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題名 經濟政策不確定性與未拋補利率平價說之關係
The relationship between economic policy uncertainty and uncovered interest rate parity
作者 吳彥昇
Wu, Yen-Sheng
貢獻者 張元晨
吳彥昇
Wu, Yen-Sheng
關鍵詞 經濟政策不確定性
未拋補利率平價說
Economic policy uncertainty
Uncovered interest rate parity
日期 2020
上傳時間 3-Aug-2020 17:32:58 (UTC+8)
摘要 For over forty years, many economists have found that uncovered interest rate parity (UIRP) does not hold. Most previous findings indicated that currency forward premiums negatively predict changes in spot exchange rates, however, results based on data after the global financial crisis show different patterns. In this paper, I explore the relationship between US economic policy uncertainty and UIRP and find that, when uncertainty is extremely high, forward premiums positively predict changes in spot exchange rates, especially for Swiss Franc and Japanese Yen. In addition, when uncertainty is moderately low, UIRP violations for currencies of European countries and Canada are more prevalent.
參考文獻 Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
Bansal, R. (1997). An exploration of the forward premium puzzle in currency markets. The Review of Financial Studies, 10(2), 369-403.
Bansal, R., & Dahlquist, M. (2000). The forward premium puzzle: Different tales from developed and emerging economies. Journal of International Economics, 51(1), 115-144.
Berg, K. A., & Mark, N. C. (2018). Measures of global uncertainty and carry-trade excess returns. Journal of International Money and Finance, 88, 212-227.
Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes. NBER Macroeconomics Annual, 23, 313-348.
Bussiere, M., Chinn, M. D., Ferrara, L., & Heipertz, J. (2018). The new Fama puzzle. NBER Working Paper No. 24342.
Chinn, M. D. (2006). The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets. Journal of International Money and Finance, 25(1), 7-21.
Chinn, M. D., & Frankel, J. (2019). A third of a century of currency expectations data: The carry trade and the risk premium. Mimeo.
Chinn, M. D., & Meredith, G. (2004). Monetary policy and long-horizon uncovered interest parity. IMF Staff Papers, 51(3), 409-430.
Chinn, M. D., & Quayyum, S. (2013). Long horizon uncovered interest parity re-assessed. Mimeo.
Cho, D., Han, H., & Lee, N. K. (2019). Carry trades and endogenous regime switches in exchange rate volatility. Journal of International Financial Markets, Institutions and Money, 58, 255-268.
Clarida, R., Davis, J., & Pedersen, N. (2009). Currency carry trade regimes: Beyond the Fama regression. Journal of International Money and Finance, 28(8), 1375-1389.
Engel, C. (2014). Exchange rates and interest parity. Handbook of International Economics, 4, 453-522.
Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3), 319-338.
Frankel, J., & Poonawala, J. (2010). The forward market in emerging currencies: Less biased than in major currencies. Journal of International Money and Finance, 29(3), 585-598.
Froot, K. A., & Thaler, R. H. (1990). Anomalies: Foreign exchange. Journal of Economic Perspectives, 4(3), 179-192.
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57, 357-384.
Hassan, T. A., & Mano, R. C. (2019). Forward and spot exchange rates in a multi-currency world. The Quarterly Journal of Economics, 134(1), 397-450.
Husted, L., Rogers, J., & Sun, B. (2018). Uncertainty, currency excess returns, and risk reversals. Journal of International Money and Finance, 88, 228-241.
Ichiue, H., & Koyama, K. (2011). Regime switches in exchange rate volatility and uncovered interest parity. Journal of International Money and Finance, 30(7), 1436-1450.
Ismailov, A., & Rossi, B. (2018). Uncertainty and deviations from uncovered interest rate parity. Journal of International Money and Finance, 88, 242-259.
Ramírez-Rondán, N. R., & Terrones, M. E. (2019). Uncertainty and the uncovered interest parity condition: How are they related? MPRA Paper No. 97524.
Ranaldo, A., & Söderlind, P. (2010). Safe haven currencies. Review of Finance, 14(3), 385-407.
Tryon, R. W. (1979). Testing for rational expectations in foreign exchange markets.
描述 碩士
國立政治大學
財務管理學系
106357027
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357027
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.author (Authors) 吳彥昇zh_TW
dc.contributor.author (Authors) Wu, Yen-Shengen_US
dc.creator (作者) 吳彥昇zh_TW
dc.creator (作者) Wu, Yen-Shengen_US
dc.date (日期) 2020en_US
dc.date.accessioned 3-Aug-2020 17:32:58 (UTC+8)-
dc.date.available 3-Aug-2020 17:32:58 (UTC+8)-
dc.date.issued (上傳時間) 3-Aug-2020 17:32:58 (UTC+8)-
dc.identifier (Other Identifiers) G0106357027en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130964-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 106357027zh_TW
dc.description.abstract (摘要) For over forty years, many economists have found that uncovered interest rate parity (UIRP) does not hold. Most previous findings indicated that currency forward premiums negatively predict changes in spot exchange rates, however, results based on data after the global financial crisis show different patterns. In this paper, I explore the relationship between US economic policy uncertainty and UIRP and find that, when uncertainty is extremely high, forward premiums positively predict changes in spot exchange rates, especially for Swiss Franc and Japanese Yen. In addition, when uncertainty is moderately low, UIRP violations for currencies of European countries and Canada are more prevalent.en_US
dc.description.tableofcontents 1. Introduction 4
2. Uncovered Interest Rate Parity 5
3. Related Literature 6
4. Data and Model 12
4.1 Data 12
4.2 Model 14
5. Empirical Evidence 15
5.1 The Fama Regression 15
5.2 The Fama Regression and US EPU 19
5.3 The Fama Regression and US EPU: the pre-crisis and post-crisis period 24
5.3.1 the pre-crisis period 25
5.3.2 the post-crisis period 28
6. Robustness Check 28
7. Conclusion 31
References 33		zh_TW
dc.format.extent 1277194 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357027en_US
dc.subject (關鍵詞) 經濟政策不確定性zh_TW
dc.subject (關鍵詞) 未拋補利率平價說zh_TW
dc.subject (關鍵詞) Economic policy uncertaintyen_US
dc.subject (關鍵詞) Uncovered interest rate parityen_US
dc.title (題名) 經濟政策不確定性與未拋補利率平價說之關係zh_TW
dc.title (題名) The relationship between economic policy uncertainty and uncovered interest rate parityen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
Bansal, R. (1997). An exploration of the forward premium puzzle in currency markets. The Review of Financial Studies, 10(2), 369-403.
Bansal, R., & Dahlquist, M. (2000). The forward premium puzzle: Different tales from developed and emerging economies. Journal of International Economics, 51(1), 115-144.
Berg, K. A., & Mark, N. C. (2018). Measures of global uncertainty and carry-trade excess returns. Journal of International Money and Finance, 88, 212-227.
Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes. NBER Macroeconomics Annual, 23, 313-348.
Bussiere, M., Chinn, M. D., Ferrara, L., & Heipertz, J. (2018). The new Fama puzzle. NBER Working Paper No. 24342.
Chinn, M. D. (2006). The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets. Journal of International Money and Finance, 25(1), 7-21.
Chinn, M. D., & Frankel, J. (2019). A third of a century of currency expectations data: The carry trade and the risk premium. Mimeo.
Chinn, M. D., & Meredith, G. (2004). Monetary policy and long-horizon uncovered interest parity. IMF Staff Papers, 51(3), 409-430.
Chinn, M. D., & Quayyum, S. (2013). Long horizon uncovered interest parity re-assessed. Mimeo.
Cho, D., Han, H., & Lee, N. K. (2019). Carry trades and endogenous regime switches in exchange rate volatility. Journal of International Financial Markets, Institutions and Money, 58, 255-268.
Clarida, R., Davis, J., & Pedersen, N. (2009). Currency carry trade regimes: Beyond the Fama regression. Journal of International Money and Finance, 28(8), 1375-1389.
Engel, C. (2014). Exchange rates and interest parity. Handbook of International Economics, 4, 453-522.
Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3), 319-338.
Frankel, J., & Poonawala, J. (2010). The forward market in emerging currencies: Less biased than in major currencies. Journal of International Money and Finance, 29(3), 585-598.
Froot, K. A., & Thaler, R. H. (1990). Anomalies: Foreign exchange. Journal of Economic Perspectives, 4(3), 179-192.
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57, 357-384.
Hassan, T. A., & Mano, R. C. (2019). Forward and spot exchange rates in a multi-currency world. The Quarterly Journal of Economics, 134(1), 397-450.
Husted, L., Rogers, J., & Sun, B. (2018). Uncertainty, currency excess returns, and risk reversals. Journal of International Money and Finance, 88, 228-241.
Ichiue, H., & Koyama, K. (2011). Regime switches in exchange rate volatility and uncovered interest parity. Journal of International Money and Finance, 30(7), 1436-1450.
Ismailov, A., & Rossi, B. (2018). Uncertainty and deviations from uncovered interest rate parity. Journal of International Money and Finance, 88, 242-259.
Ramírez-Rondán, N. R., & Terrones, M. E. (2019). Uncertainty and the uncovered interest parity condition: How are they related? MPRA Paper No. 97524.
Ranaldo, A., & Söderlind, P. (2010). Safe haven currencies. Review of Finance, 14(3), 385-407.
Tryon, R. W. (1979). Testing for rational expectations in foreign exchange markets.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202001120en_US