人民幣匯率，近年來是一項廣受討論的國際性議題。隨中國經濟實力與戰略地位的提升，使人民幣匯率之變動摻雜許多國際政治與經濟因素的考量。 在中國政府的改革與開放，中國市場的快速崛起開始與世界各經濟體接軌來進行交易，不僅帶動了整體中國的經濟發展與就業，也促進全球景氣的繁榮，暨美元之後，人民幣成為全球第二有影響的貨幣 。本文探討投資人分別運用各國外匯期貨進行避險時，是否能有效地改善外匯現貨的風險值。 以往的文獻很少在人民幣避險這一區塊著墨，尤其中國歷經四次匯率改革，每次匯改皆對中國的經濟造成影響。本論文研究匯改前、後，當投資人運用各國外匯期貨進行避險時，在外匯現貨的避險績效為何，並找出最適的避險比率。建立Copula模型來衡量匯率改革前後的相關性，觀察避險績效的走勢與變動，此外，加入CCC-GJR GARCH和OLS模型做比較。 經實證結果發現中國匯率改革後，在加入人民幣匯率期貨後進行避險，對於人民幣外匯的避險績效明顯有改善，其他三種外匯在樣本外的績效也明顯較樣本內還佳。 RMB exchange rate has widely discussed international issues in recent years. With the upgrading of China''s economic power and strategic position, RMB exchange rate change includes a number of international political and economic considerations. The Government of China after reform and opening. The rapid rise of the Chinese market began trading with the world. Not only led to the overall economic development and employment in China but also promote global economic prosperity. RMB become more and more influential currency. This study aims to improve the risk of foreign exchange spot value when inventor use foreign exchange rate futures to hedge. From the literature review, few research discussed about RMB’s hedging. In particular, the china’s four RMB Reforms impact china’s economic. This study aims at the performance evaluation in the hedging of exchange Rate before and after RMB reform when investor use exchange rate futures to hedge. Beside, we also find out the optimal hedge ratio. This study also apply Copula model to measure the rank correlation between before and after reform. Finally, we add CCC-GJR GARCH model and OLS model compare with copula model to estimate parameters. The empirical results RMB hedge performance to improve apparently after china’s exchange rate reform. Furthermore the other foreign performance significantly better than in-samples
