Major Foreign Currency Futures Hedging During the Financial Crisis

金融危機期間主要外匯期貨之避險

10.6545/JFS.2012.20(3).2

曾仁清(Jen-Ching Tseng)；林哲彥(Jer-Yan Lin)；賴奕豪(Yi-Hao Lai)

外匯 ； 避險 ； 馬可夫轉換 ； 金融危機 ； Foreign currency ； hedge ； copula ； Markov-switching ； financial crisis

財務金融學刊

20卷3期（2012 / 09 / 30）

33 - 47

英文

本文檢視相關轉換（Dependence-Switching, DS）模型在不同估計視窗下對歐元、日圓、英鎊之避險績效。結果顯示，在金融危機期間，DS模型對日圓與英鎊而OLS模型對歐元有較好的樣本外績效。而各外匯最佳模型之估計視窗為120或180週，此可供避險交易者參考。最後，DS模型在市場動盪期間，對波動大且避險比率變化較劇烈的外匯商品提供較好的避險績效。

This paper examines hedging performance of Dependence-Switching (DS) model with different estimation window sizes for the futures of three foreign currencies (EUR, JPY and GBP). The results show that the DS model for JPY and GBP survives during the crisis and has better out-of-sample performance, while the OLS model is better for EUR. Moreover, the best survival model for each currency has the window size of 120 or 180 weeks, providing a guideline for the practitioners involving the hedging transactions. Conclusively, the DS model performs better for the turmoil periods, the volatile currencies and the currencies with volatile hedge ratios.

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