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Title: A Kalman Filter Approach to Estimating the Premium of Taiwan Forward Exchange Rates
Authors: 賴錦明
Contributors: 沈中華
Keywords: 遠期外匯
Forward Exchange
State Space
Kalman filter
Date: 2004
Issue Date: 2009-09-14 13:32:25 (UTC+8)
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,

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。

The forward exchange are divided into deliverable forward(DF) and non-deliverable forward(NDF) exchange in Taiwan .
NDFs are foreign exchange derivative products traded over the counter.
The parties of the NDF contract settle the transaction, not by delivering the underlying pair of currencies,
but by making a net payment in a convertible currency proportional to the difference between the agreed forward exchange rate and
the subsequently realised spot fixing.

Under the rational expectation of foreign traders, not only DF exchange rate but also NDF will be the best predictor of the spot exchange.
Tradional statistics methods use linear regressions to test whether the markets are efficiency or not.
However, this study consider a Kalman approach to estimate the model and predict the spot exchange rate.

The results can be found by observing the estimated premia: first, the premia show a certain degree of persistence after the Asian crisis.
Second, the premium of NDF rate is more fluctuated than DF rates after the Asian crisis.
It may present that the Non-deliverable forward exchange market in Taiwan has many speculative transactions.

However, considering the process what we analyze the difference between the future spot rates and forward rates,
it seems that the forward exchange markets in Taiwan have efficiency because of their persistence over time.
Since the speculative transactions have no enough power to make the NDF markets inefficient,
the Central Bank of Taiwan may suggest cancel the restrictions of NDF transactions.
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Description: 碩士
Source URI:
Data Type: thesis
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