English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140887 (78%)
Visitors : 46325093      Online Users : 823
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/66872


    Title: 考量轉換下的銀行利率和匯率風險管理
    Authors: 林信助
    Lin, Shinn-Juh
    Contributors: 國貿系
    Keywords: 動態避險;利率風險;匯率風險;GARCH 模型;狀態轉換
    Dynamic hedge;Interest rate risk;Exchange rate risk;GARCH model;Regime-switching
    Date: 2012.05
    Issue Date: 2014-06-24 14:57:54 (UTC+8)
    Abstract: 本文主要在探討美國銀行產業在利率風險和匯率風險下的投資組合動態避險績效。除了投資組合效果之外，本文同時考慮在避險文獻上較少被考量的狀態轉換效果，並採用Billio 與 Caporin (2005)提出的多變量馬可夫狀態轉換動態條件相關GARCH (Multivariate Markov Switching Dynamic Conditional Correlation GARCH, MS-DCC GARCH)模型來比較幾個在文獻上常被使用的模型之避險績效。實證結果顯示：投組避險相對於個別避險，在樣本外有較佳的避險績效；而且，當我們考慮狀態轉換的效果後，此績效能夠更進一步的提升。因此，當銀行在建構利率和匯率的避險策略時，確有必要同時考量投組避險和狀態轉換這兩個效果。
    This paper investigates the dynamic portfolio hedging effectiveness of US banks which are exposed to both interest rate and currency risks. To date, the investigation focusing on bank’s hedging effectiveness under portfolio effect and regime switching effect is limited. This paper tries to fill this literature gap by applying a Multivariate Markov Switching Dynamic Conditional Correlation GARCH (MS-DCC GARCH) model to examine whether taking into account of both effects improves bank’s hedging effectiveness. Empirical results show that portfolio hedging is superior to separate hedging out-of-sample in terms of both return maximization and risk minimization. The hedging performance is further improved when we incorporate the regime switching effect. This shows the importance of incorporating both effects of portfolio and regime switching for bank while constructing hedging strategies to hedge both interest rate and currency risks.
    Relation: 期貨與選擇權學刊, 5(1), 1-36
    Data Type: article
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    136.pdf777KbAdobe PDF21165View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback