To investigate hedging effectiveness of multinational companies in respect of using currency derivatives, the author adapts an innovative and multi layers GJR-GARCH-based model. This model broke down the currency risk faced by MNCs in each business area and added six control variables other than foreign sales ratio, all these variables have been proved to be related to MNCs’ currency risk exposure but was not included into previous models. Moreover, this model absorbs advantages of several models built in previous studies and combines them into a whole, intact model. This paper also employed a wide research scope, using a sample of 48 non-financial and 28 financial firms headquartered in USA. Also, comparison between financial and non-financial firms is an innovation of our research. According to the result, hedging of non-financial companies in respect of currency risk is ineffective, and financial companies are more likely using currency derivatives to speculate.

为了研究跨国公司在使用货币衍生工具方面的对冲有效性，作者采用了基于GJR-GARCH的创新多层模型。该模型分解了跨国公司在每个业务领域所面临的货币风险，并增加了六个控制变量（国外销售比率除外），所有这些变量均已被证明与跨国公司的货币风险敞口有关，但以前的模型并未包括在内。此外，该模型吸收了先前研究中建立的几种模型的优点，并将它们组合成一个完整的完整模型。本文还采用了总部位于美国的48家非金融公司和28家金融公司的样本进行了广泛的研究。同样，金融公司与非金融公司之间的比较也是我们研究的一项创新。根据结果​​，