Cross hedging using foreign interest rate futures
碩士 === 國立臺灣大學 === 國際貿易學系 === 82 === Since the revise of "Bank Law" and deregulation in 1989 @ , the fluctuationof interest rate of money market in @ Taiwan is becoming larger than in America.There is great @ demand for hedging interest rate risk...
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ndltd-TW-082NTU003230032016-07-18T04:09:32Z http://ndltd.ncl.edu.tw/handle/90964172590306091305 Cross hedging using foreign interest rate futures 國外利率期貨交叉避險之研究 Chung Tsui-fen 鍾翠芬 碩士 國立臺灣大學 國際貿易學系 82 Since the revise of "Bank Law" and deregulation in 1989 @ , the fluctuationof interest rate of money market in @ Taiwan is becoming larger than in America.There is great @ demand for hedging interest rate risk; however, there @ is noinstruments for hedging interet rate risk. So @ applying the concept of cross hedge is a good method @ to use. @ The thesis first discusses the system of interest rate @ and finds the representative of hedging interest rate @ risk. Second, I review theories of hedging interest @ rate risk using financial futures. Then, based on the @ methods of Robert W. Kolb(1982), I implement an emperical study to evaluate the effectiveness of cross hedge: using T-Bill futures and domestic forward to hedge the commercial paper interest rate risk. The data is Jan.-March 1992, July-Sep. 1992, and March- May 1993. The hedge periods are 10, 30, 90 and 180 days. The conclusions of the study include: 1. the impact of hedge periods: the longer the periods, the larger is the gains(or losses). 2. the impact of the sample periods: the trend of interest rate in these two countries is not the same , so the effectiveness of hedging interest rate risk is uncertain. 3. the impact of different trend of long and short-term interest rate: When the short-term interest rate is rising but the long-term interest rate is declining, the effectiveness of the different hedging periods in the same sample period is different. Kuo Chen-K''un 郭震坤 1994 學位論文 ; thesis 110 zh-TW |
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NDLTD |
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zh-TW |
format |
Others
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sources |
NDLTD |
description |
碩士 === 國立臺灣大學 === 國際貿易學系 === 82 === Since the revise of "Bank Law" and deregulation in 1989 @ ,
the fluctuationof interest rate of money market in @ Taiwan is
becoming larger than in America.There is great @ demand for
hedging interest rate risk; however, there @ is noinstruments
for hedging interet rate risk. So @ applying the concept of
cross hedge is a good method @ to use. @ The thesis first
discusses the system of interest rate @ and finds the
representative of hedging interest rate @ risk. Second, I
review theories of hedging interest @ rate risk using
financial futures. Then, based on the @ methods of Robert W.
Kolb(1982), I implement an emperical study to evaluate the
effectiveness of cross hedge: using T-Bill futures and domestic
forward to hedge the commercial paper interest rate risk. The
data is Jan.-March 1992, July-Sep. 1992, and March- May 1993.
The hedge periods are 10, 30, 90 and 180 days. The conclusions
of the study include: 1. the impact of hedge periods: the
longer the periods, the larger is the gains(or losses). 2. the
impact of the sample periods: the trend of interest rate in
these two countries is not the same , so the effectiveness of
hedging interest rate risk is uncertain. 3. the impact of
different trend of long and short-term interest rate: When the
short-term interest rate is rising but the long-term interest
rate is declining, the effectiveness of the different hedging
periods in the same sample period is different.
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author2 |
Kuo Chen-K''un |
author_facet |
Kuo Chen-K''un Chung Tsui-fen 鍾翠芬 |
author |
Chung Tsui-fen 鍾翠芬 |
spellingShingle |
Chung Tsui-fen 鍾翠芬 Cross hedging using foreign interest rate futures |
author_sort |
Chung Tsui-fen |
title |
Cross hedging using foreign interest rate futures |
title_short |
Cross hedging using foreign interest rate futures |
title_full |
Cross hedging using foreign interest rate futures |
title_fullStr |
Cross hedging using foreign interest rate futures |
title_full_unstemmed |
Cross hedging using foreign interest rate futures |
title_sort |
cross hedging using foreign interest rate futures |
publishDate |
1994 |
url |
http://ndltd.ncl.edu.tw/handle/90964172590306091305 |
work_keys_str_mv |
AT chungtsuifen crosshedgingusingforeigninterestratefutures AT zhōngcuìfēn crosshedgingusingforeigninterestratefutures AT chungtsuifen guówàilìlǜqīhuòjiāochābìxiǎnzhīyánjiū AT zhōngcuìfēn guówàilìlǜqīhuòjiāochābìxiǎnzhīyánjiū |
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