近年來因國內利率持續走低，壽險公司紛紛至海外尋找收益更佳的投資機會與標的，其中大部份以固定利率的海外資產為主。這些海外的投資部位，雖然讓壽險公司享受到較國內金融資產高的投資名目收益，但在投資期間結束後，壽險公司仍面臨必需以新台幣結算投資損益的不確定性。因此，壽險公司進行匯率避險成為海外投資組合中最關鍵的一環。為達到規避匯率風險以及降低避險成本這兩個目的，一籃子貨幣組合避險策略(A BASKET OF MONEY HEDGE STRATEGE)因此被發展出來。 1. 希望能夠提供海外投資者另一種規避新台幣匯率風險的方法。 2. 瞭解各種不同的貨幣篩選方法可能存在何種差異性。 3. 根據實證結果提出適當建議，以供後續研究者參考。 本研究首先選取一些目標貨幣當作一籃子貨幣的基準貨幣，為使整個避險投資組合的效果提升，必需考慮各種幣別與台幣的替代性是否夠高，所以利用以下各項因子來作為貨幣篩選的標準，如：各幣別與台幣之相關性、各幣別與美元的利差、替代貨幣本身的波動性、各替代貨幣間之相關性等因素進行替代貨幣的篩選機制。 / 利用以上要點篩選出基準貨幣後，再利用Markowitz所提出之效率前緣分析方式來選擇最適合的貨幣配置。就是在給定投資組合部位限制下，給定期望報酬使總風險為最小之配置比重，即為最佳化投資組合。利用Matlab之指令portopt給定歷史報酬及共變異數矩陣，即可輕易求出效率前緣曲線，以及最佳化貨幣配置比率，再與傳統之避險方式做比較，以求取更佳的一籃子避險策略。

˼˶為因應全球金融海嘯及歐債危機之匯兌風險、歐美先進國家採行量化寬鬆貨幣政策所產生之外溢成本，以及經濟實力相對提升，2009年中國開始推動人民幣國際化。目前人民幣已成為全球第五大支付貨幣，且國際貨幣基金會(International Monetary Fund)在2015年10月31日宣布將人民幣納入特別提款權籃子(Special Drawing Right)，人民幣國際化進程十分迅速。 長期以來，人民幣被國際間普遍認為是低估的，本文使用購買力平價模型(Purchasing Power Parity)及有效匯率模型(Effective Exchange Rate)估算人民幣高低估程度，分析結果顯示人民幣匯率低估程度已有大幅改善，逐漸接近均衡匯率(Equilibrium Exchange Rate)。 另外，人民幣匯率形成機制也是國際間關注的議題，在2010年中國重啟人民幣匯改後，逐步放寬人民幣兌美元單邊波幅，且對外宣稱逐步與美元脫鉤，實行釘住一籃子貨幣的匯率形成機制。本文用中國人民銀行所發佈的CFETS人民幣匯率指數所公布的組成成分，將13種貨幣變動率對人民幣做回歸分析，推論中國目前採取『可調整的釘住一籃子』的匯率形成機制。若中國欲將人民幣推廣成為國際貨幣，勢必需推動匯率自由化，並降低人為操弄空間。 / In response to exchange rate risks to the global financial crisis and European debt crisis, developed countries adopt quantitative easing monetary policy arising from the spillover costs, and the enhancing of the economic strength, in 2009, China began to implement the internationalization of the RMB. The RMB has become the world's sixth-largest currency of payment. Besides, IMF (International Monetary Fund) announced the Yuan to be included in the SDR basket (Special Drawing Right) on October 31, 2015, RMB internationalization process is very fast. For a long time, the Yuan’s value is regarded underestimated. This paper uses the PPP model (Purchasing Power Parity) and Effective Exchange Rate model to estimate the degree of undervaluation of Yuan. The analysis shows that the degree of undervaluation has been greatly improved, and gradually approaching the equilibrium exchange rate. In addition, the RMB exchange rate regime is also a very important issue. After China restarted the RMB exchange rate reform in 2010, the volatility limitation of Yuan against the US dollar is gradually relaxed. China also announced that the exchange rate regime decoupled the US dollar peg to a basket of currencies. This paper uses CFETS RMB exchange rate index’s composition of the 13 kinds of currency rate on a regression analysis to the Yuan. We find out that China’s exchange rate regime is "adjustable peg to a basket". If China wants the Yuan to be an international currency, the exchange rate must be liberalized and the space of manipulation must be minimized.

本文採用1990年至2004年10月之月資料，建立人民幣出口、進口及雙邊貿易之三項實質有效匯率指數。考量中國大陸特殊政、經情勢，以及加入WTO後，進出口貿易更加自由化的前提下，運用中國大陸進出口值、物價水準，建立人民幣實質有效匯率指數，所依循理論較無疑慮，而援引之數據亦無太大爭議。 為貼近中共當局宣稱建立「符合市場經濟的靈活的匯率制度」，本文選擇與中國前十二大貿易夥伴組成一籃子貨幣，用以編纂人民幣實質有效匯率指數，將現行釘住美元之匯率改為釘住「一籃子」貨幣，能有效反映人民幣價值，亦可衡量中國外貿競爭力。 實證結果發現，相對於基期(2000年)，1990∼1993年指數多低於100，幣值高估；1994年匯率併軌，匯價發生結構性改變，幣值過度低估，後指數逐步下跌，1997年趨近均衡匯率。1997年亞洲金融風暴至2002年，甚至出現與均衡匯率並無太大偏離現象，即便有所失調亦能在短期內適切調整。2002年下半年至2004年年底，匯價低估趨勢確立，但偏離均衡匯率僅5％上下，幅度不太。 中國宣稱要「和平崛起」，自應承擔更多國際義務，人民幣升值是無可違逆的趨勢。為避免干擾經濟發展，勢必採行積極之管理浮動匯率制度，釘住一籃子貨幣並設定幅度狹窄之浮動區間「微調」。匯價調整時機，除衡酌自身經濟面的條件，尚須納入國際政治面的考量，由中共官方談話研判，人民幣升值，將是無預警的，出其不意的。 / In this paper monthly data from 1990 through October 2004 are used to establish real effective exchange rate indices of RMB for export, import and bilateral trading respectively. These real effective exchange rate indices are established taking the particular political and economic conditions in China into consideration, based on the increasingly liberation of importation and exportation after joining WTO, and using China’s import and export volume as well as its CPI. The theory used is doubtlessly correct and there is no much dispute on the data referred herein. To adhere with what the China government proclaimed: “a flexible exchange rate meeting the market economics”, currencies of its top 12 trade partners are selected for a basket of currencies instead of pegging to US dollar, in forming the real effective exchange rate indices. These indices can effectively reflect RMB’s true value, and measure China’s foreign trade competition. According to the result of verification, in comparing with the base period (2000), the indices for 1990 – 1993 were mostly less than 100, representing that RMB was overvalued. In 1994 the exchange rates were unified, resulting in a structural change on foreign exchange rate, RMB was undervalued. Then, these indices fell gradually, and the exchange rate tended to become balanced in 1997. From 1997, while the Asian financial crisis happened, till 2002, there was no much deviation from the balanced exchange rate, i.e., even there was any out of balance, it was adjusted properly within a relatively short time. From the second half of 2002 till the end of 2004, the tendency of undervaluation was ascertained, by the deviation was only about 5%, the range was not so much. Proclaiming that it is going to “peacefully rise”, China should assume more international liabilities, and the appreciation of RMB is a non-reversible trend. To avoid interference to its economic development, China has no choice but to adopt an aggressively control on its floating exchange rate regime, pegging to a basket of currencies and setting up a relatively narrow range of tunnel for “snaking”. In addition of its own political economy, international political situation must be taken into consideration for timing of its exchange rate adjustment. From some China government officials’ statements, it can be seen that appreciation of RMB would be done without any warning in advance and unexpectedly.