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研究生:孫茂翔
研究生(外文):SUN,MAO-HSIANG
論文名稱:人民幣匯率變動在不同避險策略下之績效探討
論文名稱(外文):The Performance of RMB Exchange Rate under Different Hedging Strategies
指導教授:沈大白沈大白引用關係
指導教授(外文):SHEN,DA-BAI
口試委員:沈大白高立翰曹美娟
口試委員(外文):SHEN,DA-BAIGAO,LI-HANCAO,MEI-JUAN
口試日期:2017-06-05
學位類別:碩士
校院名稱:東吳大學
系所名稱:會計學系
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:45
中文關鍵詞:人民幣匯率避險
外文關鍵詞:RMB exchange rate hedging, hedging strategy
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國際貿易在我國經濟發展史上一向佔有舉足輕重的地位,近年來我國對中國大陸的貿易日益增長,無論是出口方面還是進口方面,中國大陸皆為我國重要貿易夥伴,國際貿易中企業獲利除倚靠營運策略布局外,影響其獲利的關鍵因素之一就是匯率變動的風險,企業若能妥善運用避險策略規避匯率變動風險,將可獲得豐碩的營運成果,中國大陸在2012年開始中南海高層政權輪替,新任領導人習近平上台以後展開一系列打貪行動,隨著行動範圍和層級不斷提高,並在2013年達到高峰,造成資金恐慌性撤離,因而造成人民幣開始產生急貶,與2013年以前匯率走勢逐步升值迥然不同,在這樣受政局影響、人為操縱甚鉅的外匯市場中,探討沒有避險、部分避險、完全避險、最小變異數避險策略在2010年-2013年以及2014年-2016年兩段區間內之避險績效,本研究中以每日銀行提供的人民幣即期匯價和遠期匯價(30 日、 90 日、 180日)2010年08月15日-2016年08月15日,共計5960筆作為樣本,我們從實證結果可以得知無論如何,還是需要進行避險策略,因為未進行避險的結果與進行避險後的結果相較起來還是較為不理想,而在兩段不同的匯率區間中,2010年-2013年中,在匯率走勢為平緩均勻升值的環境中,我們可以得知進行最小變異數避險法較傳統避險法較為合適,能獲得較傳統避險法更高的報酬期望值,而在2014年-2016年中,匯率走勢為波動較為劇烈的貶值環境,此時進行最小變異數避險法無法得到較佳的夏普檢定結果,也就是說站在獲得較高報酬期望值的角度來說,最小變異數避險法的表現是不理想的,然而若是站在避險後能達成變異數最小的角度來衡量,最小變異數避險法不論是在劇烈波動的環境中或著是匯率較為平穩變動的情況下,皆能表現的比完全、部分避險法更為優秀。

International trade has always played an important role in the history of China's economic development. In recent years, China's trade with mainland China has been growing, both in terms of export and import. China's mainland is an important trading partner of our country. In the international trade, Strategy, the impact of its profit is one of the key factors is the risk of exchange rate changes, enterprises if the proper use of hedging strategies to avoid the risk of exchange rate changes, will be able to obtain fruitful results in mainland China in 2012 began in the South China Sea high-level regime round For the new leader Xi Jinping came to power after a series of acts of corruption, with the scope of action and level of continuous improvement, and reached a peak in 2013, resulting in panic withdrawal of funds, resulting in the RMB began to produce anxious, and 2013 before the exchange rate The gradual appreciation of the trend is very different, in this affected by the political situation, man-made manipulation of the huge foreign exchange market, to explore no hedge, part of the hedge, complete hedge, the smallest number of hedge strategies in 2010 - 2013 and 2014 - 2016 two-zone range of hedging,In this study, the RMB exchange rate and forward exchange rate provided by the daily bank (30, 90, 180) August 15, 2010 - August 15, 2016, a total of 5960 as a sample, we from the empirical The results can be learned in any case, or the need for hedging strategies, because the results of non-hedging compared with the results after the hedge is still less ideal, and in the two different exchange rate range, 2010 -2013 In the middle of the year, in the environment where the exchange rate trend is flat and evenly appreciated, we can know that the minimum number of hedges is more suitable than the traditional hedging method, and we can get higher remuneration expectation than the traditional hedging method. In 2014 - 2016 years, the exchange rate trend is more volatile volatility of the environment, this time the minimum number of hedges can not get better test results, that is standing on the higher expectations of the point of view, the smallest variation The number of hedging the performance of the method is not ideal, but if you can stand after the hedge to achieve the smallest difference in the number of variants to measure the minimum number of variants hedge whether in a violent fluctuations in the environment or Rate is more stable changes in the case, can show more than complete, part of the hedge method is more excellent.
目錄
表目錄........................................................................................................................... II
圖目錄.......................................................................................................................... III
摘要.............................................................................................................................. IV
Abstract ......................................................................................................................... V
第壹章 緒論................................................................................................................ 1
第一節 研究動機及背景.................................................................................... 1
第二節 研究目的................................................................................................ 3
第三節 文章架構................................................................................................ 5
第貳章 文獻回顧........................................................................................................ 6
第一節 避險工具種類介紹................................................................................ 6
第二節 避險理論與避險策略............................................................................ 7
第三節 避險績效文獻回顧.............................................................................. 12
第參章 研究方法與模型.......................................................................................... 17
第一節 避險策略與模型介紹.......................................................................... 17
第二節 研究假設與假說.................................................................................. 20
第三節 避險策略的檢定方法.......................................................................... 21
第四節 避險績效衡量...................................................................................... 23
第肆章 實證結果與分析.......................................................................................... 24
第一節 匯率走勢圖.......................................................................................... 24
第二節 各避險策略之績效檢定...................................................................... 31
第三節 各避險策略之績效分析...................................................................... 38
第伍章 結論與建議.................................................................................................. 41
第一節 研究結論.............................................................................................. 41
第二節 研究建議.............................................................................................. 41
參考文獻...................................................................................................................... 43
參考文獻
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