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題名 結合脆弱性指數、利差與泰勒法則訊號之動態外匯交易策略
Dynamic FX Strategy Combining Vulnerability Index, Carry Trade, and Taylor Rule Signal
作者 莊雅涵
Chuang, Ya-Han
貢獻者 林建秀
莊雅涵
Chuang, Ya-Han
關鍵詞 外匯交易
超額報酬
匯率報酬
遠期溢價
脆弱性指數策略
利差交易策略
泰勒法則策略
Foreign exchange trading
Excess returns
Exchange rate returns
Forward premiums
Vulnerability index strategy
Carry trade strategy
Taylor rule strategy
日期 2025
上傳時間 1-Jul-2025 15:18:37 (UTC+8)
摘要 本研究探討三種外匯交易策略對超額報酬、匯率報酬及遠期溢價的影響，資料涵蓋2002年第一季至2023年第四季，聚焦於脆弱性指數策略(VI策略)、利差交易策略(CAR策略)與泰勒法則策略(Taylor Rule Strategy)。 實證結果顯示，VI策略能有效捕捉國家脆弱性，帶來正的匯率報酬，但在遠期溢價表現較弱；CAR策略主要透過利差獲取超額報酬，匯率報酬相對有限；泰勒法則策略雖然能反映利率變動對貨幣政策的影響，但其預測匯率的能力有限，主要報酬來自利差。 本文進一步整合三者優勢，提出多因子策略並引入動態權重機制，實證結果顯示可有效提升報酬表現與穩定性。
This study investigates the effects of three foreign exchange trading strategies on exchange rate returns, excess returns, and forward premiums, using data from the first quarter of 2002 to the fourth quarter of 2023. The analysis focuses on the Vulnerability Index strategy (VI strategy), Carry Trade strategy (CAR strategy), and Taylor Rule strategy. Empirical results show that the VI strategy effectively captures a country's economic vulnerability and generates positive exchange rate returns, though its performance in explaining forward premiums is relatively weak. The CAR strategy primarily earns excess returns through interest rate differentials, with limited contribution from exchange rate returns. While the Taylor Rule strategy reflects the impact of interest rate changes on monetary policy, its ability to predict exchange rates is limited, with returns mainly driven by interest rate differentials. This study further proposes a multi-factor strategy that integrates the strengths of all three approaches and introduces a dynamic weighting mechanism. The empirical findings show that this combined strategy improves both return performance and stability.
參考文獻 Ahmed, S., Coulibaly, B., & Zlate, A. (2017). International financial spillovers to emerging market economies: how important are economic fundamentals?, Journal of International Money and Finance, 76, 133–152. Bilson, J. F. O. (1981). The "speculative efficiency" hypothesis, The Journal of Business, 54(3), 435–451. Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes (NBER Working Paper No. 14473). Cambridge, MA: National Bureau of Economic Research. Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The returns to currency speculation, Cambridge, MA: National Bureau of Economic Research. Calderón, C., Chong, A., & Loayza, N. (2002). Determinants of current account deficits in developing countries, The B.E. Journal of Macroeconomics: Contributions to Macroeconomics, 2(1), Article 2. Chaboud, A. P., & Wright, J. H. (2005). Uncovered interest parity: it works, but not for long, Journal of International Economics, 66(2), 349–362. Clarida, R., Galí, J., & Gertler, M. (1998). Monetary policy rules in practice: some international evidence, European Economic Review, 42(6), 1033–1067. Della Corte, P., Riddiough, S. J., & Sarno, L. (2016). Volatility risk premia and exchange rate predictability, Journal of Financial Economics, 120(1), 21–40. Engel, C. (1996). The forward discount anomaly and the risk premium: a survey of recent evidence, Journal of Empirical Finance, 3(2), 123–192. Engel, C., & West, K. D. (2005). Exchange rates and fundamentals, Journal of Political Economy, 113(3), 485–517. Fama, E. F. (1984). Forward and spot exchange rates, Journal of Monetary Economics, 14(3), 319–338. Ghosh, A. R., & Ostry, J. D. (1995). The current account in developing countries: a perspective from the consumption-smoothing approach, The World Bank Economic Review, 9(2), 305–333. Hansen, L. P., & Hodrick, R. J. (1980). Forward exchange rates as optimal predictors of future spot rates: an econometric analysis, Journal of Political Economy, 88(5), 829–853. Lane, P. R., & Milesi-Ferretti, G. M. (2007). The external wealth of nations mark II: revised and extended estimates of foreign assets and liabilities, 1970–2004, Journal of International Economics, 73(2), 223–250. Lewis, K. K. (1995). Puzzles in international financial markets, In G. M. Grossman & K. Rogoff (Eds.), Handbook of international economics, 1913–1971. Amsterdam: Elsevier. 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). Carry trades and global foreign exchange volatility, The Journal of Finance, 67(2), 681–718. Milesi-Ferretti, G. M., & Razin, A. (1996). Current account sustainability: Selected East Asian and Latin American experiences (NBER Working Paper No. 5791). Cambridge, MA: National Bureau of Economic Research. Sarno, L., & Valente, G. (2009). Exchange rates and fundamentals: footloose or evolving relationship?, Journal of the European Economic Association, 7(4), 786–830.
描述 碩士
國立政治大學
金融學系
112352030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352030
資料類型 thesis
dc.contributor.advisor 林建秀zh_TW
dc.contributor.author (Authors) 莊雅涵zh_TW
dc.contributor.author (Authors) Chuang, Ya-Hanen_US
dc.creator (作者) 莊雅涵zh_TW
dc.creator (作者) Chuang, Ya-Hanen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 15:18:37 (UTC+8)-
dc.date.available 1-Jul-2025 15:18:37 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 15:18:37 (UTC+8)-
dc.identifier (Other Identifiers) G0112352030en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157841-
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) 112352030zh_TW
dc.description.abstract (摘要) 本研究探討三種外匯交易策略對超額報酬、匯率報酬及遠期溢價的影響，資料涵蓋2002年第一季至2023年第四季，聚焦於脆弱性指數策略(VI策略)、利差交易策略(CAR策略)與泰勒法則策略(Taylor Rule Strategy)。 實證結果顯示，VI策略能有效捕捉國家脆弱性，帶來正的匯率報酬，但在遠期溢價表現較弱；CAR策略主要透過利差獲取超額報酬，匯率報酬相對有限；泰勒法則策略雖然能反映利率變動對貨幣政策的影響，但其預測匯率的能力有限，主要報酬來自利差。 本文進一步整合三者優勢，提出多因子策略並引入動態權重機制，實證結果顯示可有效提升報酬表現與穩定性。zh_TW
dc.description.abstract (摘要) This study investigates the effects of three foreign exchange trading strategies on exchange rate returns, excess returns, and forward premiums, using data from the first quarter of 2002 to the fourth quarter of 2023. The analysis focuses on the Vulnerability Index strategy (VI strategy), Carry Trade strategy (CAR strategy), and Taylor Rule strategy. Empirical results show that the VI strategy effectively captures a country's economic vulnerability and generates positive exchange rate returns, though its performance in explaining forward premiums is relatively weak. The CAR strategy primarily earns excess returns through interest rate differentials, with limited contribution from exchange rate returns. While the Taylor Rule strategy reflects the impact of interest rate changes on monetary policy, its ability to predict exchange rates is limited, with returns mainly driven by interest rate differentials. This study further proposes a multi-factor strategy that integrates the strengths of all three approaches and introduces a dynamic weighting mechanism. The empirical findings show that this combined strategy improves both return performance and stability.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 論文架構與各章節簡介 2 第二章 文獻探討 3 第一節 利差交易與經濟脆弱性對匯率的影響 3 第二節 貨幣政策與匯率行為：泰勒法則的應用 4 第三章 資料與投資組合建構 5 第一節 樣本選擇 5 第二節 超額報酬 7 第三節 經濟脆弱性指數(VI)與脆弱性指數策略(VI策略) 8 第四節 利差交易策略(CAR策略) 10 第五節 泰勒法則訊號(Taylor Rule Signal)與泰勒法則策略(Taylor Rule Strategy) 10 第六節 資料限制 13 第四章 VI、CAR、泰勒法則策略實證及多因子策略 14 第一節 VI策略實證結果 14 第二節 CAR策略實證結果 16 第三節 泰勒法則策略實證結果 18 第四節 VI、CAR與泰勒法則策略之實證比較 20 第五節 VI+CAR策略 24 第六節 納入泰勒訊號之多因子模型 30 第五章 結論 37 參考文獻 39zh_TW
dc.format.extent 2320392 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352030en_US
dc.subject (關鍵詞) 外匯交易zh_TW
dc.subject (關鍵詞) 超額報酬zh_TW
dc.subject (關鍵詞) 匯率報酬zh_TW
dc.subject (關鍵詞) 遠期溢價zh_TW
dc.subject (關鍵詞) 脆弱性指數策略zh_TW
dc.subject (關鍵詞) 利差交易策略zh_TW
dc.subject (關鍵詞) 泰勒法則策略zh_TW
dc.subject (關鍵詞) Foreign exchange tradingen_US
dc.subject (關鍵詞) Excess returnsen_US
dc.subject (關鍵詞) Exchange rate returnsen_US
dc.subject (關鍵詞) Forward premiumsen_US
dc.subject (關鍵詞) Vulnerability index strategyen_US
dc.subject (關鍵詞) Carry trade strategyen_US
dc.subject (關鍵詞) Taylor rule strategyen_US
dc.title (題名) 結合脆弱性指數、利差與泰勒法則訊號之動態外匯交易策略zh_TW
dc.title (題名) Dynamic FX Strategy Combining Vulnerability Index, Carry Trade, and Taylor Rule Signalen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ahmed, S., Coulibaly, B., & Zlate, A. (2017). International financial spillovers to emerging market economies: how important are economic fundamentals?, Journal of International Money and Finance, 76, 133–152. Bilson, J. F. O. (1981). The "speculative efficiency" hypothesis, The Journal of Business, 54(3), 435–451. Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes (NBER Working Paper No. 14473). Cambridge, MA: National Bureau of Economic Research. Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The returns to currency speculation, Cambridge, MA: National Bureau of Economic Research. Calderón, C., Chong, A., & Loayza, N. (2002). Determinants of current account deficits in developing countries, The B.E. Journal of Macroeconomics: Contributions to Macroeconomics, 2(1), Article 2. Chaboud, A. P., & Wright, J. H. (2005). Uncovered interest parity: it works, but not for long, Journal of International Economics, 66(2), 349–362. Clarida, R., Galí, J., & Gertler, M. (1998). Monetary policy rules in practice: some international evidence, European Economic Review, 42(6), 1033–1067. Della Corte, P., Riddiough, S. J., & Sarno, L. (2016). Volatility risk premia and exchange rate predictability, Journal of Financial Economics, 120(1), 21–40. Engel, C. (1996). The forward discount anomaly and the risk premium: a survey of recent evidence, Journal of Empirical Finance, 3(2), 123–192. Engel, C., & West, K. D. (2005). Exchange rates and fundamentals, Journal of Political Economy, 113(3), 485–517. Fama, E. F. (1984). Forward and spot exchange rates, Journal of Monetary Economics, 14(3), 319–338. Ghosh, A. R., & Ostry, J. D. (1995). The current account in developing countries: a perspective from the consumption-smoothing approach, The World Bank Economic Review, 9(2), 305–333. Hansen, L. P., & Hodrick, R. J. (1980). Forward exchange rates as optimal predictors of future spot rates: an econometric analysis, Journal of Political Economy, 88(5), 829–853. Lane, P. R., & Milesi-Ferretti, G. M. (2007). The external wealth of nations mark II: revised and extended estimates of foreign assets and liabilities, 1970–2004, Journal of International Economics, 73(2), 223–250. Lewis, K. K. (1995). Puzzles in international financial markets, In G. M. Grossman & K. Rogoff (Eds.), Handbook of international economics, 1913–1971. Amsterdam: Elsevier. 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). Carry trades and global foreign exchange volatility, The Journal of Finance, 67(2), 681–718. Milesi-Ferretti, G. M., & Razin, A. (1996). Current account sustainability: Selected East Asian and Latin American experiences (NBER Working Paper No. 5791). Cambridge, MA: National Bureau of Economic Research. Sarno, L., & Valente, G. (2009). Exchange rates and fundamentals: footloose or evolving relationship?, Journal of the European Economic Association, 7(4), 786–830.zh_TW