利用制度转换模型进行外汇套期保值:英镑案例

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE
Taehyun Lee, Ioannis C. Moutzouris, Nikos C. Papapostolou, Mahmoud Fatouh
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引用次数: 0

摘要

我们建立了一个利用远期合约进行最优外汇(FX)套期保值的四状态制度转换模型。四种状态对应四种不同的市场条件,每种条件都由现行外汇即期汇率偏离其长期趋势的方向和幅度所决定。该模型在不同期限内对五种货币兑英镑的表现进行了评估。我们将拟议模型的套期保值结果与其他常用套期保值方法进行了比较。实证结果表明,我们的模型对美元、欧元、日元和土耳其里拉的风险降低水平最高,对印度卢比的性能次之。与其他方法相比,里拉的风险降低程度明显更高,这意味着所提出的模型可能能够为高度波动的货币提供更有效的对冲。该模型性能的提高可归因于可根据当前市场条件调整最佳对冲比率的估计期限。这反过来又使其能够更好地捕捉外汇回报中经常出现的肥尾特性。我们的研究结果表明,外汇投资者倾向于在低市况(相对于趋势)下使用短期记忆,而在高市况下使用长期记忆。 这些结果还有助于更好地理解投资者的行为如何取决于市场条件,并减轻短期记忆的不利行为影响,如恐慌。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Foreign exchange hedging using regime-switching models: The case of pound sterling

Foreign exchange hedging using regime-switching models: The case of pound sterling

We develop a four-state regime-switching model for optimal foreign exchange (FX) hedging using forward contracts. The states correspond to four distinct market conditions, each defined by the direction and magnitude of deviation of the prevailing FX spot rate from its long-term trends. The model's performance is evaluated for five currencies against the pound sterling for various horizons. Our examination compares the hedging outcomes of the proposed model to those of other commonly employed hedging methods. The empirical results suggest that our model demonstrates the highest level of risk reduction for the US dollar, euro, Japanese yen and Turkish lira and the second-best performance for the Indian rupee. The risk reduction is significantly higher for lira compared with the other approaches, implying that the proposed model might be able to provide much more effective hedging for highly volatile currencies. The improved performance of the model can be attributed to the adjustability of the estimation horizon for the optimal hedge ratio based on the prevailing market conditions. This, in turn, allows it to better capture fat-tail properties that are frequently observed in FX returns. Our findings suggest that FX investors tend to use short-term memory during low market conditions (relative to trend) and long-term memory in high ones.   The results would be also useful to build a better understanding of how investor behaviour depends on market conditions and mitigate the adverse behavioural implications of short-term memory, such as panic.

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来源期刊
CiteScore
5.70
自引率
6.90%
发文量
143
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