學術產出-Theses
Article View/Open
Publication Export
-
題名 外匯市場之國家風險分析
Country risk analysis in currency market作者 林毓翔 貢獻者 林建秀
林毓翔關鍵詞 國家風險
貨幣超額報酬
利差交易
動能策略
Country risk
Currency excess return
Carry trade
Momentum strategy日期 2017 上傳時間 24-Jul-2017 12:03:57 (UTC+8) 摘要 本研究對1985/1至2016/10期間，37種貨幣的超額報酬與國家風險進行實證分析，以The PRS Group發佈的ICRG綜合風險評級做為國家風險的衡量指標。各國貨幣分別進行時間序列分析的結果顯示，單一國家的國家風險與該國貨幣的匯率走勢及超額報酬並不存在顯著的關聯。投資組合分析的結果，對高國家風險貨幣與低國家風險貨幣分別執行利差交易，結果顯示兩者的超額報酬並沒有顯著差異。而動能策略在高國家風險貨幣則可以獲得顯著較高的超額報酬。Fama-Macbeth二步驟迴歸分析結果顯示，高國家風險的投資組合確實擁有較高的因子負載量，然而國家風險因子的市場價格，也就是承受一單位 β_CRISK獲得的國家風險溢酬太低不顯著，因此國家風險無法幫助解釋貨幣報酬。
We empirically investigate the relation between currency excess returns and country risk, as measured by the ICRG comprehensive risk rating issued by The PRS Group, of 37 currencies during 1985/1 to 2016/10. The result of the single currency time series analysis shows that there is no significant correlation between the country risk and the exchange rate movement, also the currency excess return.As a result of the portfolio analysis, there is no significant difference in excess returns when we execute carry trade respectively on high country risk currencies and low country risk currencies. While the momentum strategy in the high country risk currencies can generate significantly higher excess return.The results of the Fama-Macbeth two-step regression show that the high-risk portfolios do have a higher factor loading, whereas the country risk factor`s market price, that is, the country risk premium received by a unit of β_CRISK, is too low. Therefore, country risk cannot help explain currency excess return.參考文獻 Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annu. Rev. Financ. Econ., 3(1), 511-535.Cochrane, J. (2005). Asset Pricing, rev. ed. Princeton NJ.Daniel, K., Hodrick, R. J., & Lu, Z. (2014). The carry trade: Risks and drawdowns (No. w20433). National Bureau of Economic Research.Della Corte, P., Sarno, L., Schmeling, M., & Wagner, C. (2016). Exchange rates and sovereign risk.Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996). Political risk, economic risk and financial risk.Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.Fama, E. F. (1984). Forward and spot exchange rates. Journal of monetary economics, 14(3), 319-338.Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of financial economics, 25(1), 23-49.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.Lustig, H., & Verdelhan, A. (2007). The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97(1), 89-117.Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24(11), 3731-3777.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.Nagy, P. J. (1984). Country risk. Euromoney Publications.Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets?. Journal of Financial and Quantitative Analysis, 38(02), 425-447.張眾卓, & 王祝三. (2013). 臺灣時間序列與橫斷面股票報酬之研究: 不同模型設定, 投資組合建構以及樣本選擇下之再檢測. 經濟研究 (Taipei Economic Inquiry), 49(1), 31-88.何殷如. (2012). 全面解讀信用違約交換（CDS）.證券暨期貨管理雜誌社出版 證券暨期貨月刊 第三十卷 第十一期, 37-52 描述 碩士
國立政治大學
金融學系
104352035資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104352035 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 林毓翔 zh_TW dc.creator (作者) 林毓翔 zh_TW dc.date (日期) 2017 en_US dc.date.accessioned 24-Jul-2017 12:03:57 (UTC+8) - dc.date.available 24-Jul-2017 12:03:57 (UTC+8) - dc.date.issued (上傳時間) 24-Jul-2017 12:03:57 (UTC+8) - dc.identifier (Other Identifiers) G0104352035 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111325 - 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) 104352035 zh_TW dc.description.abstract (摘要) 本研究對1985/1至2016/10期間，37種貨幣的超額報酬與國家風險進行實證分析，以The PRS Group發佈的ICRG綜合風險評級做為國家風險的衡量指標。各國貨幣分別進行時間序列分析的結果顯示，單一國家的國家風險與該國貨幣的匯率走勢及超額報酬並不存在顯著的關聯。投資組合分析的結果，對高國家風險貨幣與低國家風險貨幣分別執行利差交易，結果顯示兩者的超額報酬並沒有顯著差異。而動能策略在高國家風險貨幣則可以獲得顯著較高的超額報酬。Fama-Macbeth二步驟迴歸分析結果顯示，高國家風險的投資組合確實擁有較高的因子負載量，然而國家風險因子的市場價格，也就是承受一單位 β_CRISK獲得的國家風險溢酬太低不顯著，因此國家風險無法幫助解釋貨幣報酬。 zh_TW dc.description.abstract (摘要) We empirically investigate the relation between currency excess returns and country risk, as measured by the ICRG comprehensive risk rating issued by The PRS Group, of 37 currencies during 1985/1 to 2016/10. The result of the single currency time series analysis shows that there is no significant correlation between the country risk and the exchange rate movement, also the currency excess return.As a result of the portfolio analysis, there is no significant difference in excess returns when we execute carry trade respectively on high country risk currencies and low country risk currencies. While the momentum strategy in the high country risk currencies can generate significantly higher excess return.The results of the Fama-Macbeth two-step regression show that the high-risk portfolios do have a higher factor loading, whereas the country risk factor`s market price, that is, the country risk premium received by a unit of β_CRISK, is too low. Therefore, country risk cannot help explain currency excess return. en_US dc.description.tableofcontents 第一章 研究動機與目的 1第二章 文獻回顧 3第一節 國家風險相關文獻 3第二節 利差交易相關文獻 4第三節 動能策略相關文獻 5第三章 樣本選擇與研究方法 6第一節 資料樣本選擇 6第二節 貨幣超額報酬計算方法 13第三節 時間序列迴歸 14第四節 Fama-Macbeth二步驟迴歸 15第四章 實證分析 16第一節 個別貨幣時間序列迴歸 16第二節 國家風險與貨幣交易策略 19第三節 Fama-Macbeth二步驟迴歸 28第五章 研究結論與建議 38參考文獻 40 zh_TW dc.format.extent 1460446 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104352035 en_US dc.subject (關鍵詞) 國家風險 zh_TW dc.subject (關鍵詞) 貨幣超額報酬 zh_TW dc.subject (關鍵詞) 利差交易 zh_TW dc.subject (關鍵詞) 動能策略 zh_TW dc.subject (關鍵詞) Country risk en_US dc.subject (關鍵詞) Currency excess return en_US dc.subject (關鍵詞) Carry trade en_US dc.subject (關鍵詞) Momentum strategy en_US dc.title (題名) 外匯市場之國家風險分析 zh_TW dc.title (題名) Country risk analysis in currency market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annu. Rev. Financ. Econ., 3(1), 511-535.Cochrane, J. (2005). Asset Pricing, rev. ed. Princeton NJ.Daniel, K., Hodrick, R. J., & Lu, Z. (2014). The carry trade: Risks and drawdowns (No. w20433). National Bureau of Economic Research.Della Corte, P., Sarno, L., Schmeling, M., & Wagner, C. (2016). Exchange rates and sovereign risk.Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996). Political risk, economic risk and financial risk.Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.Fama, E. F. (1984). Forward and spot exchange rates. Journal of monetary economics, 14(3), 319-338.Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of financial economics, 25(1), 23-49.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.Lustig, H., & Verdelhan, A. (2007). The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97(1), 89-117.Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24(11), 3731-3777.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.Nagy, P. J. (1984). Country risk. Euromoney Publications.Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets?. Journal of Financial and Quantitative Analysis, 38(02), 425-447.張眾卓, & 王祝三. (2013). 臺灣時間序列與橫斷面股票報酬之研究: 不同模型設定, 投資組合建構以及樣本選擇下之再檢測. 經濟研究 (Taipei Economic Inquiry), 49(1), 31-88.何殷如. (2012). 全面解讀信用違約交換（CDS）.證券暨期貨管理雜誌社出版 證券暨期貨月刊 第三十卷 第十一期, 37-52 zh_TW
