海外资源投资与基础商品进口对于中国经济的平稳运行至关重要,但是相关外汇衍生产品的缺失阻碍着针对商品货币汇率风险的对冲策略的实施。本文提出基于商品期货的交叉套期保值策略,并以澳元为例进行案例分析,实证了利用商品期货对澳元头寸做交叉套期保值的效果和稳健性。平衡收益与风险的绩效评价,选取单一铝期货、采用最小方差套期保值比的对冲策略是简单易行而稳健的有效手段。 Overseas investment in resources and importation of basic commodities are crucial for the smooth operation of the Chinese economy. However, the absence of related foreign exchange derivatives hinders the implementation of the hedging strategy aimed at the exchange rate risk of commodity currencies. This article proposes a cross-hedging strategy based on commodity futures, and takes the Australian dollar as an example to conduct a case study, which demonstrates the effectiveness and robustness of cross-hedging the Australian dollar using commodity futures. Balanced returns and risk performance evaluation, select a single aluminum futures, the use of minimum variance hedge ratio hedging strategy is easy and robust and effective means.