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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.
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참고문헌 (11)
참고문헌 신청
Bollerslev, Tim / 1986 / Generalized Autogressive Conditional Heteroskedasticity / Journal of Econometrics 31 (3) : 307 ~ 327
Ederington, Louis H. / 1979 / The Hedging Performance of the New Futures Markets / Journal of Finance 34 (1) : 157 ~ 170
Engle, R. F. / 1987 / Cointegration and Error Correction Representation, Estmation, and Testing / Econometrica 55 (2) : 251 ~ 1008
Ghosh, Asim / 1993 / Cointegration and Error Correction Models : Intertemporal Causality between Index and Futures Exchange Rates / The Journal of Futures Markets 13 (2) : 19
Ghosh, Asim / 1996 / Hedging with International Stock Index Futures : An Intertemporal Error Correction Model / Journal of Financial Research 19 (4) : 477 ~ 492
Ederington, Louis H. / 1979 / The Hedging Performance of the New Futures Markets / Journal of Finance 34 (1) : 157 ~ 170
Engle, R. F. / 1987 / Cointegration and Error Correction Representation, Estmation, and Testing / Econometrica 55 (2) : 251 ~ 1008
Ghosh, Asim / 1993 / Cointegration and Error Correction Models : Intertemporal Causality between Index and Futures Exchange Rates / The Journal of Futures Markets 13 (2) : 19
Ghosh, Asim / 1996 / Hedging with International Stock Index Futures : An Intertemporal Error Correction Model / Journal of Financial Research 19 (4) : 477 ~ 492
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