臺灣博碩士論文加值系統

近年來受到金融風暴的影響，及接踵而來的通貨膨脹和貨幣波動的危機，使得全球經濟陷入極端不確定時期，連帶造成投資人對各種投資商品都缺乏信心，理財目標也漸漸從「收益」轉向「避險」。其中最常見的避險商品就是期貨。由於貴金屬市場具有避險投資及保值的特性，因而造成過去兩年投資之熱潮，其中價格較低的白銀，過去 2年的價格上漲極多，且到達30年來的新高。由於台灣進口白銀原物料的購入成本除了承受白銀價格的變動外，亦受到匯率波動影響。因此本研究以白銀期貨、遠期外匯及外匯期貨為標的，訂定四種規避風險的策略，採用OLS、GARCH(1,1)及EGARCH(1,1)模型來估算避險比率，並比較不同的策略之避險績效。實證結果歸納如下：
1. 本研究發現採用OLS、GARCH(1,1)及EGARCH(1,1)模型，三者間之避險績效之差異不大。
2. 實證發現採用白銀期貨及美元期貨避險，約可規避八成以上之價格波動風險。若忽略匯率風險，只採用白銀期貨來規避價格風險時，的確會降低避險績效。
3. 本研究亦發現採用新台幣對美元的遠期外匯來避險，有助於提升避險效率。但本研究發現，若僅採用日圓期貨來避險時，不但未能提升避險效率，反而降低避險績效，因此，本研究推論交叉避險之避險績效並不一定會較直接避險為佳。

Hedging has become an important issue in Finance during recent financial crises periods. In particular, silver futures contracts have been gained more and more attention by the investors and companies than before as silver futures provides efficient hedging protection. The price of silver recently hit a 30-year peak because of the drastic increase in silver investment over the past two years. Such increase has a great impact on Taiwan's economy as Taiwan is a major import country of silver. Silver price is also affected by the exchange rate fluctuations between US dollars and New Taiwan dollars.
This study examines the use of various hedging strategies (i.e. foreign exchange (FX) futures, FX forward contracts and silver futures contracts) by employing the OLS, GARCH and EGARCH models to calculate the hedge ratios. This investigation then compares the performance of different hedging strategies. The conclusions are summarized below:
1.Empirical findings indicate that there are little difference among the OLS, GARCH, and EGARCH models in terms of hedging performance.
2.This study finds that the adoption of the silver futures and the US dollars futures contracts can be avoided 80% of the volatility risk in spot price. However, the hedging effect will be decreased if the exchange rate risk is ignored.
3.This investigation also finds that the use of US dollars forward contacts may improve the hedging efficiency. However, the hedging effect with the Japanese yen futures contracts seemed to reduce the hedging efficiency. This study concludes that the overall performance of cross hedging is not certainly better than that of direct hedging.

目錄
摘要........................................I
Abstract...................................II
致謝辭.....................................III
目錄........................................IV
圖目錄......................................VI
表目錄.....................................VII
第一章研究背景動機及目的 ....................1
第一節研究動機................................1
第二節研究目的................................5
第三節研究流程圖..............................6
第二章白銀市場及外匯市場之概況..................7
第一節白銀的介紹..............................7
第二節白銀期貨市場與契約介紹...................12
第三節影響匯率變動因素........................13
第三章避險理論及文獻探討 ...................15
第一節避險理論之探討..........................15
第二節避險理論之實證文獻 ...................17
第三節規避價格風險之實證文獻...................18
第四節規避匯率風險之實證文獻...................21
第四章研究方法與實證模型之建立.................23
第一節研究方法...............................23
第二節實證模型之建立..........................30
第五章實證結果與分析..........................34
第一節資料來源及分析..........................34
第二節實證資料檢定............................39
第三節實證結果與分析..........................41
第六章結論與建議.............................48
第一節研究結論...............................48
第二節研究建議...............................50
參考文獻....................................51
中文文獻....................................51
英文文獻....................................52

圖目錄
圖1白銀現貨價格走勢圖..........................3
圖2研究流程圖.................................6
圖3世界白銀需求分佈(2005年~2009年).............8
圖4世界白銀供給分佈(2005年~2009年).............9
圖5各變數差分後之時間序列圖....................38

表目錄
表1世界白銀供給與需求表.........................3
表22009年白銀礦產量前20大國家...................9
表3紐約商業交易所及東京工業品交易所之契約規格.....12
表4避險理論之相關文獻..........................17
表5規避價格風險之相關文獻......................18
表6規避匯率風險之相關文獻......................21
表7資料來源與研究期間.........................35
表8變數定義表................................36
表9資料之基本敘述統計表.......................37
表10ADF單根檢定表...........................39
表11ARCH-LM test 之異質變異檢定..............40
表12模型一之避險比率.........................41
表13模型二之避險比率.........................42
表14模型三之避險比率.........................43
表15模型四之避險比率.........................44
表16避險績效實證結果.........................45
表17四種避險策略下平均績效之比較.............46
附表1.2001年模型參數估計結果..................56
附表2.2002年模型參數估計結果..................57
附表3.2003年模型參數估計結果..................58
附表4.2004年模型參數估計結果..................59
附表5.2005年模型參數估計結果..................60
附表6.2006年模型參數估計結果..................61
附表7.2007年模型參數估計結果..................62
附表8.2008年模型參數估計結果..................63
附表9.2009年模型參數估計結果..................64

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