1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 外匯干預下之台幣利差交易策略
Carry trade strategy in the intervention environment 　
作者 葉柏宏
貢獻者 郭炳伸
葉柏宏
關鍵詞 外匯干預
利差交易
利率平價說
風險溢酬
日期 2016
上傳時間 1-Sep-2016 23:38:08 (UTC+8)
摘要 本文主張以台幣作為利差交易的主要貨幣, 並以兩種策略來降 低其所承受的風險。一為應用 Berge, Jorda and Taylor (2010)中引進實質面經濟變數的概念,將實質面中影響匯率的重要因素 加入預測式。二為根據台灣匯率制度的特殊性,本文再加入央行干預的替代變數, 構成兩種不同策略來提升利差交易的獲利。本文研究結果不僅開啟了台幣利差交易策略獲利的可能,亦發現央 行干預在短期對於歐元對台幣匯率的重大影響力。利用此影響力不僅讓台幣匯率的可預測性大幅提升,且利用此影響力更可讓台 幣利差交易的報酬提高將近5倍之多, 且此報酬無法被大盤風險溢酬所解釋。
參考文獻 參考文獻\r\n\r\nBakshi, Gurdip, and George Panayotov (2013), “Predictability of currency carry trades and asset pricing implications.” Journal of Financial Economics, 110, 139−163.\r\n\r\nBerge, Travis, Oscar Jorda, and Alan M. Taylor (2010),\r\n“Currency Carry Trades.” NBER International Seminar on\r\nMacroeconomics, 357−387.\r\n\r\nBrunnermeier, Markus K., Stefan Nagel, and Lasse H.\r\nPedersen (2009), “Carry trades and currency crashes.” NBER Macroeconomics Annual, 23, 313−347.\r\n\r\nBurnside, Craig, et al (2011). “Do Peso Problems Explain the Returns to the Carry Trade?” Review of Financial Studies, 24(3), 853−891.\r\n\r\nDaniel, Kent, Robert J. Hodrick, and Zhongjin Lu (2016) .\r\n“The carry trade: risk and drawdowns.” National Bureau of\r\nEconomic Research, No. w20433.\r\n\r\nEngel, Charles (1996). “The forward discount anomaly and the risk premium: A survey of recent evidence” Journal of Empirical Finance, 3, 123−192.\r\n\r\nFama, Eugene F (1984). “Forward and spot exchange rates”\r\nJournal of Monetary Economics, 14, 319−338.\r\nGiacomini, Raffaella, and Halbert White (2006), “Tests of\r\nConditional Predictive Ability.” Econometrica , 74(6).\r\n\r\nJorda, Oscar, and Alan M. Taylor (2012), “The Carry Trade\r\nand Fundamentals: Nothing to Fear but FEER Itself.” Journal of International Economics, 88, 74−90.\r\n\r\nLi, Ming (2010). “Improve the yen carry trade with economic fundamentals” Investment Management and Financial Innovations,7(4).\r\n\r\nLustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan\r\n(2011). “Common risk factors in currency market.” Review of Financial Studies, 24(11), 3731−3777. \r\n\r\n陳旭昇 (2013), “央行 「阻升不阻貶」?−再探台灣匯率不對稱干預政策” 經濟論文叢刊, 40(4).\r\n\r\n楊雅惠, 許嘉棟 (2005), “新臺幣匯率與央行干預行為” 臺灣經濟預測與政策, 35(2), 23−41.
描述 碩士
國立政治大學
國際經營與貿易學系
103351002
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103351002
資料類型 thesis
dc.contributor.advisor 郭炳伸zh_TW
dc.contributor.author (Authors) 葉柏宏zh_TW
dc.creator (作者) 葉柏宏zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 1-Sep-2016 23:38:08 (UTC+8)-
dc.date.available 1-Sep-2016 23:38:08 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2016 23:38:08 (UTC+8)-
dc.identifier (Other Identifiers) G0103351002en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=114502-
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) 103351002zh_TW
dc.description.abstract (摘要) 本文主張以台幣作為利差交易的主要貨幣, 並以兩種策略來降 低其所承受的風險。一為應用 Berge, Jorda and Taylor (2010)中引進實質面經濟變數的概念,將實質面中影響匯率的重要因素 加入預測式。二為根據台灣匯率制度的特殊性,本文再加入央行干預的替代變數, 構成兩種不同策略來提升利差交易的獲利。本文研究結果不僅開啟了台幣利差交易策略獲利的可能,亦發現央 行干預在短期對於歐元對台幣匯率的重大影響力。利用此影響力不僅讓台幣匯率的可預測性大幅提升,且利用此影響力更可讓台 幣利差交易的報酬提高將近5倍之多, 且此報酬無法被大盤風險溢酬所解釋。zh_TW
dc.description.tableofcontents 1 緒論 1\r\n2 台幣利差交易策略 7\r\n2.1 方向性交易策略介紹 7\r\n2.2 預測因子 9\r\n3 資料與實證結果 14\r\n3.1 資料介紹與回歸模型 14\r\n3.2 利差交易策略之報酬 20\r\n4 風險溢酬檢驗 25\r\n5 結論 29\r\n參考文獻 31zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103351002en_US
dc.subject (關鍵詞) 外匯干預zh_TW
dc.subject (關鍵詞) 利差交易zh_TW
dc.subject (關鍵詞) 利率平價說zh_TW
dc.subject (關鍵詞) 風險溢酬zh_TW
dc.title (題名) 外匯干預下之台幣利差交易策略zh_TW
dc.title (題名) Carry trade strategy in the intervention environment 　en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻\r\n\r\nBakshi, Gurdip, and George Panayotov (2013), “Predictability of currency carry trades and asset pricing implications.” Journal of Financial Economics, 110, 139−163.\r\n\r\nBerge, Travis, Oscar Jorda, and Alan M. Taylor (2010),\r\n“Currency Carry Trades.” NBER International Seminar on\r\nMacroeconomics, 357−387.\r\n\r\nBrunnermeier, Markus K., Stefan Nagel, and Lasse H.\r\nPedersen (2009), “Carry trades and currency crashes.” NBER Macroeconomics Annual, 23, 313−347.\r\n\r\nBurnside, Craig, et al (2011). “Do Peso Problems Explain the Returns to the Carry Trade?” Review of Financial Studies, 24(3), 853−891.\r\n\r\nDaniel, Kent, Robert J. Hodrick, and Zhongjin Lu (2016) .\r\n“The carry trade: risk and drawdowns.” National Bureau of\r\nEconomic Research, No. w20433.\r\n\r\nEngel, Charles (1996). “The forward discount anomaly and the risk premium: A survey of recent evidence” Journal of Empirical Finance, 3, 123−192.\r\n\r\nFama, Eugene F (1984). “Forward and spot exchange rates”\r\nJournal of Monetary Economics, 14, 319−338.\r\nGiacomini, Raffaella, and Halbert White (2006), “Tests of\r\nConditional Predictive Ability.” Econometrica , 74(6).\r\n\r\nJorda, Oscar, and Alan M. Taylor (2012), “The Carry Trade\r\nand Fundamentals: Nothing to Fear but FEER Itself.” Journal of International Economics, 88, 74−90.\r\n\r\nLi, Ming (2010). “Improve the yen carry trade with economic fundamentals” Investment Management and Financial Innovations,7(4).\r\n\r\nLustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan\r\n(2011). “Common risk factors in currency market.” Review of Financial Studies, 24(11), 3731−3777. \r\n\r\n陳旭昇 (2013), “央行 「阻升不阻貶」?−再探台灣匯率不對稱干預政策” 經濟論文叢刊, 40(4).\r\n\r\n楊雅惠, 許嘉棟 (2005), “新臺幣匯率與央行干預行為” 臺灣經濟預測與政策, 35(2), 23−41.zh_TW