A Kalman Filter Approach to Estimating the Premium of Taiwan Forward Exchange Rates

Abstract

在台灣，遠期外匯可分為有本金遠期外匯(DF)及無本金遠期外匯(NDF)，其中無本金遠期外匯為銀行與客戶訂定之無標準化規格契約，\r\n其特色是在契約到期時，交易雙方僅就約定之匯率差額進行交割，不須交割本金。此特色也使得避險或是投機時較為節省資金成本，\r\n故NDF在台灣遠期外匯市場的交易量有逐漸增加的趨勢。\r\n\r\n然而在理性預期下，不論是DF或是NDF都應該是即期匯率的最佳預測值，即所謂的市場效率性。傳統統計方法通常用線性迴歸來檢定市場效率性，\r\n但卻常推估出互相衝突的結論。本文利用Kalman approach推估遠期外匯之貼水，希望藉此觀察出不同時間點，台灣遠期外匯市場的效率性。\r\n\r\n研究結果發現台灣遠期外匯之貼水在金融風暴之後呈現穩定，表示此時間內台灣外匯市場具有效率性。\r\n另外，在金融風暴之後NDF貼水之波動較DF而且為大，表示程度上NDF較不具效率性，可能跟NDF之投機性交易較多有關係。\r\n雖然如此，NDF市場之投機交易，並沒有使NDF之貼水波動達到無效率的地步，故建議央行可逐步放寬對NDF交易之限制，\r\n以促進市場交易之健全。

The forward exchange are divided into deliverable forward(DF) and non-deliverable forward(NDF) exchange in Taiwan .\r\nNDFs are foreign exchange derivative products traded over the counter.\r\nThe parties of the NDF contract settle the transaction, not by delivering the underlying pair of currencies,\r\nbut by making a net payment in a convertible currency proportional to the difference between the agreed forward exchange rate and\r\nthe subsequently realised spot fixing.\r\n\r\nUnder the rational expectation of foreign traders, not only DF exchange rate but also NDF will be the best predictor of the spot exchange.\r\nTradional statistics methods use linear regressions to test whether the markets are efficiency or not.\r\nHowever, this study consider a Kalman approach to estimate the model and predict the spot exchange rate.\r\n\r\nThe results can be found by observing the estimated premia: first, the premia show a certain degree of persistence after the Asian crisis.\r\nSecond, the premium of NDF rate is more fluctuated than DF rates after the Asian crisis.\r\nIt may present that the Non-deliverable forward exchange market in Taiwan has many speculative transactions.\r\n\r\nHowever, considering the process what we analyze the difference between the future spot rates and forward rates,\r\nit seems that the forward exchange markets in Taiwan have efficiency because of their persistence over time.\r\nSince the speculative transactions have no enough power to make the NDF markets inefficient,\r\nthe Central Bank of Taiwan may suggest cancel the restrictions of NDF transactions.