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인플레이션 위험의 동태적 헤지

Dynamic Hedging Against Inflation Risk

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참고문헌

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주제분류경제학

초록

이 연구는 시장에서 거래가 불가능한 인플레이션 위험이 존재할 때 투자수익의변동위험을 커버하기 위해 최적 헤지가 어떻게 결정되는지 살펴보고자 한다. 특히, 인플레이션 위험을 고려할 때 자산 가격과 환율변화에 대한 실질수익 위험은기간별로 서로 다른 비선형적인 행태를 보이게 된다. 이 경우 단순한 선물매도헤지 보다는 선물매도와 풋 옵션매입의 컴비네이션 헤지가 필요하며, 자산가격, 환율과 인플레이션의 동태적 관계에 따라 동태적 헤지전략이 필요하다. 실증적으로추정한 동태적 최적 헤지는 이론적 결과를 장, 단기적으로 강하게 지지하고 있다.

Abstract

This study purposes to examine how optimal hedging is determined against the uncertainty of real revenue when there exist tradable risk of asset price and exchange as well as untradable inflation risk at a time. In particular, when inflation shows a dynamic relationship between asset price and exchange rate,the real revenue schedule would be nonlinear to risk of asset price and exchange rate. Optimal combination hedge using short futures and long put is required to hedge against this nonlinear revenue schedule corresponding to asset price risk or exchange risk. Also a dynamic hedging strategy is analyzed for a dynamic relationship between inflation, asset price and exchange rate.

참고문헌 (30)

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