Cross hedging using foreign interest rate futures

• Main Authors: Chung Tsui-fen, 鍾翠芬
• Other Authors: Kuo Chen-K''un
• Format: Others
• Language: zh-TW
• Published: 1994
• Online Access: http://ndltd.ncl.edu.tw/handle/90964172590306091305

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.