| Summary: | 碩士 === 佛光大學 === 經濟學系 === 95 === The government formulates lots of budget to acquire service and equipment from foreign country. Constrained by the formulation way and system of budget, there are a lot of short difference of the movement of exchange rate from foreign acquirement. It is critical to develop a strategic method to deal with the movement risk of exchange rate, to enhance the efficiency of the economic development and construction.
This thesis is based the cross-hedging model developed by Anderson ＆ Danthine（1981）. By Gathering the data of the yen, euro, and sterling against dollar from 2000A.D. to 2006A.D., hedging period from 4, 8,and 13weeks, the consequences of positivist approach of cross-hedging model include:
1.As to single hedge in seven parameter forecasting period, the hedge of yen is more efficient than the others. The highest hedge efficient rate is 44%, and lowest 25.3%.
2.As to multiple hedges in seven parameter forecasting period, the hedge of mixed futures of 3 currencies is most efficient. The highest hedge efficient rate is 47.8%, and lowest 27.7%.. As to the hedge efficiency of mixed futures of 2 currencies, the yen and euro or the yen and sterling, is more efficient. No matter what mixed futures are, the difference of the hedge efficiency is small. It shows that portfolio of multiple currency futures will enhance hedge efficiency.
The financial resource of government is the critical factor of national construction and economic development . If the budget of foreign acquirement can be transmitted to revolving fund, the risk of the movement of exchange rate from foreign acquirement will be reduced. On the other side, the manipulation of futures is a kind of investment and hedge method with highly risky. Considering investment gain and risk, the manipulation of investment should be committed to professional institute enhance managerial efficiency of the financial resource of govenment.
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