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題名 利用主成份分析法探討外匯市場風險
Discussions of Risks in Currency Markets from the Perspective of Principal Component Analysis作者 郭芝岑
Kuo, Chih Chin貢獻者 林建秀
Lin, Chien Hsiu
郭芝岑
Kuo, Chih Chin關鍵詞 無拋補利率平價
利差交易
平均超額報酬
利差報酬
主成份分析
Uncovered interest rate parity
Carry trade
Dollar return
Carry trade return
Principal component analysis日期 2016 上傳時間 11-Jul-2016 17:04:31 (UTC+8) 摘要 本文主要在探討在較為短的時間段以及不同的金融環境之下，是否仍然能捕捉到匯率市場中主要解釋投組報酬變動的共同風險因子－平均超額報酬以及利差報酬。我們依據重要金融事件將全樣本分為八個子樣本；總共使用39種幣別並將1983年11月至2015年10月的遠期貼水由小到大排序後，依序建構六個投資組合。全文以美國投資者的觀點出發。結果顯示平均超額報酬無論是在長期或短期的時間段下，仍然為匯率市場中解釋匯率報酬變動的主要風險因子。然而，利差報酬則不然。在銀行危機期間，利差報酬與第二主要成分之相關係數皆為高度負相關。近期自2008年次貸危機開始，利差報酬與解釋投組變動的第二主要成分之相關係數也從先前的0.8~0.9降至-0.80.此結果顯示利差交易似乎在次貸危機之後有所轉變。此外利差風險因子無法有效的解釋動能報酬。
This paper investigates whether or not the common risk factors, dollar and carry trade risk, in currency markets proposed by Lustig, Roussanov and Verdelhan (2011) will still exist even under a short-run period with a concern of different financial backgrounds. A split of full sample into eight subsamples with respect of financial events is made. A total of 39 currencies is used to build six portfolios on the basis of the forward discounts from November 1983 to October 2015. The whole paper is in the view of an American investor. The finding suggests that under both long-run and short-run period, the dollar return is always the common factor in currency markets. However, it is not the same case for the carry trade return. During bank crises, the carry trade return is strongly negative correlated with the second component. The carry trade return turns out to have a negative correlation with the second component during and after the subprime crisis, decreasing from 0.8~0.9 in the previous subsamples to -0.80. It indicates that the desirability of carry trade activities has changed since the subprime crisis. Besides, the carry trade risk has a little power to explain the variations of momentum returns.參考文獻 Anderson, S. (2000). A hsitory of the past 40 years in financial crises. Retrieved from International Financing Review: http://www.ifre.com/a-history-of-the-past-40-years-in-financial-crises/21102949.fullarticle Baillie, R. T., & Cho, D. (2014). When carry trades in currency markets are not profitable. Review of Development Economics, 794-803. Bilson, J. (1981). The "speculative efficiency"hypothesis. Journal of Business, 435-451. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry tradde and momentum in currency markets . The Annual Review of Financial Economics, 511-535. Cenedese, G., Sarno, L., & Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 302-313. Christiansen, C., Ranaldo, A., & Soderlind, P. (2011). The time-varying systematic risk of carry trade strategies . The Journal of Financial and Quantitative Analysis , 1107-1125. Engel, C. (1996). The forward discount anomaly and the risk premium: the survey of recent evidence. J. Empir. Finance, 123-192. Fama, E. F. (1984). Forward and spot exchange rate . Journal of Monetary Economics, 319-338. Fama, E. F., & French, K. (1993). Common risk factors in the returns on stocks and bonds . Journal of Financial Economics, 3-56. Hodrick , R. (1987). The empirical evidence on the efficiency of forward and furue foreign exchange rate. Chur:Harwood. Kim, D., & Song, C. (2015). Bank default risk and carry trade profit . Economic Letters, 117-119. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currrency markets . Reiviws of Financial Studies, 3731-3777. Markus, K. B., Stefan , N., & Lasse, H. P. (2008). Carry trades and currency crashes. Working paper No.14473,NBER,Cambridge. McDonald, R., & Nagayasu, J. (2015). Currency forecast errors and carry traddes at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate. Journal of International Money and Finance, 1-19. Menkhoff, L., Samo, L., Schmeling, M., & Schrimpf, A. (2012). Carry trades and global foreign exchange volatility . Journal of Finance, 681-718. Reinhart, C. M., & Rogoff, K. S. (2013). Banking Crises: An Equal Opportunity Menace. Journal of Banking& Finance, 4557-4573. Ross, S. A. (1976). The arbitrage theory of capital asset pricing . Journal of Economic Theory , 341-360. University of California. (2011). Slaying of the dragon of debt:Fisical politics & policy from the 1970s to the presents. Retrieved from University of California: http://vm136.lib.berkeley.edu/BANC/ROHO/projects/debt/1985grammrudmanhollings.html University of Groningen. (2012). American History: from revolution to reconstruction and beyond. Retrieved from University of Groningen: http://www.let.rug.nl/usa/outlines/economy-1991/a-historical-perspective-on-the-american-economy/the-economy-in-the-1980s-and-1990s.php Verdelhan, A., & Lustig , H. (2007). The cross section of foreign currency risk premia and consumption growth risk. American Economic Review, 89-117. 描述 碩士
國立政治大學
金融學系
103352032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103352032 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.advisor Lin, Chien Hsiu en_US dc.contributor.author (Authors) 郭芝岑 zh_TW dc.contributor.author (Authors) Kuo, Chih Chin en_US dc.creator (作者) 郭芝岑 zh_TW dc.creator (作者) Kuo, Chih Chin en_US dc.date (日期) 2016 en_US dc.date.accessioned 11-Jul-2016 17:04:31 (UTC+8) - dc.date.available 11-Jul-2016 17:04:31 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2016 17:04:31 (UTC+8) - dc.identifier (Other Identifiers) G0103352032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98855 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 103352032 zh_TW dc.description.abstract (摘要) 本文主要在探討在較為短的時間段以及不同的金融環境之下，是否仍然能捕捉到匯率市場中主要解釋投組報酬變動的共同風險因子－平均超額報酬以及利差報酬。我們依據重要金融事件將全樣本分為八個子樣本；總共使用39種幣別並將1983年11月至2015年10月的遠期貼水由小到大排序後，依序建構六個投資組合。全文以美國投資者的觀點出發。結果顯示平均超額報酬無論是在長期或短期的時間段下，仍然為匯率市場中解釋匯率報酬變動的主要風險因子。然而，利差報酬則不然。在銀行危機期間，利差報酬與第二主要成分之相關係數皆為高度負相關。近期自2008年次貸危機開始，利差報酬與解釋投組變動的第二主要成分之相關係數也從先前的0.8~0.9降至-0.80.此結果顯示利差交易似乎在次貸危機之後有所轉變。此外利差風險因子無法有效的解釋動能報酬。 zh_TW dc.description.abstract (摘要) This paper investigates whether or not the common risk factors, dollar and carry trade risk, in currency markets proposed by Lustig, Roussanov and Verdelhan (2011) will still exist even under a short-run period with a concern of different financial backgrounds. A split of full sample into eight subsamples with respect of financial events is made. A total of 39 currencies is used to build six portfolios on the basis of the forward discounts from November 1983 to October 2015. The whole paper is in the view of an American investor. The finding suggests that under both long-run and short-run period, the dollar return is always the common factor in currency markets. However, it is not the same case for the carry trade return. During bank crises, the carry trade return is strongly negative correlated with the second component. The carry trade return turns out to have a negative correlation with the second component during and after the subprime crisis, decreasing from 0.8~0.9 in the previous subsamples to -0.80. It indicates that the desirability of carry trade activities has changed since the subprime crisis. Besides, the carry trade risk has a little power to explain the variations of momentum returns. en_US dc.description.tableofcontents 1.Introduction..........................................1 2.Related Literature....................................3 3.Data Description......................................5 4.Portfolio Construction and Returns....................9 4.1 Spot Change and Forward Discount Computation........9 4.2 Excess Return and Net Excess Return Computation.....9 4.3 Returns to US investors.............................10 5.Methodology and Framework.............................13 5.1 Principal Component Analysis........................13 5.2 Time-Series Regression..............................15 6.Empirical Results.....................................17 6.1 Major Components in Currency Markets................18 6.2 Time-Series Regression..............................22 7.Robustness Test.......................................26 7.1 Momentum Portfolio Construction.....................26 7.2 Results.............................................26 8.Conclusion............................................31 9.Appendices............................................33 10.References...........................................38 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103352032 en_US dc.subject (關鍵詞) 無拋補利率平價 zh_TW dc.subject (關鍵詞) 利差交易 zh_TW dc.subject (關鍵詞) 平均超額報酬 zh_TW dc.subject (關鍵詞) 利差報酬 zh_TW dc.subject (關鍵詞) 主成份分析 zh_TW dc.subject (關鍵詞) Uncovered interest rate parity en_US dc.subject (關鍵詞) Carry trade en_US dc.subject (關鍵詞) Dollar return en_US dc.subject (關鍵詞) Carry trade return en_US dc.subject (關鍵詞) Principal component analysis en_US dc.title (題名) 利用主成份分析法探討外匯市場風險 zh_TW dc.title (題名) Discussions of Risks in Currency Markets from the Perspective of Principal Component Analysis en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Anderson, S. (2000). A hsitory of the past 40 years in financial crises. Retrieved from International Financing Review: http://www.ifre.com/a-history-of-the-past-40-years-in-financial-crises/21102949.fullarticle Baillie, R. T., & Cho, D. (2014). When carry trades in currency markets are not profitable. Review of Development Economics, 794-803. Bilson, J. (1981). The "speculative efficiency"hypothesis. Journal of Business, 435-451. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry tradde and momentum in currency markets . The Annual Review of Financial Economics, 511-535. Cenedese, G., Sarno, L., & Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 302-313. Christiansen, C., Ranaldo, A., & Soderlind, P. (2011). The time-varying systematic risk of carry trade strategies . The Journal of Financial and Quantitative Analysis , 1107-1125. Engel, C. (1996). The forward discount anomaly and the risk premium: the survey of recent evidence. J. Empir. Finance, 123-192. Fama, E. F. (1984). Forward and spot exchange rate . Journal of Monetary Economics, 319-338. Fama, E. F., & French, K. (1993). Common risk factors in the returns on stocks and bonds . Journal of Financial Economics, 3-56. Hodrick , R. (1987). The empirical evidence on the efficiency of forward and furue foreign exchange rate. Chur:Harwood. Kim, D., & Song, C. (2015). Bank default risk and carry trade profit . Economic Letters, 117-119. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currrency markets . Reiviws of Financial Studies, 3731-3777. Markus, K. B., Stefan , N., & Lasse, H. P. (2008). Carry trades and currency crashes. Working paper No.14473,NBER,Cambridge. McDonald, R., & Nagayasu, J. (2015). Currency forecast errors and carry traddes at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate. Journal of International Money and Finance, 1-19. Menkhoff, L., Samo, L., Schmeling, M., & Schrimpf, A. (2012). Carry trades and global foreign exchange volatility . Journal of Finance, 681-718. Reinhart, C. M., & Rogoff, K. S. (2013). Banking Crises: An Equal Opportunity Menace. Journal of Banking& Finance, 4557-4573. Ross, S. A. (1976). The arbitrage theory of capital asset pricing . Journal of Economic Theory , 341-360. University of California. (2011). Slaying of the dragon of debt:Fisical politics & policy from the 1970s to the presents. Retrieved from University of California: http://vm136.lib.berkeley.edu/BANC/ROHO/projects/debt/1985grammrudmanhollings.html University of Groningen. (2012). American History: from revolution to reconstruction and beyond. Retrieved from University of Groningen: http://www.let.rug.nl/usa/outlines/economy-1991/a-historical-perspective-on-the-american-economy/the-economy-in-the-1980s-and-1990s.php Verdelhan, A., & Lustig , H. (2007). The cross section of foreign currency risk premia and consumption growth risk. American Economic Review, 89-117. zh_TW
