Evaluating the Hedging Strategies by Using the US Dollar Forward Contracts

[[abstract]]匯率避險的研究，無論是產業界或是學界，都有卓著的研究成果，日新月異的國際市場，匯率避險策略在不同的時間、不同的產業、不同的國家…皆有不同的採行方式。實務的研究上，諸多學者皆試著找出最佳的避險策略與避險工具。本研究首先將1999年1月～2005年6月的美元對台幣的即、遠期匯率資料集做一整理，進行相關報酬與風險的計算，然後再就各避險策略進行最小變異數檢驗，求得最佳避險比率。結果顯示，匯率在時間序列上(即價格數列)變動現象，有可能使現貨部位一直處於匯率的風險上。而建立最小變異數避險模型，利用迴歸求解模型，以報酬率迴歸模型估計迴歸係數，此一迴歸係數即為各項避險策略之最適避險比率。實證結果發現，利用新台幣對美元的遠期匯率所採用的避險策略中，變動的避險比率策略優於沒有避險及固定避險比率。同時，中長期的避險期間會比短天期的避險期間來得穩定。所以進出口商在進行遠匯的避險考量時，應可選擇多樣的變動避險策略及中長期的避險期間來進行外匯貨幣價值的風險之規避。[[abstract]]The research of the foreign exchange hedge is progressive in respects of industry or academy The appropriate hedging strategies for foreign exchanges depend on different times industries and countries In empirical research many authors try to find the best hedging strategies and tools in different contexts This thesis collects and organizes the data of spot and forward NT/US dollar exchange rates from Jan 1999 to June 2005 and then performs the descriptive statistic analysis The optimal hedging positions (i e hedging ratios) of the NT/US dollar forward contracts for different hedging strategies are found by using minimum-variance hedging method However we obverse that the NT/US currency exchange rate in Taiwan is likely to be volatile in the long run and hedgers need to change their hedging positions of the forward contracts frequently Though the regression method is a simple and useful method to find the optimal hedging ratio (i e regression coefficient) The empirical results show that the adjustable hedging ratio is superior to the fixed hedging ratio and no hedge Also the median and long period hedgings are better than the short period hedging Thus the importers or exporters should use the adjustable and longer period hedging to avoid their US currency ris