchange rate risk. The test results are as followed: Firstly, there is no consistency between the hedging period and the hedging efficiency. Second, hedging efficiency will not increased by adapting multiple foreign hedging strategies. Third, time-varying parameter will not increase hedging efficiency. From the results, we suggest using the single hedging strategy under unconditional power parameter as NT exchange rate risk’s hedging strategy