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Title: 以Probit模型預測美元指數循環
Forecasting the turning points of the US dollar index by using the probit model
Authors: 黃文基
Huang, Wen-Chi
Contributors: 徐士勛
Hsu, Shih-Hsun
Huang, Wen-Chi
Keywords: 美元指數
動態 Probit 模型
Date: 2021
Issue Date: 2021-08-04 15:57:59 (UTC+8)
Abstract: 本文建構動態Probit 模型預測美元指數循環。首先,本文以 BBQ algorithm 認定美元指數的牛熊市狀態,再透過樣本內估計結果篩選出重要變數後,進行樣本外預測評析。實證結果發現影響美元指數較為顯著且穩健的變數為美元指數在過去18 個月排名的年增率、美元指數前一期的正負值、布蘭特原油價格、美國十年期公債與兩年期公債殖利率差四個變數。樣本外預測結果有65% 的正確率,而根據預測結果組成的投資組合也可以打敗長期持有美元、s&p500、MSCI 新興市場指數。此外,我們也發現量化寬鬆政策的實施並未對本文的樣本外預測結果造成明顯的影響。
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