| dc.contributor | 金融系 | |
| dc.creator (作者) | 林建秀 | |
| dc.date (日期) | 2018-03 | |
| dc.date.accessioned | 7-Apr-2026 13:17:09 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:17:09 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:17:09 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181916 | - |
| dc.description.abstract (摘要) | 本研究計畫將探討外匯市場的風險訂價因子。根據 Lustig, Roussanov, Verdelhan (LRV) 在2011年所發表的論文，我們提出增加動能因子進入訂價模型。我們將證明本研究所提出的包含美元風險，利差及動能之三因子模型，將比LRV 的二因子模型更能夠捕捉外匯市場的跨國貨幣之超額報酬變動。接著，為了探討利差及動能風險因子的背後經濟意義，我們將分別研究利差及動能因子和所選取的經濟變數變動之間的關聯性。我們想藉此得知哪些變數具備對利差或動能風險因子的訂價能力。最後，我們將研究範圍由外匯市場擴展至跨市場研究。這些市場將包含外匯、股票、債券及商品市場。將不同市場及不同交易策略統合探討將有助於消除不同市場對風險溢酬的不一致解釋方式。 | |
| dc.description.abstract (摘要) | This research intends to identify pricing factors in exchange rates. Following Lustig, Roussanov, Verdelhan (2011) (henceforth LRV), we propose additional momentum risk factor into risk-based asset pricing framework. We want to show our three factor model which includes dollar risk factor, carry factor and momentum factor would be more capable of describing the cross-sectional variation of currency returns than the LRV’s two factor model. Next, to provide the economic interpretation behind the carry and momentum risk, we investigate the linkages of carry and momentum factors to the innovations in several variables. We will identify which variable is capable of pricing the carry or momentum factor returns. Finally, we want to extend our research from single currency market to multiple markets (across currencies, equities, bonds and commodities). Our efforts in studying different markets and strategies together hopefully can help to identify and rule out various explanations for the return prmia. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST105-2410-H004-058, 105.08-106.07 | |
| dc.subject (關鍵詞) | 外匯訂價模型; 利差; 動能; 經濟變數 | |
| dc.subject (關鍵詞) | Currency asset pricing models; Carry; Momentum; Innovations in Economic Variables | |
| dc.title (題名) | 外匯市場之風險因子研究：訂價及背後成因探討 | |
| dc.title (題名) | Understanding the Sources of Pricing Factors Underlying the Cross-Section of Currency Returns | |
| dc.type (資料類型) | report | |
