人民幣匯率期貨避險策略 : 考慮結構轉折時點

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 學位論文 > Item 987654321/114038

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Title:	人民幣匯率期貨避險策略 : 考慮結構轉折時點
Other Titles:	The hedging strategy in RMB currency futures : consider the structural breaks
Authors:	張莉莉;Chang, Lily
Contributors:	淡江大學財務金融學系碩士在職專班邱建良;Chiu, Chien-Liang
Keywords:	Dynamic heding;GARCH model(1, 1);OLS model;OLS模型;Structural breaks;動態避險;單變量GARCH (1,1) 模型;結構轉折時點;雙變量GARCH (1,1)模型
Date:	2017
Issue Date:	2018-08-03 14:39:39 (UTC+8)
Abstract:	人民幣自由化與國際化趨勢的浪潮下，2015年10月1日人民幣正式納入國際貨幣基金(IMF)特別提款權(SDR) 成為SDR第三大儲備貨幣。在全球央行增加人民幣資產的需求，及吸引國際資本配置境内債券和股票資產的需求帶動下，人民幣扮演舉足輕重的國際地位。隨著人民幣匯率市場價格的雙向波動成為常態，波動彈性幅度放大，廠商更需要掌握期貨規避風險優勢，善用人民幣匯率期貨進行避險。本研究採用台灣經濟新報TEJ資料庫所提供人民幣即期匯率收盤價及臺灣期貨交易所美元兌人民幣匯率期貨RHF(大美人) 與小型美元人民幣匯率期貨RTF(小美人)之收盤價資料，研究資料期間為2015年8月3日至2017年2月14日間之日資料，運用傳統OLS模型，單變量GARCH (1,1) ，雙變量GARCH (1,1) 等避險模型來估計避險比率，並比較大、小契約規格的兩檔人民幣匯率期貨避險工具，在不同模型下的避險效果。實證結果顯示大、小美人二檔人民幣匯率期貨，確實能提供廠商及投資人作為人民幣匯率避險最適的避險工具。避險效果以雙變量GARCH（1,1）之動態避險策略的避險績效最佳。此外，實證結果顯示，人民幣匯率確實會受到重大財金事件的影響而產生結構性改變。且在考慮結構時間轉折下，確實更具有提高避險績效的解釋能力。探究使人民幣現貨匯率及期貨匯率產生結構時點改變的重大財金事件，為外在環境因子對匯率的衝擊，其衝擊(波動)係來自中國跨境資金鉅額外流、外匯存底的大量減少、龐大的企業債務問題、房市泡沫化風險、施行緊縮信貸、及以逆回購方式調控資金缺口等政府當局的干預政策。造成人民幣匯率持續貶值，這些干預都可能是本研究實證結構轉折時點的形成與大、小美人期貨工具能夠提高避險績效，得到最佳的避險效果的主要因素。而隨著經濟體系不斷變動，結構轉折時點亦可能不只一個。而近期接連發生的財金事件，例如:美國解除對中國利率操縱國的指控、人民銀行在人民幣中間價形成機制中加入「逆週期因子」等，政策的不確定性干預與中國A股納入MSCI新興市場指數是否發生結構性改革等因素。亦可能使近2年人民幣匯率空頭趨勢反轉等，這些政府政策干預的不確定性，都可能是下一次發生結構轉折時點的重要衝擊因子。 Under the liberalization and internalization of the renminbi (RMB), the currency was officially incorporated into the Special Drawing Rights(SDR) maintained by the International Monetary Fund (IMF) on October 1, 2015, and has since then become the third major foreign-exchange reserves. As the Financial Stability Board increase the demand for RMB assets and countries worldwide attempt to attract foreign investment in domestic bonds and stocks, the RMB plays an essential role in the global finance. However, because the two-way fluctuation of the RMB exchange rate occurs frequently with substantial fluctuation levels, firms needs to adopt adequate hedging strategies for RMB futures to posses competitive advantages. This study adopts the RMB spot exchange rate data provided by the Taiwan Economic Journal datebase (TEJ) and the closing prices of the USD/CNT FX futures (RTF) and USD/CNH FX futures (RHF) provided by Taiwan future Exchange.(TAIFEX) The sampling period spans from August 3 ,2015 to Febrary 14, 2017. Daily price data are input into an OLS model, GARCH(1,1) model, and a bivariate GARCH9(1,1) model to estimate the hedge ratio. In addition, the effects of hedging tools for the RTF and RHF are compared under the different models. The empirical results for this study show that the adopted models can serve as suitable hedging tools for firms and investors to exchange RMB futures. The hedging effect is the best hedge effect of the bivariate GARCH (1,1) dynamic hedging strategy. In addition, the empirical results show that the RMB exchange rate will indeed be affected by major financial events and structural breaks. And in the structure of the time structure of the transition, but also has the ability to improve the ability to improve safe-haven performance. (The volatility) of the external environmental factors from the impact of the external environmental factors on the exchange rate, the volatility of the cross-border funds from China, the large amount of foreign exchange reserves, the huge reduction of foreign exchange earnings, the impact of the RMB exchange rate, Corporate debt problems, the risk of housing bubble, the implementation of tightening credit, and reverse repurchase to control the funding gap and other government authorities intervention policy. Resulting in the continuous depreciation of the RMB exchange rate, these interventions are likely to be the formation of the empirical structure of the transition point and the formation of large and small beauty futures tools to improve safe-haven performance, the best hedge effect of the main factors. And as the economy changes, the structural transition may be more than one point. And the recent financial events such as the United States to lift the accusations against the Chinese interest rate manipulator, the People''s Bank of China in the RMB central parity formation mechanism by adding "counter-cyclical factors", the policy of uncertainty and A shares into the MSCI Emerging Markets Index Whether structural reform and other factors. It may also make the past two years the RMB exchange rate short trend reversal, etc., these government policy intervention uncertainty may be the next time the structure breaks
Appears in Collections:	[財務金融學系暨研究所] 學位論文

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