【摘要】 构建一个最优动态汇率风险套期保值理论模型,并将其套期保值效率与静态策略进行实证对比。采用对角BEKK模型来捕捉货币现货与期货市场的交互影响,从而刻画风险最小化套期比率的动态特征,结果表明,套期保值能减少汇率风险,但具体的套期保值策略的效率高低排序与避险频率相关。更多还原

【Abstract】 Optimal dynamic hedging of exchange rate risk is modeled and the hedging effectiveness of the dynamic and static strategies is compared.Depicting the dynamic features of the minimum risk hedge ratios with diagonal BEKK models which capture the interaction of spot and futures currency markets concludes that hedging does alleviate exchange rate risk,although different hedging strategies rank in hedging effectiveness according to their respective duration.更多还原