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題名 以台幣及美金計價觀點檢視主要貨幣的避險特性
Examining the Safe-haven Characteristics of Major Currencies:Evidence from New Taiwan Dollar and US Dollar Perspectives作者 葉家豪
Yeh, Chia-Hao貢獻者 張元晨
Chang, Yuan-Chen
葉家豪
Yeh, Chia-Hao關鍵詞 避險貨幣
金融危機
複迴歸分析
主成分分析
Safe-haven Currencies
Financial Crisis
Multiple Regression Analysis
Principal Component Analysis日期 2021 上傳時間 3-Jul-2021 00:54:46 (UTC+8) 摘要 本文以2000~2020年間主要貨幣之匯率資料,分別以美金及台幣計價的觀點,探討當投資人主要使用貨幣為美金或台幣時,主要貨幣是否能分散其投資風險,即具避險的效果。本研究主要以複迴歸模型及主成分分析的方式,檢視主要貨幣及台幣與各國股市、美國國庫券、波動度指數、泰德價差及外匯波動度之相關性,藉以判斷主要貨幣是否為避險貨幣。 實證結果發現,日圓及瑞士法郎較符合避險貨幣之特性,即當股市下跌,美國國庫券價值上漲及風險指標提升時,日圓及瑞士法郎將傾向升值。若從台幣持有者的觀點來看,有避險特性的貨幣則為日圓、瑞士法郎及美金。不僅如此,本研究亦發現風險指標中僅外匯波動度對匯率之超額報酬具解釋力,以及金融危機事件並未對避險貨幣的報酬帶來額外正向的影響。
I use major currencies’ data from 2000 to 2020 to examine the safe-haven characteristics of major currencies from the perspectives of both New Taiwan dollar’s and US dollar’s investors. Using multiple regression model and principal component analysis, I investigate the relationship between excess returns of major currencies and several explanatory variables, which include each country’s stock market returns, US bond prices, VIX, TED spread and FX volatility, to study whether major currencies are safe-haven currencies. The empirical results demonstrate that Japanese Yen and Swiss France behave more like safe-haven currencies. They tend to appreciate when stock market falls, US bond prices increase, and FX volatility rises. From the perspectives of New Taiwan dollar’s investors, US dollar can also have hedging benefit. Furthermore, this paper finds that FX volatility is the only risk indicator that has significant effect on safe-haven currencies, and crisis events have no extra effects on the excess returns of safe-haven currencies.參考文獻 1. Cheema, Faff, and Szulczyk, 2020. The influence of the COVID-19 pandemic on safe haven assets. VOX, CEPR Policy Portal.2. Cho and Han, 2021. The tail behavior of safe haven currencies: A cross-quantilogram analysis. Journal of International Financial Markets, Institutions & Money.3. Coudert, Guillaumin and Raymond, 2014. Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?, CEPII research center, No. 2014-03.4. Fatum and Yamamoto, 2016. Intra-safe haven currency behavior during the global financial crisis. Journal of International Money and Finance.5. Fan and Mitchell, 2017. Equity-Bond Correlation: A Historical Perspective. Graham Capital Management Research Note.6. Habib and Stracca, 2012. Getting beyond carry trade: What makes a safe haven currency? Journal of International Economics 87, 50–64.7. Hossfeld and MacDonald, 2015. Carry funding and safe haven currencies: A threshold regression approach. Journal of International Money and Finance, Vol. 59, 185-202.8. Kaiser, H.F., 1960. The application of electronic computers to factor analysis. Educational and psychological measurement, 20(1), 141-151.9. Kanyongo, G.Y., 2005. Determining the correct number of components to extract from a principal components analysis: A Monte Carlo study of the accuracy of the scree plot. Journal of modern applied statistical methods, 4(1), 13.10. Maharaj, Kelly-Scholte and Aguirre, 2020. Rethinking safe haven assets. Portfolio Insight.11. Mason, C. H., & Perreault Jr, W. D., 1991. Collinearity, power, and interpretation of multiple regression analysis. Journal of marketing research, 28(3), 268-280.12. Newey and West, 1987. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, Vol. 55, No. 3, 703-708.13. O’brien, R.M., 2007. A Caution Regarding Rules of Thumb for Variance Inflation Factors. Qual Quant 41, 673–690. https://doi.org/10.1007/s11135-006-9018-6.14. Rahayu, Sugiarto, Madu, Holiawati and Subagyo, 2017. Application of Principal Component Analysis (PCA) to Reduce Multicollinearity Exchange Rate Currency of Some Countries in Asia Period 2004-2014. International Journal of Educational Methodology, 3(2), 75 - 83.15. Ranaldo and Soderlind, 2009. Safe Haven Currencies. Review of Finance.16. Yuki MASUJIMA, 2019. What Determines A Safe-Haven Currency? RIETI Discussion Paper Series XX-E-00X.17. 林志南,2007。新台幣匯率避險時機模式之探討-以新台幣、日元兌美元匯率為例。台灣碩博士論文知識加值系統,https://hdl.handle.net/11296/t7cx7g。18. 楊鴻洲,2017。重大事件對於外匯市場報酬與波動的影響。台灣碩博士論文知識加值系統,https://hdl.handle.net/11296/b8583j。19. 王子嘉,2020。避險貨幣在全球重大金融事件之探討:以日圓與瑞士法郎為例。台灣碩博士論文知識加值系統,https://hdl.handle.net/11296/53a3f6。20. 財經M平方全球大世紀,https://www.macromicro.me/time_line?id=17&stat=2。 描述 碩士
國立政治大學
財務管理學系
108357029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357029 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan-Chen en_US dc.contributor.author (Authors) 葉家豪 zh_TW dc.contributor.author (Authors) Yeh, Chia-Hao en_US dc.creator (作者) 葉家豪 zh_TW dc.creator (作者) Yeh, Chia-Hao en_US dc.date (日期) 2021 en_US dc.date.accessioned 3-Jul-2021 00:54:46 (UTC+8) - dc.date.available 3-Jul-2021 00:54:46 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2021 00:54:46 (UTC+8) - dc.identifier (Other Identifiers) G0108357029 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136061 - 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) 108357029 zh_TW dc.description.abstract (摘要) 本文以2000~2020年間主要貨幣之匯率資料,分別以美金及台幣計價的觀點,探討當投資人主要使用貨幣為美金或台幣時,主要貨幣是否能分散其投資風險,即具避險的效果。本研究主要以複迴歸模型及主成分分析的方式,檢視主要貨幣及台幣與各國股市、美國國庫券、波動度指數、泰德價差及外匯波動度之相關性,藉以判斷主要貨幣是否為避險貨幣。 實證結果發現,日圓及瑞士法郎較符合避險貨幣之特性,即當股市下跌,美國國庫券價值上漲及風險指標提升時,日圓及瑞士法郎將傾向升值。若從台幣持有者的觀點來看,有避險特性的貨幣則為日圓、瑞士法郎及美金。不僅如此,本研究亦發現風險指標中僅外匯波動度對匯率之超額報酬具解釋力,以及金融危機事件並未對避險貨幣的報酬帶來額外正向的影響。 zh_TW dc.description.abstract (摘要) I use major currencies’ data from 2000 to 2020 to examine the safe-haven characteristics of major currencies from the perspectives of both New Taiwan dollar’s and US dollar’s investors. Using multiple regression model and principal component analysis, I investigate the relationship between excess returns of major currencies and several explanatory variables, which include each country’s stock market returns, US bond prices, VIX, TED spread and FX volatility, to study whether major currencies are safe-haven currencies. The empirical results demonstrate that Japanese Yen and Swiss France behave more like safe-haven currencies. They tend to appreciate when stock market falls, US bond prices increase, and FX volatility rises. From the perspectives of New Taiwan dollar’s investors, US dollar can also have hedging benefit. Furthermore, this paper finds that FX volatility is the only risk indicator that has significant effect on safe-haven currencies, and crisis events have no extra effects on the excess returns of safe-haven currencies. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景及動機 1第二節 研究架構 3第二章 文獻探討 4第一節 文獻回顧 4第二節 假設建立 7第三章 研究方法 9第一節 模型設計 9第二節 樣本描述 10第四章 實證結果 15第一節 主要貨幣是否具避險特性:美金計價觀點 15第二節 主要貨幣是否具避險特性:台幣計價觀點 20第三節 主要貨幣及台幣與金融危機事件之相關性檢定 24第四節 主成分分析檢定結果 31第五章 研究結論、限制及建議 36第一節 研究結論 36第二節 研究限制及建議 38附錄 39參考文獻 51 zh_TW dc.format.extent 2741117 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357029 en_US dc.subject (關鍵詞) 避險貨幣 zh_TW dc.subject (關鍵詞) 金融危機 zh_TW dc.subject (關鍵詞) 複迴歸分析 zh_TW dc.subject (關鍵詞) 主成分分析 zh_TW dc.subject (關鍵詞) Safe-haven Currencies en_US dc.subject (關鍵詞) Financial Crisis en_US dc.subject (關鍵詞) Multiple Regression Analysis en_US dc.subject (關鍵詞) Principal Component Analysis en_US dc.title (題名) 以台幣及美金計價觀點檢視主要貨幣的避險特性 zh_TW dc.title (題名) Examining the Safe-haven Characteristics of Major Currencies:Evidence from New Taiwan Dollar and US Dollar Perspectives en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Cheema, Faff, and Szulczyk, 2020. The influence of the COVID-19 pandemic on safe haven assets. VOX, CEPR Policy Portal.2. Cho and Han, 2021. The tail behavior of safe haven currencies: A cross-quantilogram analysis. Journal of International Financial Markets, Institutions & Money.3. Coudert, Guillaumin and Raymond, 2014. Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?, CEPII research center, No. 2014-03.4. Fatum and Yamamoto, 2016. Intra-safe haven currency behavior during the global financial crisis. Journal of International Money and Finance.5. Fan and Mitchell, 2017. Equity-Bond Correlation: A Historical Perspective. Graham Capital Management Research Note.6. Habib and Stracca, 2012. Getting beyond carry trade: What makes a safe haven currency? Journal of International Economics 87, 50–64.7. Hossfeld and MacDonald, 2015. Carry funding and safe haven currencies: A threshold regression approach. Journal of International Money and Finance, Vol. 59, 185-202.8. Kaiser, H.F., 1960. The application of electronic computers to factor analysis. Educational and psychological measurement, 20(1), 141-151.9. Kanyongo, G.Y., 2005. Determining the correct number of components to extract from a principal components analysis: A Monte Carlo study of the accuracy of the scree plot. Journal of modern applied statistical methods, 4(1), 13.10. Maharaj, Kelly-Scholte and Aguirre, 2020. Rethinking safe haven assets. Portfolio Insight.11. Mason, C. H., & Perreault Jr, W. D., 1991. Collinearity, power, and interpretation of multiple regression analysis. Journal of marketing research, 28(3), 268-280.12. Newey and West, 1987. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, Vol. 55, No. 3, 703-708.13. O’brien, R.M., 2007. A Caution Regarding Rules of Thumb for Variance Inflation Factors. Qual Quant 41, 673–690. https://doi.org/10.1007/s11135-006-9018-6.14. Rahayu, Sugiarto, Madu, Holiawati and Subagyo, 2017. Application of Principal Component Analysis (PCA) to Reduce Multicollinearity Exchange Rate Currency of Some Countries in Asia Period 2004-2014. International Journal of Educational Methodology, 3(2), 75 - 83.15. Ranaldo and Soderlind, 2009. Safe Haven Currencies. Review of Finance.16. Yuki MASUJIMA, 2019. What Determines A Safe-Haven Currency? RIETI Discussion Paper Series XX-E-00X.17. 林志南,2007。新台幣匯率避險時機模式之探討-以新台幣、日元兌美元匯率為例。台灣碩博士論文知識加值系統,https://hdl.handle.net/11296/t7cx7g。18. 楊鴻洲,2017。重大事件對於外匯市場報酬與波動的影響。台灣碩博士論文知識加值系統,https://hdl.handle.net/11296/b8583j。19. 王子嘉,2020。避險貨幣在全球重大金融事件之探討:以日圓與瑞士法郎為例。台灣碩博士論文知識加值系統,https://hdl.handle.net/11296/53a3f6。20. 財經M平方全球大世紀,https://www.macromicro.me/time_line?id=17&stat=2。 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100622 en_US