A Study on the Hedge Effectiveness of the U S Dollar Forward Contract

[[abstract]]本文分別採用30天期、60天期、90天期與180天期遠期美元針對即期匯率波動進行避險，以比較何種到期期限的遠期美元有較佳之避險效能。其次，運用Naïve避險策略、最小平方法避險策略以及時變的等權重移動平均法避險策略以估計避險比率，並比較何種避險策略能使得避險組合的變異數最小。有關本文實證結果如下：整體而言，30天期遠期美元對於即期匯率波動有最佳避險效果。其次，即期匯率高度波動性的時期，採用時變的等權重移動平均法所得到降低現貨風險的效果似乎是顯著地優於固定避險比率。最後，整體而言，相較於全部實證期間與股市空頭期間，遠期美元在股市多頭時期有較佳避險效能。[[abstract]]This thesis evaluates the relative hedging effectiveness of the 30-day 60-day 90-day and 180-day U S dollar forward contracts for managing the spot exchange rate between the U S dollar and the New Taiwan dollar Another main task of this thesis is to examine the question of which hedge strategy minimizes the variance of the hedged portfolio using thenaïve the ordinary least square and the equally weighted moving average strategies The empirical results show that the 30-dayU S dollar forward contract has the best hedging effectiveness for managing the spot exchange rate Second the time-varying equally weighted moving averageis more effective than the constant hedge ratiosduring the period of high spot price volatility Finally overall the U S dollar forward contracts have better hedging effectiveness during the bull market period compared to the bear market period and the entire study period Key words: Forward U S dollar contract Hedge effectiveness Minimum variance hedge ratio Equally weighted moving averag