Risk Management of the Won/Dollar Spot and Futures Exchange Rates

• 영문명: Risk Management of the Won/Dollar Spot and Futures Exchange Rates
• 발행기관: 한국무역연구원
• 저자명: Changhyuck Oh ByungJin Yim Do Hyeong Kim
• 간행물 정보: 『무역연구』제10권 제1호, 35~51쪽, 전체 16쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.02.28

영문 초록

This research has been conducted to determine the optimal hedging ratio of the spot and futures exchange rates in order to reduce exchange risks between the Korean won and the U.S. dollar. Using data of the won/dollar exchange rate spot and futures prices from the Korea Exchange, KRX, four methods were compared to obtain the hedging ratio: the naive method, the minimum variance hedging model, the vector error correction model, and GARCH with error correction model (ECT-GARCH). After comparing hedging performances of the models, the minimum variance hedging model outperformed others even though it does not take nonstationarity, cointegration relationship, and time variant property of the time series into account.

목차

Abstract

Ⅰ. Introduction

Ⅱ. Research Models

Ⅲ. Empirical Results

Ⅳ. Discussion and Conclusion

References

키워드

Cointegration ECT-GARCH nonstationary normal error terms OLS optimal hedging ratio spot and futures price VECM won/dollar exchange rate.