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題名 換匯點數風險溢酬之實證分析
Empirical Study on Risk Premium of Swap Point作者 潘柏諺
Pan, Po-Yen貢獻者 謝淑貞
Xie, Shu-Zhen
潘柏諺
Pan, Po-Yen關鍵詞 換匯交易
拋補利率平價
事件研究法日期 2020 上傳時間 3-Aug-2020 17:23:01 (UTC+8) 摘要 本研究透過 2006 年 1 月至 2020 年 2 月之日資料，研究流動性較高的三個月期需交割本金之 USD/TWD 換匯交易，探討其換匯點數是否符合拋補利率平價理論(Covered Interest Rate Parity)，若不成立，則進一步找出造成其偏差之原因。本研究有三個主要發現，第一，透過簡單線性迴歸分析，本研究發現 USD/TWD 換匯點數存並不符合 CIRP；第二，透過複迴歸分析，本研究發現風險溢酬的變化與美國長短公債利差及 Economic Policy Uncertainty Index 呈現正向關係，進一步使用 ARCH 模型進行改良，透過參數估計得知，美國 10 年期公債與 2 年期公債利差每上升 1%，預期換匯點數之風險溢酬會增加 0.0085%， Economic Policy Uncertainty Index 每增加 1 點，預期預期換匯點數之風險溢酬會增加 0.0003%。第三，藉由事件研究法，並使用平均調整模型預估期望報酬率，本研究發現USD/TWD 換匯點數會受到升息影響，在美聯準會宣布升息後產生異常超額報酬，且為正向報酬。 參考文獻 Bruce Tuckman, and Pedro Porfirio, (2003). Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps. Lehman Brothers Fixed Income Liquid Markets Research.Bhar, Suk-Joong Kim, and Toan M. Pham, (2004). Exchange rate volatility and its impact on the transaction costs of covered interest rate parity, Japan and the World Economy, Vol. 16, Issue 4, pp.503-525.Bhargava Vivek, Dania Akash, and Malhotra D K, (2011). Covered Interest Rate Parity Among BRIC Nations, The Journal of Business and Economic Studies, Vol. 17, Issue 1, pp.37-47,80-81.Chi-Wei Su, Kai-Hua Wang, Ran Tao, and Oana-Ramona Lobonţ, (2019). Does the covered interest rate parity fit for China? Economic Research-Ekonomska Istraživanja, Vol. 32, Issue 1, pp.2009-2027.Frank S. Skinner and Andrew Mason, (2011). Covered interest rate parity in emerging markets, International Review of Financial Analysis, Vol. 20, Issue 5, pp.355-363.Gordon Liao (2019). Credit Migration and Covered Interest Rate Parity. FRB International Finance Discussion Paper No. 1255.J. Durbin and G.S. Watson, (1950). Testing for serial correlation in least-squares regression, I, Biometrika, Vol. 37, Issue 3-4, pp.409-428.J. Durbin and G.S. Watson, (1951). Testing for serial correlation in least-squares regression, II, Biometrika, Vol. 38, Issue 1-2, pp.159-178.Jacob A. Frenkel and Richard M. Levich, (1975). Covered Interest Arbitrage: Unexploited Profits?, Journal of Political Economy Vol. 83, no. 2, pp.225-338.Josef Arlt and Martin Mandel, (2017). An Empirical Analysis of Relationships between the Forward Exchange Rates and Present and Future Spot Exchange Rates Example of CZK/USD and CZK/EUR, Czech Journal of Economics and Finance, Vol. 67, Issue 3, pp.199-220.Joscha Beckmann and Robert Czudaj, (2017). Exchange rate expectations and economic policy uncertainty, European Journal of Political Economy, Vol.47, pp.148-162Mark P. Taylor, (1986). Covered Interest Parity: A High-Frequency, High-Quality Data Study, Economica, Vol. 54, No. 216, pp.429-438.Nathan S. Balke and Mark E. Wohar, (1998). Nonlinear dynamics and covered interest rate parity, Empirical Economics, Vol. 23, pp.535–559.Niall Coffey, Warren Hrung, Hoai-Luu Nguyen, Asani Sarkar (2009). Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity, Federal Reserve Bank of New York.Robert Engle, (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, Vol. 50, Issue 4, pp.987-1007.Robert Krol, (2014). Economic Policy Uncertainty and Exchange Rate Volatility, International Finance, Vol.15, Issue2, pp.241-256.Wenxin Du, Alexander Tepper, Adrien Verdelhan, (2018). Deviations from Covered Interest Rate Parity, The Journal of Finance, Vol. 73, Issue3, pp.915-957.王穎笙(1999)。 台灣拋補利率平價理論之實證研究—誤差修正模型。碩士論文，私立淡江大學，財務金融研究所。曹清宗(2005)。 拋補利率平價說之實證研究－以台灣與美國為例。碩士論文，國立臺灣大學，國際企業學研究所。謝秀瑛(2007)。 拋補利率平價對股價報酬率的影響—已開發國家及開發中國家之實證研究。碩士論文，私立淡江大學，財務金融學系碩士在職專班。梁瑋倫(2011)。 利率平價說之實證研究－以澳幣為例。碩士論文，國立高雄應用科技大學，金融資訊研究所。余姵萱(2018)。 在台灣, 美國與日本間檢測拋補利率平價理論存在之謎。碩士論文，私立東海大學，經濟學系。 描述 碩士
國立政治大學
國際經營與貿易學系
107351006資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107351006 資料類型 thesis dc.contributor.advisor 謝淑貞 zh_TW dc.contributor.advisor Xie, Shu-Zhen en_US dc.contributor.author (Authors) 潘柏諺 zh_TW dc.contributor.author (Authors) Pan, Po-Yen en_US dc.creator (作者) 潘柏諺 zh_TW dc.creator (作者) Pan, Po-Yen en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:23:01 (UTC+8) - dc.date.available 3-Aug-2020 17:23:01 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:23:01 (UTC+8) - dc.identifier (Other Identifiers) G0107351006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130905 - 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) 107351006 zh_TW dc.description.abstract (摘要) 本研究透過 2006 年 1 月至 2020 年 2 月之日資料，研究流動性較高的三個月期需交割本金之 USD/TWD 換匯交易，探討其換匯點數是否符合拋補利率平價理論(Covered Interest Rate Parity)，若不成立，則進一步找出造成其偏差之原因。本研究有三個主要發現，第一，透過簡單線性迴歸分析，本研究發現 USD/TWD 換匯點數存並不符合 CIRP；第二，透過複迴歸分析，本研究發現風險溢酬的變化與美國長短公債利差及 Economic Policy Uncertainty Index 呈現正向關係，進一步使用 ARCH 模型進行改良，透過參數估計得知，美國 10 年期公債與 2 年期公債利差每上升 1%，預期換匯點數之風險溢酬會增加 0.0085%， Economic Policy Uncertainty Index 每增加 1 點，預期預期換匯點數之風險溢酬會增加 0.0003%。第三，藉由事件研究法，並使用平均調整模型預估期望報酬率，本研究發現USD/TWD 換匯點數會受到升息影響，在美聯準會宣布升息後產生異常超額報酬，且為正向報酬。 zh_TW dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究主題與目的 2第二章 研究架構 4第三章 相關理論與文獻回顧 5第一節 拋補利率平價理論 5第二節 文獻探討 7第三節 利率期限結構 12第四章 研究方法 15第一節 線性迴歸模型 15第二節 殘差檢定 16第三節 ARCH 模型 19第四節 事件研究法 20第五章 實證結果分析 23第一節 資料概述 23第二節 CIRP 實證與風險溢酬影響因子 34第三節 總體經濟環境分析 43第六章 結論及建議 51第一節 結論 51第二節 建議 52參考文獻 53 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107351006 en_US dc.subject (關鍵詞) 換匯交易 zh_TW dc.subject (關鍵詞) 拋補利率平價 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.title (題名) 換匯點數風險溢酬之實證分析 zh_TW dc.title (題名) Empirical Study on Risk Premium of Swap Point en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Bruce Tuckman, and Pedro Porfirio, (2003). Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps. Lehman Brothers Fixed Income Liquid Markets Research.Bhar, Suk-Joong Kim, and Toan M. Pham, (2004). Exchange rate volatility and its impact on the transaction costs of covered interest rate parity, Japan and the World Economy, Vol. 16, Issue 4, pp.503-525.Bhargava Vivek, Dania Akash, and Malhotra D K, (2011). Covered Interest Rate Parity Among BRIC Nations, The Journal of Business and Economic Studies, Vol. 17, Issue 1, pp.37-47,80-81.Chi-Wei Su, Kai-Hua Wang, Ran Tao, and Oana-Ramona Lobonţ, (2019). Does the covered interest rate parity fit for China? Economic Research-Ekonomska Istraživanja, Vol. 32, Issue 1, pp.2009-2027.Frank S. Skinner and Andrew Mason, (2011). Covered interest rate parity in emerging markets, International Review of Financial Analysis, Vol. 20, Issue 5, pp.355-363.Gordon Liao (2019). Credit Migration and Covered Interest Rate Parity. FRB International Finance Discussion Paper No. 1255.J. Durbin and G.S. Watson, (1950). Testing for serial correlation in least-squares regression, I, Biometrika, Vol. 37, Issue 3-4, pp.409-428.J. Durbin and G.S. Watson, (1951). Testing for serial correlation in least-squares regression, II, Biometrika, Vol. 38, Issue 1-2, pp.159-178.Jacob A. Frenkel and Richard M. Levich, (1975). Covered Interest Arbitrage: Unexploited Profits?, Journal of Political Economy Vol. 83, no. 2, pp.225-338.Josef Arlt and Martin Mandel, (2017). An Empirical Analysis of Relationships between the Forward Exchange Rates and Present and Future Spot Exchange Rates Example of CZK/USD and CZK/EUR, Czech Journal of Economics and Finance, Vol. 67, Issue 3, pp.199-220.Joscha Beckmann and Robert Czudaj, (2017). Exchange rate expectations and economic policy uncertainty, European Journal of Political Economy, Vol.47, pp.148-162Mark P. Taylor, (1986). Covered Interest Parity: A High-Frequency, High-Quality Data Study, Economica, Vol. 54, No. 216, pp.429-438.Nathan S. Balke and Mark E. Wohar, (1998). Nonlinear dynamics and covered interest rate parity, Empirical Economics, Vol. 23, pp.535–559.Niall Coffey, Warren Hrung, Hoai-Luu Nguyen, Asani Sarkar (2009). Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity, Federal Reserve Bank of New York.Robert Engle, (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, Vol. 50, Issue 4, pp.987-1007.Robert Krol, (2014). Economic Policy Uncertainty and Exchange Rate Volatility, International Finance, Vol.15, Issue2, pp.241-256.Wenxin Du, Alexander Tepper, Adrien Verdelhan, (2018). Deviations from Covered Interest Rate Parity, The Journal of Finance, Vol. 73, Issue3, pp.915-957.王穎笙(1999)。 台灣拋補利率平價理論之實證研究—誤差修正模型。碩士論文，私立淡江大學，財務金融研究所。曹清宗(2005)。 拋補利率平價說之實證研究－以台灣與美國為例。碩士論文，國立臺灣大學，國際企業學研究所。謝秀瑛(2007)。 拋補利率平價對股價報酬率的影響—已開發國家及開發中國家之實證研究。碩士論文，私立淡江大學，財務金融學系碩士在職專班。梁瑋倫(2011)。 利率平價說之實證研究－以澳幣為例。碩士論文，國立高雄應用科技大學，金融資訊研究所。余姵萱(2018)。 在台灣, 美國與日本間檢測拋補利率平價理論存在之謎。碩士論文，私立東海大學，經濟學系。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000686 en_US
