CAJ | 학술논문

汇改以来，人民币汇率波动的不确定性增大，外汇风险加剧，在此形势下加强外汇风险管理势在必行。考虑到利用外汇期货合约进行套期保值是管理外汇风险的一个重要方法，因此可建立一个状态转换动态 Gaussian Copula套期保值模型来对外汇风险进行管理。首先采用GJR-t模型描述欧元、日元、英镑、澳元和加元的现货和期货收益率的边际分布；然后引入状态转换动态 Copula 函数描述上述五种货币的现货和期货收益率之间的相关性；最后将状态转换动态Gaussian Copula模型与OLS，DCC GARCH，DCC Gaussian Copula等模型的套期保值效率进行比较。实证结果表明，所构建的模型优于其他模型，利用该策略模型能有效规避外汇风险。
회개이래，인민폐회솔파동적불학정성증대，외회풍험가극，재차형세하가강외회풍험관리세재필행。고필도이용외회기화합약진행투기보치시관리외회풍험적일개중요방법，인차가건립일개상태전환동태 Gaussian Copula투기보치모형래대외회풍험진행관리。수선채용GJR-t모형묘술구원、일원、영방、오원화가원적현화화기화수익솔적변제분포；연후인입상태전환동태 Copula 함수묘술상술오충화폐적현화화기화수익솔지간적상관성；최후장상태전환동태Gaussian Copula모형여OLS，DCC GARCH，DCC Gaussian Copula등모형적투기보치효솔진행비교。실증결과표명，소구건적모형우우기타모형，이용해책략모형능유효규피외회풍험。
Ever since the foreign currency exchange rate system reform in 2005, the indeterminacy of RMB exchange rate and the foreign exchange risk have greatly increased. Hence, it is immediately imperative to strengthen foreign exchange risk management. Considering that hedge by using foreign currency futures contracts is an important means of managing the foreign exchange risk, we can develop a hedging model based on regime-switching dynamic Copula model to manage the foreign exchange risk. Firstly, we can describe the spot and futures marginal distributions of EUR, JPY, GBP, AUD and CAD by using GJR-t model. Secondly, we can introduce regime-switching dynamic Copula model to tell the dependence between the spots and futures of EUR, JPY, GBP, AUD and CAD. Finally, a comparative analysis is conducted between regime-switching dynamic Copula model and OLS, DCC GARCH, DCC Gaussian Copula model. The empirical results show that the regime switching dynamic Copula model is superior to other models in the effect of hedging, and that hedging can mitigate the foreign exchange risk effectively.