「헤징」및 金利裁定과 先物換市場의 均衡 = Hedging, Interest Arbitrage, and the Equilibrium of Forward Exchange Market

다국어 초록 (Multilingual Abstract)

In this paper we construct a model of foreign exchanges to analyze the behaviour of commercial hedgers and banks in organizing the international trade between convertible currency countries.
Especially, the role of commercial banks as covered interest arbitrageurs (CIAs) is emphasized in introducing more liquidity in the foreign exchange market (i.e. reducing the financial costs of most illiquid of commercial traders).
In the short run CIAs determine the relative values of spot and forward exchange rates at all terms to maturity defined by Interest Rate Parity Theorem.
Clearly, the free international movemenet of short-term capital assumes a more virtuous aspect in a floating exchange rate regime, and improved efficiency of short-term money markets in each national currency is equally important.

목차 (Table of Contents)

• Ⅰ. 序論
• Ⅱ. 「헤징」모델
• 1. 送狀通貨의 選擇
• 2. 通貨危險과 貿易信用
• 3. 價格調整과 先物「카바」
• Ⅲ. 不完全資本市場에서의 先物「카바」와 金利裁定
• 1. 現物「카바」와 先物「카바」
• 2. 「헤징」壓力과 先物換律의 偏向
• 3. 金利裁定家의 역할
• 4. 先物換市張의 균형과 金利平價
• Ⅳ. 結論