基于远期溢价原则的人民币条件套保绩效研究

The Performance of RMB Conditional Hedging Strategies Based on Forward Premium Rule

本文从中国投资者视角出发,运用汇改前后数据考察了对发达国家股票投资组合实施货币套保策略的绩效,包括选择性和大升水两个基于远期溢价原则的条件套保策略、以及不套保和完全套保两个基本策略。研究结果发现:自人民币汇率形成机制改革以来,无论是从各国投资的单位风险收益指标、还是从投资组合的效率前沿分布来看,基于远期溢价原则的条件套保策略均显著优于不套保和完全套保策略。上述结果表明,在人民币持续升值背景下,随着即期外汇市场有效性的增强,应用远期溢价条件套保策略管理国际化投资的汇率风险是一种可行的方法。

From the perspective of Chinese investors,this paper investigates the performance of currency hedging strategies for the stock portfolios in developed countries by using the data before and after RMB exchange rate reform.The selective hedging strategy and the large premium hedging strategy are conditional hedging strategies based on forward premium rule,the unhedged strategy and the full hedged strategy are two basic strategies.The research results show that,since the reform of RMB exchange rate formation mechanism,according to both the return per unit of risk in invested countries and the distribution of the efficiency frontier for investment portfolios,the conditional strategies based on the rule of forward premium significantly outperform the unhedged and the hedged strategies.The results indicate that,with the improvement of effectiveness in the spot foreign exchange market,it is feasible for Chinese investors to perform forward premium conditional hedging strategy to manage currency risks in international portfolios in the context of RMB appreciation.