利差交易報酬之總體經濟因素分析

Abstract

本計畫探討總體經濟因素透過馬可夫轉換機率而影響到利差交易報酬的效果。為了衡量利差交易報酬的總體經濟因素之效果，我們採用隨時間變動之轉換機率的馬可夫狀態轉換模型。我們將幾個總體經濟變數放 入模型中，衡量哪種變數可解釋利差交易報酬的變化，並期望找出影響UIP 成立與否之總體經濟變數。我們用馬可夫狀態轉換模型得到兩種狀態：其中一種捕捉UIP 被違反且利差交易有高報酬的狀態；另一種則是UIP 成立且發生貨幣危機的時期。此外透過隨時間變動之轉換機率的馬可夫狀態轉換模型之估計，我們發現實質匯率可有效幫助預測市場由高利差報酬時期轉向低利差交易報酬時期，也將幫助政府和市場參與者藉由實質匯率的變動預測匯率的改變並對利差投資組合作適當的配置．

This paper examines the effects of the macroeconomic determinants on the returns of carry trade portfolio to be channeled through the transition probabilities in a Markovian process. To investigate the impacts of macroeconomic factors on carry trade performance, we adopt a Markov regime switching model with time-varying transition probabilities (TVTP). Several macroeconomic variables are selected to input into the model to see which kind of macro shocks can explain the UIP puzzle. Two economic regimes are found to capture carry trade performance. One state captures periods of the forward premium puzzle and UIP being violated. The other regime reports that the forward premium puzzle is largely absent from the data and also captures major currency crashes. In addition, through TVTP, our results indicate the real exchange rate can effectively predict the transition from forward premium puzzle to currency crash. This finding will help monetary authorities and market participants to know the responses of exchange rates to the change of real exchange rate and therefore profit from right carry trade asset allocation.