新冠疫情前後的匯率避險績效之探討

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题名:	新冠疫情前後的匯率避險績效之探討
作者:	鄭學璟;Cheng, Hsueh-Ching
贡献者:	財務金融學系在職專班
关键词:	外匯期貨;最小平方法;匯率避險;Foreign Exchange Futures;Least Square Method(OLS);Exchange Rate Hedging
日期:	2023-10-20
上传时间:	2024-09-19 16:14:37 (UTC+8)
出版者:	國立中央大學
摘要:	台灣為高度仰賴貿易進出口的國家，而匯率又是衡量國際間貨幣的交換指標，因此研究匯率避險有其重要意義。在2020年發生新冠疫情，引發全球金融動盪不安，更包含匯率的劇烈震盪，哪種貨幣具有避險意義對公司而言更是重要的議題。因此，本研究將2014年1月至2022年12月作為樣本期間，比較美金、日元、澳幣及歐元四種貨幣期貨指數中的避險效益變化，其中包含疫情發生前後的資料，利用最小平方法作為本研究主要使用的方法，並以美金兑新台幣的匯率變化作為依變數，期以能夠找出外匯期貨與美金兑新台幣的避險程度。實證結果顯示，週資料的模型解釋能力較日資料的模型好。另外，在面對新冠疫情時，貨幣期貨是否會產生避險性，根據本研究的迴歸分析，可得出以下結論： 1. 疫情前後的迴歸分析顯示，美元、歐元及澳幣期貨指數皆具有顯著解釋水準以及正向影響。 2. 日元期貨指數在疫情發生前不具顯著水準，直至疫情爆發後，日元期貨具有較好的避險解釋能力。;Taiwan is a country highly dependent on trade and imports, and the exchange rate has become an exchange index for measuring international currencies, so the study of exchange rates is of great significance. The outbreak of the new crown epidemic in 2020 has caused global financial turmoil, including severe fluctuations in exchange rates. It is an important issue for companies to understand which currency has risk-avoiding significance. Therefore, this study takes January 2014 to December 2022 as the sample period to compare the changes in the hedging benefits of the four currency futures indices of the U.S. dollar, Japanese yen, Australian dollar, and euro. The method (Ordinary Least Squares, OLS) is the main method used in this study, and the exchange rate change of the US dollar against the New Taiwan dollar is used as an independent variable in order to find out the degree of risk aversion between foreign exchange futures and the US dollar against the New Taiwan dollar. The empirical results show that the model with weekly data has better explanatory ability than the model with daily data. In addition, in the face of the new crown epidemic, whether currency futures will produce risk aversion, according to the regression analysis of this study, the following conclusions can be drawn: 1. The regression analysis before and after the epidemic shows that the U.S. dollar, Euro and Australian dollar futures indexes all have significant explanatory levels and positive effects. 2. The Yen futures index did not have a significant level before the outbreak of the epidemic. Until the outbreak of the epidemic, the yen futures had a strong ability to explain risk aversion.
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