基于DCC模型的外汇期货交叉套期保值比率估计

Research on Optimal Cross-hedge Ratio of Foreign Exchange Futures Based on DCC Model

全球经济下,企业面临的外汇风险增加,而我国及一些发展中国家没有外汇衍生品市场可以利用,并且考虑到企业在实际经营中,往往会同时涉及多种外币,本文提出利用一种外汇期货规避多种外汇现货风险的交叉套期保值策略。由于分析得到最佳套期保值比率的估计取决于现货与期货的相关性,本文选择了动态条件相关(DCC)模型估计外汇现货与期货的条件相关系数。实证结果表明,企业使用本文提出的交叉套期保值策略能够在一定程度上规避其面临的外汇风险,并且证实使用DCC模型得到的效率最优。

In economic globalization, the foreign exchange risks that enterprises face enhance, however, there＇ re no foreign exchange derivate market in China and some developing countries. Due to the operation of enterprises often involves many kinds of foreign currencies, this paper proposes a cross-hedging strategy using one kind of related futures to hedge for many kinds of spot. The correlation of spot and futures is so important in formulating hedging strategies that can result in divergent optimal hedge ratio, so we choose the dynamic conditional correlation model. The evidence shows that enterprises gain from hedging with the futures, while using the DCC model tends to be more effective.