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題名 考慮交易成本後的跨貨幣基差與美元走勢強弱之探討
The Research of Cross-Currency Basis Adjusted for Transaction Costs and the Strength of the US Dollar.作者 洪瑞伸
Hung, Jui-Shen貢獻者 張元晨
Chang, Yuan-Chen
洪瑞伸
Hung, Jui-Shen關鍵詞 有拋補利率平價
跨貨幣基差
交易成本
Covered Interest Rate Parity Theory
Cross-Currency Basis
Transaction Costs日期 2023 上傳時間 2-八月-2023 13:00:23 (UTC+8) 摘要 本論文主要探討由有拋補利率平價理論衍生出的跨貨幣基差，其在考慮交易成本的前後所產生的差異，並且進一步探討考慮交易成本前後的跨貨幣基差與美元走勢強弱之間的關係。本文以Du, Tepper and Verdelhan（2018）計算跨貨幣基差的方式，並同時本篇研究著重在交易成本層面，分別以匯率的買賣價取代中價來納入交易成本因素對於跨貨幣基差之影響，也利用Avdjiev, Du, Koch and Shin （2019）的方式衡量匯率因素與跨貨幣基差之間的關係。實證結果顯示交易成本的因素確實能解釋部分的跨貨幣基差，並且在考量交易成本後，匯率因素對於成熟市場國家的跨貨幣基差影響變得不顯著，然亞洲新興市場的多數國家仍會因美元強勢而出現跨貨幣基差擴大之情形。
This study primarily explores cross-currency basis derived from the covered interest rate parity theory, and examines the differences in the basis when considering transaction costs. Furthermore, I investigate the relationship between cross-currency basis, both before and after accounting for transaction costs, and the strength of the US dollar. The paper adopts the methodology of Du, Tepper, and Verdelhan (2018) to calculate the cross-currency basis. Additionally, this study focuses on the impact of transaction costs by incorporating bid and ask prices instead of mid-prices to measure their effect on the cross-currency basis. I also employ the approach of Avdjiev, Du, Koch, and Shin (2019) to measure the relationship between exchange rate factors and cross-currency basis. The empirical results demonstrate that transaction cost factors can indeed explain a portion of the cross-currency basis. Moreover, after considering transaction costs, the impact of exchange rate factors on the cross-currency basis spreads in developed market countries becomes less significant, while most Asian emerging market countries still experience widening basis due to the strength of the US dollar.參考文獻 Avdjiev, S., Du, W., Koch, C., & Shin, H. S. (2019). The dollar, bank leverage, and deviations from covered interest parity. American Economic Review: Insights, 1(2), 193-208.Baba, N., & Packer, F. (2009). Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08. Journal of Banking & Finance, 33(11), 1953-1962.Baba, N., Packer, F., & Nagano, T. (2008). The spillover of money market turbulence to FX swap and cross-currency swap markets. BIS Quarterly Review, March.Bekaert, G., & Hodrick,R. (2012). International Financial Management (Pearson Prentice Hall, Upper Saddle River, NJ)Cerutti, E. M., Obstfeld, M., & Zhou, H. (2021). Covered interest parity deviations: Macrofinancial determinants. Journal of International Economics, 130, 103447.Cerutti, E., & Zhou, H. (2023). Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants and Disconnect.Clinton, K. (1988). Transactions costs and covered interest arbitrage: theory and evidence. Journal of Political Economy, 96(2), 358-370.Coffey, N., Hrung, W. B., & Sarkar, A. (2009). Capital constraints, counterparty risk, and deviations from covered interest rate parity. FRB of New York Staff Report, (393).Du, W., & Schreger, J. (2022). CIP deviations, the dollar, and frictions in international capital markets. In Handbook of International Economics (Vol. 6, pp. 147-197). Elsevier.Du, W., Tepper, A., & Verdelhan, A. (2018). Deviations from covered interest rate parity. The Journal of Finance, 73(3), 915-957.Frenkel, J. A., & Levich, R. M. (1975). Covered interest arbitrage: Unexploited profits?. Journal of Political Economy, 83(2), 325-338.Frenkel, J. A., & Levich, R. M. (1977). Transaction costs and interest arbitrage: Tranquil versus turbulent periods. Journal of Political Economy, 85(6), 1209-1226.Frenkel, Jacob A. (1973). “Elasticities and the Interest Parity Theory,” Journal ofPolitical Economy, Vol. 81, no. 3 (May-June), pp. 741-47.Gopinath, G., & Stein, J. C. (2018, May). Trade invoicing, bank funding, and central bank reserve holdings. In AEA Papers and Proceedings (Vol. 108, pp. 542-46).Holmes, A. R. (1959). The New York Foreign Exchange Market . Federal Reserve Bank of New York.Holmes, A. R., & Schott, F. H. (1965). The New York Foreign Exchange Market (Vol. 42). Federal Reserve Bank of New York.Keynes, J. M. (1923). A tract on monetary reform. Cosimo Classics.Levich, R. (2017). CIP: Then and Now, A Brief Survey of Measuring and Exploiting Deviations from Covered Interest Parity. In conference “CIP-RIP (pp. 22-23).Maggiori, M., Neiman, B., & Schreger, J. (2020). International currencies and capital allocation. Journal of Political Economy, 128(6), 2019-2066.Tsiang, S. C. (1959). The theory of forward exchange and effects of government intervention on the forward exchange market. Staff Papers (International Monetary Fund), 7(1), 75-106. 描述 碩士
國立政治大學
財務管理學系
110357030資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357030 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan-Chen en_US dc.contributor.author (作者) 洪瑞伸 zh_TW dc.contributor.author (作者) Hung, Jui-Shen en_US dc.creator (作者) 洪瑞伸 zh_TW dc.creator (作者) Hung, Jui-Shen en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-八月-2023 13:00:23 (UTC+8) - dc.date.available 2-八月-2023 13:00:23 (UTC+8) - dc.date.issued (上傳時間) 2-八月-2023 13:00:23 (UTC+8) - dc.identifier (其他 識別碼) G0110357030 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146290 - 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) 110357030 zh_TW dc.description.abstract (摘要) 本論文主要探討由有拋補利率平價理論衍生出的跨貨幣基差，其在考慮交易成本的前後所產生的差異，並且進一步探討考慮交易成本前後的跨貨幣基差與美元走勢強弱之間的關係。本文以Du, Tepper and Verdelhan（2018）計算跨貨幣基差的方式，並同時本篇研究著重在交易成本層面，分別以匯率的買賣價取代中價來納入交易成本因素對於跨貨幣基差之影響，也利用Avdjiev, Du, Koch and Shin （2019）的方式衡量匯率因素與跨貨幣基差之間的關係。實證結果顯示交易成本的因素確實能解釋部分的跨貨幣基差，並且在考量交易成本後，匯率因素對於成熟市場國家的跨貨幣基差影響變得不顯著，然亞洲新興市場的多數國家仍會因美元強勢而出現跨貨幣基差擴大之情形。 zh_TW dc.description.abstract (摘要) This study primarily explores cross-currency basis derived from the covered interest rate parity theory, and examines the differences in the basis when considering transaction costs. Furthermore, I investigate the relationship between cross-currency basis, both before and after accounting for transaction costs, and the strength of the US dollar. The paper adopts the methodology of Du, Tepper, and Verdelhan (2018) to calculate the cross-currency basis. Additionally, this study focuses on the impact of transaction costs by incorporating bid and ask prices instead of mid-prices to measure their effect on the cross-currency basis. I also employ the approach of Avdjiev, Du, Koch, and Shin (2019) to measure the relationship between exchange rate factors and cross-currency basis. The empirical results demonstrate that transaction cost factors can indeed explain a portion of the cross-currency basis. Moreover, after considering transaction costs, the impact of exchange rate factors on the cross-currency basis spreads in developed market countries becomes less significant, while most Asian emerging market countries still experience widening basis due to the strength of the US dollar. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 3第三節 研究架構 3第二章 文獻探討 4第一節 拋補利率平價研究的發展沿革 4第二節 有拋補利率平價及跨貨幣基差 6第三節 跨貨幣基差與美元走勢 8第三章 研究假設與方法 10第一節 研究設計與假說發展 10第二節 資料描述 11第三節 變數說明與模型建立 15第四章 實證結果與分析 19第一節 考量交易成本的無套利條件不等式 19第二節 不同市場跨貨幣基差在考慮交易成本前後的差異 22第三節 美元走勢與考慮交易成本前後之跨貨幣基差 31第五章 結論 48第一節 研究結論 48第二節 研究限制與未來研究建議 49參考文獻 50 zh_TW dc.format.extent 2522570 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357030 en_US dc.subject (關鍵詞) 有拋補利率平價 zh_TW dc.subject (關鍵詞) 跨貨幣基差 zh_TW dc.subject (關鍵詞) 交易成本 zh_TW dc.subject (關鍵詞) Covered Interest Rate Parity Theory en_US dc.subject (關鍵詞) Cross-Currency Basis en_US dc.subject (關鍵詞) Transaction Costs en_US dc.title (題名) 考慮交易成本後的跨貨幣基差與美元走勢強弱之探討 zh_TW dc.title (題名) The Research of Cross-Currency Basis Adjusted for Transaction Costs and the Strength of the US Dollar. en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Avdjiev, S., Du, W., Koch, C., & Shin, H. S. (2019). The dollar, bank leverage, and deviations from covered interest parity. American Economic Review: Insights, 1(2), 193-208.Baba, N., & Packer, F. (2009). Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08. Journal of Banking & Finance, 33(11), 1953-1962.Baba, N., Packer, F., & Nagano, T. (2008). The spillover of money market turbulence to FX swap and cross-currency swap markets. BIS Quarterly Review, March.Bekaert, G., & Hodrick,R. (2012). International Financial Management (Pearson Prentice Hall, Upper Saddle River, NJ)Cerutti, E. M., Obstfeld, M., & Zhou, H. (2021). Covered interest parity deviations: Macrofinancial determinants. Journal of International Economics, 130, 103447.Cerutti, E., & Zhou, H. (2023). Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants and Disconnect.Clinton, K. (1988). Transactions costs and covered interest arbitrage: theory and evidence. Journal of Political Economy, 96(2), 358-370.Coffey, N., Hrung, W. B., & Sarkar, A. (2009). Capital constraints, counterparty risk, and deviations from covered interest rate parity. FRB of New York Staff Report, (393).Du, W., & Schreger, J. (2022). CIP deviations, the dollar, and frictions in international capital markets. In Handbook of International Economics (Vol. 6, pp. 147-197). Elsevier.Du, W., Tepper, A., & Verdelhan, A. (2018). Deviations from covered interest rate parity. The Journal of Finance, 73(3), 915-957.Frenkel, J. A., & Levich, R. M. (1975). Covered interest arbitrage: Unexploited profits?. Journal of Political Economy, 83(2), 325-338.Frenkel, J. A., & Levich, R. M. (1977). Transaction costs and interest arbitrage: Tranquil versus turbulent periods. Journal of Political Economy, 85(6), 1209-1226.Frenkel, Jacob A. (1973). “Elasticities and the Interest Parity Theory,” Journal ofPolitical Economy, Vol. 81, no. 3 (May-June), pp. 741-47.Gopinath, G., & Stein, J. C. (2018, May). Trade invoicing, bank funding, and central bank reserve holdings. In AEA Papers and Proceedings (Vol. 108, pp. 542-46).Holmes, A. R. (1959). The New York Foreign Exchange Market . Federal Reserve Bank of New York.Holmes, A. R., & Schott, F. H. (1965). The New York Foreign Exchange Market (Vol. 42). Federal Reserve Bank of New York.Keynes, J. M. (1923). A tract on monetary reform. Cosimo Classics.Levich, R. (2017). CIP: Then and Now, A Brief Survey of Measuring and Exploiting Deviations from Covered Interest Parity. In conference “CIP-RIP (pp. 22-23).Maggiori, M., Neiman, B., & Schreger, J. (2020). International currencies and capital allocation. Journal of Political Economy, 128(6), 2019-2066.Tsiang, S. C. (1959). The theory of forward exchange and effects of government intervention on the forward exchange market. Staff Papers (International Monetary Fund), 7(1), 75-106. zh_TW
