人民币汇率风险交叉套期保值研究
发布时间：2018-08-08 21:47
【摘要】：自2005年7月21日人民币汇率形成机制改革之日起，人民币汇率波动幅度显著增强，人民币升值进程明显加快，我国进出口企业的汇率避险需求与日俱增。然而，国内企业可以利用的人民币汇率避险衍生工具却十分有限，，无论是在工具设计上还是在避险功能上，都无法满足国内企业的避险需求。境外市场上虽然存在人民币无本金交割远期合约和CME人民币期货合约等避险产品，但是我国国家外汇管理局明令禁止境内机构和个人参与境外人民币衍生产品的交易。在现有的外汇管理制度下，如何充分利用市场提供的条件规避人民币汇率风险，相关外汇期货的交叉套期保值为此提供了一个有益的思路。 现有的交叉套期保值模型的避险效率普遍不高且不稳定，一个可能的原因是忽视了交叉套期保值与直接套期保值的区别。因此本文从套期保值组合的相关程度，基差风险和避险策略三个方面对交叉套期保值模型与直接套期保值模型进行了比较分析，然后基于交叉汇率的三角平价关系，寻找与待避险人民币即期汇率存在稳定的相关程度的外币期货，构建了利用一种相关货币期货同时对两种人民币汇率现货风险进行交叉套期保值的模型。为更好的测量外汇期货交叉套期保值组合的总体市场风险暴露，准确描述期货与现货之间风险的非线性对冲，本文建立了t分布下基于VaR风险价值最小的外汇期货交叉套期保值模型，并使用ECM-VCC-MGARCH模型进行估计。实证结果表明，本文构建的人民币汇率交叉套期保值模型相比与传统的货币交叉套期保值模型更为有效。在国内人民币汇率避险产品不发达的情况下，我国企业可以根据实际情况，利用相关外汇期货的交叉套期保值策略降低汇率风险。
[Abstract]:Since the reform of RMB exchange rate formation mechanism on July 21, 2005, the fluctuation range of RMB exchange rate has been significantly enhanced, the process of RMB appreciation has been accelerated obviously, and the demand for exchange rate hedging of Chinese import and export enterprises is increasing day by day. However, the RMB exchange rate hedging derivatives that domestic enterprises can use are very limited, whether in the design of the tools or in the function of hedging, they can not meet the needs of domestic enterprises. Despite the existence of RMB non-deliverable forward contracts and CME renminbi futures contracts, the State Administration of Foreign Exchange explicitly forbids domestic institutions and individuals from participating in offshore renminbi derivatives transactions. Under the existing foreign exchange management system, how to make full use of the conditions provided by the market to avoid RMB exchange rate risk, the cross-hedging of related foreign exchange futures provides a useful way of thinking. The existing cross-hedging models are generally inefficient and unstable. One possible reason is that the difference between cross-hedging and direct hedging is ignored. Therefore, this paper compares the cross-hedging model with the direct hedging model from the three aspects of the correlation degree of hedging portfolio, base risk and hedging strategy, and then based on the triangular parity relationship of cross-exchange rate. To find the foreign currency futures with a stable correlation with the spot exchange rate, a model of cross-hedging of the spot risk of two RMB exchange rates is constructed by using one kind of related currency futures at the same time. In order to better measure the overall market risk exposure of cross-hedging portfolio of foreign exchange futures, accurately describe the nonlinear hedging between futures and spot. In this paper, a cross-hedging model of foreign exchange futures based on the minimum risk value of VaR under t distribution is established, and the ECM-VCC-MGARCH model is used to estimate it. The empirical results show that the cross-hedging model of RMB exchange rate is more effective than the traditional cross-hedging model. In the case of underdeveloped domestic RMB exchange rate hedge products, Chinese enterprises can reduce exchange rate risk by using cross-hedging strategy of relevant foreign exchange futures according to the actual situation.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6
本文编号：2173133
[Abstract]:Since the reform of RMB exchange rate formation mechanism on July 21, 2005, the fluctuation range of RMB exchange rate has been significantly enhanced, the process of RMB appreciation has been accelerated obviously, and the demand for exchange rate hedging of Chinese import and export enterprises is increasing day by day. However, the RMB exchange rate hedging derivatives that domestic enterprises can use are very limited, whether in the design of the tools or in the function of hedging, they can not meet the needs of domestic enterprises. Despite the existence of RMB non-deliverable forward contracts and CME renminbi futures contracts, the State Administration of Foreign Exchange explicitly forbids domestic institutions and individuals from participating in offshore renminbi derivatives transactions. Under the existing foreign exchange management system, how to make full use of the conditions provided by the market to avoid RMB exchange rate risk, the cross-hedging of related foreign exchange futures provides a useful way of thinking. The existing cross-hedging models are generally inefficient and unstable. One possible reason is that the difference between cross-hedging and direct hedging is ignored. Therefore, this paper compares the cross-hedging model with the direct hedging model from the three aspects of the correlation degree of hedging portfolio, base risk and hedging strategy, and then based on the triangular parity relationship of cross-exchange rate. To find the foreign currency futures with a stable correlation with the spot exchange rate, a model of cross-hedging of the spot risk of two RMB exchange rates is constructed by using one kind of related currency futures at the same time. In order to better measure the overall market risk exposure of cross-hedging portfolio of foreign exchange futures, accurately describe the nonlinear hedging between futures and spot. In this paper, a cross-hedging model of foreign exchange futures based on the minimum risk value of VaR under t distribution is established, and the ECM-VCC-MGARCH model is used to estimate it. The empirical results show that the cross-hedging model of RMB exchange rate is more effective than the traditional cross-hedging model. In the case of underdeveloped domestic RMB exchange rate hedge products, Chinese enterprises can reduce exchange rate risk by using cross-hedging strategy of relevant foreign exchange futures according to the actual situation.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6
【参考文献】
相关期刊论文 前10条
1 吴晓;谢赤;;汇率风险套期比率确定方法的比较与评析[J];安徽工业大学学报(社会科学版);2005年06期
2 林孝贵;;t分布下期货套期保值VaR风险的敏感度分析[J];商业研究;2008年09期
3 张铁强;蔡键;;境内外人民币汇率衍生产品发展比较研究[J];金融理论与实践;2009年12期
4 李继伟;;银行外汇项下表外融资高速增长背后的思考——关于“海外代付”及其衍生产品的合规性探讨[J];金融理论与实践;2010年10期
5 王春林;周杨强;;企业汇率避险问题研究——以江苏为例[J];金融纵横;2008年10期
6 王琛;;浮动汇率制下企业规避外汇风险的选择[J];上海金融;2006年06期
7 谢赤,吴晓;无偏的交叉货币期货市场与汇率风险[J];数量经济技术经济研究;2001年01期
8 黄长征,李焕荣,赵品成;期货套期保值的一个非线性M-V模型分析[J];五邑大学学报(自然科学版);1997年02期
9 潘成夫;;境外人民币衍生市场与人民币汇率定价主导权——兼论发展我国外汇期货市场[J];新金融;2006年12期
10 迟国泰;于超;杨万武;;多种期货对多种现货的最优套期保值决策模型[J];系统工程学报;2010年01期
相关博士学位论文 前1条
1 赵光军;基于条件风险价值的期货套期保值模型研究[D];大连理工大学;2009年
本文编号：2173133
本文链接：https://www.wllwen.com/guanlilunwen/huobilw/2173133.html
