過去外匯避險之相關文獻多僅針對局部策略或單一工具加以探討，缺乏全面性之比較。本研究針對台幣兌美元避險，利用G-K外匯選擇權訂價模型並考量避險成本，讓不同外匯避險部位、策略、工具及期間長度等情境能具有一致的比較基準。避險部位分成完全避險、最適比率避險與不避險三種；避險策略分為定期性避險、投機型選擇性避險與中立型選擇性避險等三種；避險工具則使用遠期外匯合約與外匯選擇權二種；避險長度使用一週、一個月、二個月、三個月及六個月等五種期間。實證結果顯示：外匯選擇權的避險效果優於遠匯合約；避險長度以一至三個月為最佳；除台幣處於短期急貶或狹幅盤整外，整體而言以外匯選擇權做最小變異數法定期避險，其避險效果最佳。The currency hedging related studies in Taiwan merely focus on parts of the variables rather than all of them together. Scenarios in this empirical study are designed for USD/TWD hedging with different hedging positions, strategies, tools and period lengths. Hedging positions for simulation include ‘Naïve Hedge’ and ‘Optimal Ratio Hedge’. Strategies consist of ‘Periodic Hedge’, ‘Advantaged Selective Hedge’ and ‘Neutral Selective Hedge’. Tools contain ‘Forward Contract’ and ‘Option’. And period lengths cover ‘1 Week’, ‘1 Month’, ‘2 Month’, ‘3 Month’ and ‘6 Month’. G-K Option Pricing Model are applied with transaction cost so that all the different scenarios can be compared at a neutral and consistent basis. The result shows that: First, hedging by option is superior to forward. Second, the best length of currency hedging is one to three months. Third, periodically hedging by option with minimum variance ratio can get the best hedging effectiveness in most scenarios except while TWD depreciates sharply or fluctuates in a narrow band.
