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題名 利率風險管理：期貨契約交叉避險之研究
作者 林明勳
貢獻者 林炯垚
林明勳
關鍵詞 利率風險管理
利率期貨
交叉避險
樣本外測試模式
Interest Rate Risk Management
Interest Rate Futures
Cross Hedging
Out-of-sample Model
日期 1993
上傳時間 29-Apr-2016 16:43:07 (UTC+8)
摘要 在利率自由化的過程中，貨幣市場利率變化情形較以前劇烈，因此近年來
參考文獻 一、中文部份
     1.金融人員研究訓練中心，「美國公債期貨市場」，金融研訓叢書之四十八，民國八十年十一月初版。
     2.侯金英，「利率自由化與貨幣政策」，產業金融，第七十二期，民國八十年九月，頁12-160
     3.黃天麟，「金融市場」，民國七十八年九月再版。
     4.劉弘毅，「如何運用外匯期貨來規避新臺幣兌美元的匯率風險」 ，輔仁大學管理科學研究所未出版碩士論文，民國七十八年六月。
     5.羅際禎，「債券期貨規避利率風險之研究」，政治大學企業管理研究所未出版碩士論文，民國八十一年六月。
     二、英文部份
     1.Anderson,R.W., and Danthine, J.P. ,"C ross Hedging" ,Journal of Political Economy, Decembar 1981。
     2.Benet,Bruce A., "Hedge Period Length and Ex-Ante Futures Hedging Effectiveness: The Case of Foreign-Exchange Risk Cross Hedges" Journal of Futures Markets, Vol .12,No.2,Apr 1992,pp.163 -75。
     3.Brown Stewart L.,"A Reformulation of the Portfolio Model of Hedging" ,American Journal of Agriculture Economy, August 1985,pp.508-512。
     4.Cicchetti,P.,Dale,C., and Vignola, A.J., "usefulness of Treasury Bill Futures as Hedging Instruments", Journal of Futures Markets, Vol.1, Fall 1981,pp.379-87 。
     5.Dale,C., "The Hedging Effectiveness of Currency Futures Market" Journal of Futures Markets, Vol.1,, No.1, Spring 1981,pp.77-88 。
     6.Ederington,L.H., "The Hedging Performance of the New Futures Markets", The Journal of Finance, Vol.34,No.l,March 1979。
     7.Franckle,C.T., "The Hedging Performance of the New Futures Markets: Comment", The Journal of Finance,Vol.35,Dec ember 1980,pp.1273-79 。
     8.Grieves,R., "Hedging Corporate Bond Portfolio", Journal of Portfolio Management, Summer 1986, pp23-5 。
     9.Herbst,A.F.,Kare,D.D., and Caples, S.C., "Hedging Effectiveness and Minimum Risk Hedge Ratios in the Presence of Autocorrelation: Foreign Currency Futures" ,Journal of Futures Markets,Vol.9,No.3, 1989, pp .185-97。
     10.Heifner, R.G., "Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding", Agricultural Economics Research,Vol.24, 1972,pp.25-35 。
     11.Hill,J ., and Schneeweis, T.," Forecasting Effectiveness of Foreign Currency Futures", Business Economics, May 1981,pp.42 -6。
     12.Hillard,J.E. ,"Hedging Interest Rate Risk With Futures Portfolio under Term Structure Effects" ,Journal of Finance, Vol .39,No.5,1984, pp. 1547-1569。
     13.Howard,C .T. , and D, Antonio ,L.J . ,"A Risk-Return Measure of Hedging Effectiveness", Journal of Financial and Quantitative Analysis,Vol.19,March
     1984,pp.101 - 12。
     14 . Johnson, L.L., "The Theory of Hedging and Speculation in Commodity Futures" ,Review of Economic Studies,Vol.27,1960 。
     15 .Khoury ,Nabil T. and Martel, Jean-Marc, "Optimal Futures Hedging in the Presence of Asymmetric Information", Journal of Futures Markets,Vol.5, No. 4,1985 , pp.595-605 。
     16.Kuberek,R.C. land Pefley, N .G., "Hedging Corporate Debt with U.S. Treasure Bond Futures", Journal of Futures Markets ,Vol. 3 ,Winter 1983 ,pp.345-53 。
     17.Markowitz, H., “Portfolio Selection”, Journal of Finance,Vol.8,1952,pp.77-91。
     18.Meese,R.A., and Rogoff, K., "Empirical Exchange Rate Models of The Seventies: Do they fit out of sample?", Journal of International Economics, Vol.14,1983 。
     19.Pitts,M., "Cross-Hedging, Hedge Effectiveness, and The Trade-off Between Risk and Return" ,Advances in Futures and Options Research,Vol.1,Part b, 1986, pp.29-47。
     20.Senchack,A.J. land Easterwood, J.C., "Cross-Hedging CDs with Treasury Bill Futures", ,Journal of Futures Markets ,Vol .3,Winter 1983,pp.429-38 。
     21.Smith,C.W., and Stulz, R.M.," The Determinants of Firms, Hedging Policies", Journal of Financial and Quantitative Analysis, Vol .20,No.4,December
     1985, pp. 391-405。
     22.Stulz,R.M., "Optimal Hedging Policies" Journal of Financial and Quantitative Analysis, Vol. 19,No.2 , December 1984, pp .1 27-40 。
     23.Stein,J.L.,"The Simultaneous Determination of Spot and Futures Price", American Economic Review 51,December 1961,pp.1012 - 25 。
     24.Working,H., "Futures Trading and Hedging " ,American Economic Review, June 1953。
     25.Yen ,S.H., "Cross-Hedging Foreign Interest Rates with U.S. Financial Futures, Ph.D. Dissertation, The Ohio State University ,1989。
描述 碩士
國立政治大學
國際經營與貿易學系
80351026
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004161
資料類型 thesis
dc.contributor.advisor 林炯垚zh_TW
dc.contributor.author (Authors) 林明勳zh_TW
dc.creator (作者) 林明勳zh_TW
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:43:07 (UTC+8)-
dc.date.available 29-Apr-2016 16:43:07 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:43:07 (UTC+8)-
dc.identifier (Other Identifiers) B2002004161en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89000-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 80351026zh_TW
dc.description.abstract (摘要) 在利率自由化的過程中，貨幣市場利率變化情形較以前劇烈，因此近年來zh_TW
dc.description.tableofcontents 目錄
     第一章 緒論
     第一節 研究背景與動機..........1
     第二節 研究目的..........3
     第三節 研究架構..........5
     第四節 本文研究步驟..........7
     本章註釋..........8
     第二章 避險文獻探討
     第一節 期貨避險的意義與目的..........9
     第二節 避險理論之演進..........11
     第三節 避險比例與避險績效..........16
     第四節 避險實證研究文獻探討..........25
     本章註釋..........30
     第三章 研究方法
     第一節 前言..........32
     第二節 研究資料及範圍..........32
     第三節 研究假說與限制..........34
     第四節 實證模式..........35
     第五節 研究設計與步驟..........42
     第四章 實證結果與分析
     第一節 整體樣本測試交叉避險模式—最適避險模式..........45
     第二節 樣本外測試交叉避險模式—自然避險模式..........53
     第三節 樣本外測試交叉避險模式—最適避險模式..........58
     第四節 總結..........65
     本章註釋..........70
     第五章 結論與建議
     第一節 結論..........71
     第二節 建議..........73
     附表..........75
     參考文獻..........108		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004161en_US
dc.subject (關鍵詞) 利率風險管理zh_TW
dc.subject (關鍵詞) 利率期貨zh_TW
dc.subject (關鍵詞) 交叉避險zh_TW
dc.subject (關鍵詞) 樣本外測試模式zh_TW
dc.subject (關鍵詞) Interest Rate Risk Managementen_US
dc.subject (關鍵詞) Interest Rate Futuresen_US
dc.subject (關鍵詞) Cross Hedgingen_US
dc.subject (關鍵詞) Out-of-sample Modelen_US
dc.title (題名) 利率風險管理：期貨契約交叉避險之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
     1.金融人員研究訓練中心，「美國公債期貨市場」，金融研訓叢書之四十八，民國八十年十一月初版。
     2.侯金英，「利率自由化與貨幣政策」，產業金融，第七十二期，民國八十年九月，頁12-160
     3.黃天麟，「金融市場」，民國七十八年九月再版。
     4.劉弘毅，「如何運用外匯期貨來規避新臺幣兌美元的匯率風險」 ，輔仁大學管理科學研究所未出版碩士論文，民國七十八年六月。
     5.羅際禎，「債券期貨規避利率風險之研究」，政治大學企業管理研究所未出版碩士論文，民國八十一年六月。
     二、英文部份
     1.Anderson,R.W., and Danthine, J.P. ,"C ross Hedging" ,Journal of Political Economy, Decembar 1981。
     2.Benet,Bruce A., "Hedge Period Length and Ex-Ante Futures Hedging Effectiveness: The Case of Foreign-Exchange Risk Cross Hedges" Journal of Futures Markets, Vol .12,No.2,Apr 1992,pp.163 -75。
     3.Brown Stewart L.,"A Reformulation of the Portfolio Model of Hedging" ,American Journal of Agriculture Economy, August 1985,pp.508-512。
     4.Cicchetti,P.,Dale,C., and Vignola, A.J., "usefulness of Treasury Bill Futures as Hedging Instruments", Journal of Futures Markets, Vol.1, Fall 1981,pp.379-87 。
     5.Dale,C., "The Hedging Effectiveness of Currency Futures Market" Journal of Futures Markets, Vol.1,, No.1, Spring 1981,pp.77-88 。
     6.Ederington,L.H., "The Hedging Performance of the New Futures Markets", The Journal of Finance, Vol.34,No.l,March 1979。
     7.Franckle,C.T., "The Hedging Performance of the New Futures Markets: Comment", The Journal of Finance,Vol.35,Dec ember 1980,pp.1273-79 。
     8.Grieves,R., "Hedging Corporate Bond Portfolio", Journal of Portfolio Management, Summer 1986, pp23-5 。
     9.Herbst,A.F.,Kare,D.D., and Caples, S.C., "Hedging Effectiveness and Minimum Risk Hedge Ratios in the Presence of Autocorrelation: Foreign Currency Futures" ,Journal of Futures Markets,Vol.9,No.3, 1989, pp .185-97。
     10.Heifner, R.G., "Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding", Agricultural Economics Research,Vol.24, 1972,pp.25-35 。
     11.Hill,J ., and Schneeweis, T.," Forecasting Effectiveness of Foreign Currency Futures", Business Economics, May 1981,pp.42 -6。
     12.Hillard,J.E. ,"Hedging Interest Rate Risk With Futures Portfolio under Term Structure Effects" ,Journal of Finance, Vol .39,No.5,1984, pp. 1547-1569。
     13.Howard,C .T. , and D, Antonio ,L.J . ,"A Risk-Return Measure of Hedging Effectiveness", Journal of Financial and Quantitative Analysis,Vol.19,March
     1984,pp.101 - 12。
     14 . Johnson, L.L., "The Theory of Hedging and Speculation in Commodity Futures" ,Review of Economic Studies,Vol.27,1960 。
     15 .Khoury ,Nabil T. and Martel, Jean-Marc, "Optimal Futures Hedging in the Presence of Asymmetric Information", Journal of Futures Markets,Vol.5, No. 4,1985 , pp.595-605 。
     16.Kuberek,R.C. land Pefley, N .G., "Hedging Corporate Debt with U.S. Treasure Bond Futures", Journal of Futures Markets ,Vol. 3 ,Winter 1983 ,pp.345-53 。
     17.Markowitz, H., “Portfolio Selection”, Journal of Finance,Vol.8,1952,pp.77-91。
     18.Meese,R.A., and Rogoff, K., "Empirical Exchange Rate Models of The Seventies: Do they fit out of sample?", Journal of International Economics, Vol.14,1983 。
     19.Pitts,M., "Cross-Hedging, Hedge Effectiveness, and The Trade-off Between Risk and Return" ,Advances in Futures and Options Research,Vol.1,Part b, 1986, pp.29-47。
     20.Senchack,A.J. land Easterwood, J.C., "Cross-Hedging CDs with Treasury Bill Futures", ,Journal of Futures Markets ,Vol .3,Winter 1983,pp.429-38 。
     21.Smith,C.W., and Stulz, R.M.," The Determinants of Firms, Hedging Policies", Journal of Financial and Quantitative Analysis, Vol .20,No.4,December
     1985, pp. 391-405。
     22.Stulz,R.M., "Optimal Hedging Policies" Journal of Financial and Quantitative Analysis, Vol. 19,No.2 , December 1984, pp .1 27-40 。
     23.Stein,J.L.,"The Simultaneous Determination of Spot and Futures Price", American Economic Review 51,December 1961,pp.1012 - 25 。
     24.Working,H., "Futures Trading and Hedging " ,American Economic Review, June 1953。
     25.Yen ,S.H., "Cross-Hedging Foreign Interest Rates with U.S. Financial Futures, Ph.D. Dissertation, The Ohio State University ,1989。		zh_TW