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題名 利差交易之波動風險-簡單移動平均之應用
Volatility risks in carry trade - an application of simple moving average method
作者 李杰恩
貢獻者 郭炳伸
李杰恩
關鍵詞 利差交易
波動風險
移動平均
日期 2016
上傳時間 20-Jul-2016 16:36:56 (UTC+8)
摘要 在外匯市場中，遠期溢酬之謎一直以來都是個耐人尋味的問題，其存在使得利差交易有超額報酬。過往研究中，以大盤超額報酬當作風險因子來解釋利差交易超額報酬，其關係都不顯著。本文發現，若將單純的大盤超額報酬模型加入高、低風險狀態變數，並以簡單移動平均區分利差交易與大盤超額報酬於不同的風險 (波動) 狀態後，在高波動狀態時，大盤超額報酬的確可以解釋利差交易超額報酬，而在低波動狀態時，兩者之間的關係則不明顯。
參考文獻 Berge, Travis, Òscar Jordà, and Alan M. Taylor. (2010),""Currency carry trades.`` NBER International Seminar on Macroeconomics 2010, University of Chicago Press, 357-387.\n\nBrunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen. (2009),""Carry trades and currency crashes.`` NBER Macroeconomics Annual 2008, 23, 313-347.\n\nBurnside, Craig, Martin Eichenbaum, Isaac Kleshchelski and Sergio Rebelo. (2006),\n""The returns to currency speculation.`` National Bureau of Economic Research, No. w12916\n\nBurnside, Craig. (2011), ""Carry trades and risks.`` National Bureau of Economic Research, No. w17278\n\nChristiansen, Charlotte, Angelo Ranaldo, and Paul Söderlind. (2011), ""The time-varying systematic risk of carry trade strategies.`` Journal of Financial and Quantitative Analysis, 46(4), 1107-1125.\n\nClarida, Richard, Josh Davis, and Niels Pedersen. (2009), ""Currency carry trade refimes: beyond the Fama regression.`` Journal of International Money and Finance, 28(8), 1375-1389.\n\nDaniel, Kent, Robert J. Hodrick, and Zhongjin Lu. (2016), ""The carry trade: risk and drawdowns.`` National Bureau of Economic Research, No. w20433.\n\nEngel, Charles. (1996), ""The forwead discount anomaly and the risk premium: A survey of recent evidence.`` Journal of Empirical Finance, 3(2), 123-192.\n\nFama, Eugene F. (1984), ""Forward and spot exchange rates.`` Journal of Monetary Economics, 14(3), 319-338.\n\nHamilton, James D. (1989), ""A new approach to the economic analysis of nonstationary time series and the business cycle.`` Econometrica, 57(2), 357-384.\n\nLustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan. (2011), ""Common risk factors in currency market.`` Review of Financial Studies, 24(11), 3731-3777.\n\nMenkhoff, Lukas, Lucio Sarno, Maik Schmeling, Andreas Schrimpf. (2012), ""Carry trade and global foreign exchange volatility.`` Journal of Finance, 67(2), 681-718.
描述 碩士
國立政治大學
國際經營與貿易學系
103351010
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103351010
資料類型 thesis
dc.contributor.advisor 郭炳伸zh_TW
dc.contributor.author (Authors) 李杰恩zh_TW
dc.creator (作者) 李杰恩zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 20-Jul-2016 16:36:56 (UTC+8)-
dc.date.available 20-Jul-2016 16:36:56 (UTC+8)-
dc.date.issued (上傳時間) 20-Jul-2016 16:36:56 (UTC+8)-
dc.identifier (Other Identifiers) G0103351010en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=112290-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 103351010zh_TW
dc.description.abstract (摘要) 在外匯市場中，遠期溢酬之謎一直以來都是個耐人尋味的問題，其存在使得利差交易有超額報酬。過往研究中，以大盤超額報酬當作風險因子來解釋利差交易超額報酬，其關係都不顯著。本文發現，若將單純的大盤超額報酬模型加入高、低風險狀態變數，並以簡單移動平均區分利差交易與大盤超額報酬於不同的風險 (波動) 狀態後，在高波動狀態時，大盤超額報酬的確可以解釋利差交易超額報酬，而在低波動狀態時，兩者之間的關係則不明顯。zh_TW
dc.description.tableofcontents 1 緒論 1\n2 利差交易與市場風險 9\n2.1 利差交易報酬 9\n2.2 股票大盤風險因子與回歸模型 12\n3 移動平均之應用 15\n3.1 風險指標 16\n3.2 移動平均法則與狀態變數 17\n4 實證分析 20\n4.1 資料介紹 20\n4.2 投資組合報酬 21\n4.3 利差交易與大盤風險 25\n4.4 狀態變數回歸 29\n4.5 穩健性測試 34\n4.5.1 狀態變數回歸-較長資料 34\n4.5.2 其他風險因子 37\n5 結論 39zh_TW
dc.format.extent 1496568 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103351010en_US
dc.subject (關鍵詞) 利差交易zh_TW
dc.subject (關鍵詞) 波動風險zh_TW
dc.subject (關鍵詞) 移動平均zh_TW
dc.title (題名) 利差交易之波動風險-簡單移動平均之應用zh_TW
dc.title (題名) Volatility risks in carry trade - an application of simple moving average methoden_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Berge, Travis, Òscar Jordà, and Alan M. Taylor. (2010),""Currency carry trades.`` NBER International Seminar on Macroeconomics 2010, University of Chicago Press, 357-387.\n\nBrunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen. (2009),""Carry trades and currency crashes.`` NBER Macroeconomics Annual 2008, 23, 313-347.\n\nBurnside, Craig, Martin Eichenbaum, Isaac Kleshchelski and Sergio Rebelo. (2006),\n""The returns to currency speculation.`` National Bureau of Economic Research, No. w12916\n\nBurnside, Craig. (2011), ""Carry trades and risks.`` National Bureau of Economic Research, No. w17278\n\nChristiansen, Charlotte, Angelo Ranaldo, and Paul Söderlind. (2011), ""The time-varying systematic risk of carry trade strategies.`` Journal of Financial and Quantitative Analysis, 46(4), 1107-1125.\n\nClarida, Richard, Josh Davis, and Niels Pedersen. (2009), ""Currency carry trade refimes: beyond the Fama regression.`` Journal of International Money and Finance, 28(8), 1375-1389.\n\nDaniel, Kent, Robert J. Hodrick, and Zhongjin Lu. (2016), ""The carry trade: risk and drawdowns.`` National Bureau of Economic Research, No. w20433.\n\nEngel, Charles. (1996), ""The forwead discount anomaly and the risk premium: A survey of recent evidence.`` Journal of Empirical Finance, 3(2), 123-192.\n\nFama, Eugene F. (1984), ""Forward and spot exchange rates.`` Journal of Monetary Economics, 14(3), 319-338.\n\nHamilton, James D. (1989), ""A new approach to the economic analysis of nonstationary time series and the business cycle.`` Econometrica, 57(2), 357-384.\n\nLustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan. (2011), ""Common risk factors in currency market.`` Review of Financial Studies, 24(11), 3731-3777.\n\nMenkhoff, Lukas, Lucio Sarno, Maik Schmeling, Andreas Schrimpf. (2012), ""Carry trade and global foreign exchange volatility.`` Journal of Finance, 67(2), 681-718.zh_TW