| dc.contributor | 金融系 | |
| dc.creator (作者) | 林建秀 | |
| dc.date (日期) | 2019-09 | |
| dc.date.accessioned | 7-Apr-2026 13:17:10 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:17:10 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:17:10 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181917 | - |
| dc.description.abstract (摘要) | 本計畫試圖定義外匯超額報酬的訂價因子。我們提出包含了商品，價值，動能及市場風險的四因子模型。透過時間序列及橫斷面的資產訂價方法，我們將分析上述因子是否能充分捕捉外匯超額報酬的變動。此外，我們也將使用商品，價值及動能因子的超額報酬對許多總體經濟變數及外匯風險特定的變數跑單一變數迴歸。我們希望可以發現因子之間是否存在著共同的驅動變數，在景氣循環時是呈現同向還是反向變動，藉以提供投資組合風險分散的建議。最後，我們將進行國家層級的資產訂價之穩定性分析，探討模型在單一國家外匯報酬的適用性。 | |
| dc.description.abstract (摘要) | This research intends to identify pricing factors in exchange rates. We propose several risk factors including commodity, value and momentum risk factors into risk-based asset pricing framework. By examining the four-factor model, as well as cross-sectional asset pricing, we want to show whether the factors such as market, commodity, value and momentum risk factors are capable of describing the cross-sectional variation of currency returns. Next, we would run numerous univariate time-series regressions of the commodity, value and momentum risk factors on a variety of macroeconomic state variables and currency return specific risk factors to explore if there exist common sources to drive the movements of these factors. Finally, we would run country-level tests for robustness check. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST106-2410-H004-054, 106.08-107.07 | |
| dc.subject (關鍵詞) | 外匯資產訂價模型; 商品出口率; 價值; 動能 | |
| dc.subject (關鍵詞) | Currency asset pricing models; Commodity exports; Value; Momentum | |
| dc.title (題名) | 外匯超額報酬之商品，價值及動能效果 | |
| dc.title (題名) | Commodity, Value and Momentum Risk in Currency Excess Returns | |
| dc.type (資料類型) | report | |
