在今日全球化的經濟型態下，不論大小企業皆需處理與外匯相關的業務。外匯持續不斷地變動常使得企業在預期成本與利潤方面遇到困難。因此匯率風險的管理實是愈形重要。本研究應用動態變動相關係數避險模型及因素避險模型從事外匯避險，並與常數相關係數避險模型比較之避險差異。研究對象為1985年2月14日至1990年2月22日之英磅、德國馬克、日圓、瑞士法郎及1988年1月7日至1992年12月31日之加幣。在避險績效比較時進一步分為樣本內、外及日、一週、四週避險。

本研究實證結果如下：

1.在研究期間內，常數相關係數避險模型因模型內的相關係數無法隨時間變動，有高估避險比率的可能。

2.在風險最小化架構下，以相對於不避險部位所減少的風險來衡量，平均而言，動態變動相關係數避險模型及因素避險模型，相對於常數相關係數避險模型有較佳的避險效果。

3.研究期間、各幣別相關係數變動的大小之差異會影響動態變動相關係數避險模型及因素避險模型的相對績效。

4.樣本內及樣本外的大部分幣別，以相對於不避險所能減少的風險來衡量，各模型之避險績效皆隨著避險期間增加而增加。

一、中文部分（依作者姓名排序）

江文強（1997），股價指數期貨避險效果之研究，國立交通大學管理科學研究所碩士論文。

吳玟儀（2002），外匯期貨之最適避險比率與避險效益分析，逢甲大學財務金融學所碩士論文。

林靖文（2001），最適公債期貨避險策略之實證研究，國立高雄第一科技大學財務管理研究所碩士論文。

徐憶文（2002），動態交叉避險之研究―以新台幣兌美元匯率為例，長庚大學企業管理研究所碩士論文。

張峻銘（1998），台股指數期貨避險之實證研究―時間數列模型與技術分析之應用，東海大學管理研究所碩士論文。

盧惠盈（2002），期貨避險比率及績效分析―以外匯期貨為例，國立中正大學財務金融研究所碩士論文。

賴昌作（2000），股價指數期貨之避險比率與避險效益，國立台灣科技大學資訊管理所碩士論文。

魏志良（2002），國際股價指數期貨與現貨直接避險策略之研究，淡江大學財務金融研究所碩士論文。

二、英文部分（依作者姓氏字母排列）

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