| 英文摘要 |
This study uses five exchange rate models, UIP, PPP, MF, s TR and a TR , to examine the hedging accurate rate and performance on the TWD/USD exchange rate. The empirical results show that in any length of hedging terms, the hedging accurate rates of macro fundamental models are higher than those of hedging rules from the past researches. However, the high hedging accurate rate of the model does not imply it has good forecasting ability because it cannot forecast the magnitude of exchange rate movements precisely. Our results also show that monetary fundamental model (MF) and the asymmetric Taylor rule ( a TR ) outperform the other competing models in six-month out-of-sample hedging. Comparing the hedging performance between MF and a TR models, we find that the hedging performance by the MF and a TR with exponential weighted moving average (EWMA) hedge ratio will get the same return. However, the hedging performance by the a TR with EWMA hedge ratio will get the lower volatility. |
