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題名 有效匯率預測模型與避險績效比較
Effective Exchange Rate Forecasting Models and Comparison Hedging Performance作者 尤保傑 貢獻者 林建秀
尤保傑關鍵詞 匯率預測
相對購買力平價模型
泰勒模型
不對稱泰勒模型
準確率
Exchange Rate Forecasting
Relative Purchasing Power Parity
Symmetric Taylor rule
Asymmetric Taylor rule
Accurate rate日期 2012 上傳時間 11-Jul-2013 16:53:47 (UTC+8) 摘要 本研究提出UIP、PPP、 MF、TR及TRa五種匯率預測模型，以新台幣兌美元即期匯率、遠期匯率進行避險準確率及避險成效的實證分析。資料期間為1996年12月到2012年10月的新台幣兌美元即期匯率月資料，資料來源為資料庫Datastream。 實證結果發現UIP、PPP、 MF、TR及TRa五種匯率預測模型比較分析中，若以相對購買力平價模型(PPP)進行選擇性避險，再搭配適當避險比率，其報酬率可能由負報酬轉為正報酬；避險績效衡量方面，以相對購買力平價模型搭配完全避險的績效最好。若以不對稱泰勒模型(TRa)進行選擇性避險，再搭配適當避險比率，報酬率明顯由負轉為正；衡量避險績效衡量方面，完全避險在風險降幅及下方動差避險績效衡量下，以不對稱泰勒模型搭配完全避險的績效最好。
This study provides five exchange rate models to predict future exchange rate (UIP,PPP,MF,Taylor rule and asymmetric Taylor rule). We illustrate these methods by assessing the forecasting performance of five exchange rate models using monthly returns on TWD/US dollar exchange rate. The data are monthly exchange rates ranging from December 1996 to October 2012, using spot and one-month forward exchange rates form Datastream. We find that empirical models based on purchase power parity (PPP) and the asymmetric Taylor rule(TRa) outperform the other models in out-of-sample forecasting using the appropriate hedging ratio. Comparing the hedging performance between PPP and models, we find that the hedging performance by the PPP will get the higher return. However, the hedging performance by the will get the lower volatility.參考文獻 一、中文部分 1.林淑華(2010)，「總體經濟因子與台美匯率關聯性之探討」，樹德科技大學金融與風險管理系碩士論文。 2.徐清俊、張加民(2003)，「台灣股價指數期貨最適避險比率探討」，遠東學報第二十卷第三期。 3.黃欣華(2008)，「影響台灣匯率因素之實證研究」，國立臺灣大學經濟學研究所 碩士論文。 4.黃國政(2011)，「通貨膨脹率、利率、失業率、貿易餘額及匯率之關聯性研究」，國防大學財務管理學系碩士論文。 5.黃富纖(2008)，「Evaluating Hedging Effectiveness Under Two Models」，國立臺灣大學財務金融研究所碩士論文。 6.楊奕農(2004)， 「低偏動差與變異數之遠期外匯避險績效比較」，中原大學國際貿易學系碩士學位論文。 7.陳廷維(2008)，「匯率與總體經濟指標之研究」，國立臺中技術學院事業經營研究所碩士論文。 二、英文部分 1. Bawa, V.S.(1975), “Optima; Rules for Ordering Uncertain Peospects”, Journal of Financial Economics,2,95-121. 2. Campbell, J.Y., and Shiller R.J. (1987),“Cointegration and Tests of Present Value Models”,Journal of Political Economy 95, 1062-1088. 3. Campbell, J.Y., and Shiller R.J. (1988),“Stock Prices, Earnings, and Expected Dividends”, Journal of Finance,43, 661-676. 4. Cheung, Y.W. , Chinn M. D. , and Pascual A.G. (2005),“Empirical Exchange Rate Models of the Nineties: are any Fit to Survive?”,Journal of International Money and Finance, 24, 1150-1175. 5. Chiang, Y.C. , Liao T.L. and Hsiao T.A.,“Evaluating hedging strategies in the foreign exchange market with the stochastic dominance approach”, Applied Financial Economics, 21, 493–503 6. Clark, T.E., and McCracken M.W. (2001),“Tests of Equal Forecast Accuracy and Encompassing for Nested Models”,Journal of Econometrics ,105, 85-110. 7.Corte, P. D. and Tsiakas, I.（2011）,“Statistical and Economic Methodsfor Evaluating Exchange Rate Predictability”, Wiley Handbooks in Financial Engineering and Econometrics, 239-283. 8. Demirer, R. and Lien, D. ,“Downside risk for short and long hedgers”, International Review of Economics and Finance,12, 25–44 9. Engel, C., and West K.D. (2005),“Exchange Rates and Fundamentals”, Journal of Political Economy,113, 485-517. 10. Fishurn, P.C. (1977),“Mean-Risk Analysis with Risk Associated with Below-Target Returns”, American Economic Review, 67, 116-126 11. Holmes,P. (1995),“Ex ante hedge ratios and the hedging effectiveness of the FTSE-100 stock index futures contract,”Applied Economics Letters,2,56-59. 12. Howard, C. T. and D. Antonio, L. J.( 1987),“A Risk-Return Measure of Hedging Effectivenes：A Reply”, Journal of Financial and Quantitative Analysis,19,101-112 13. Johnson, L. L. (1960), “The Theory of Hedging and Speculation in Commidity Futures”, Review of Economic Studies, 27, 139-151. 14. McCracken, M.W. (2007),“Asymptotics for Out of Sample Tests of Granger Causality”,Journal of Econometrics, 140, 719-752. 15. Morgan,J.P. (1996),“RiskMetrics Technical Document”,4th edition,. 16. Meese, R.A., and K. Rogo (1983),“Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?”, Journal of International Economics ,14, 3-24. 17. Molodtsova, T. and Papell D. H.（2009）, “ Out-of-sample exchange rate predictability with Taylor rule fundamentals”, Journal of International Economics, 77 (2009), 167–180. 18. Welch, I., and. Goyal A (2008),“A Comprehensive Look at The Empirical Performance of Equity Premium Prediction”,Review of Financial Studies, 21, 1455-1508. 描述 碩士
國立政治大學
金融研究所
100352012
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100352012 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 尤保傑 zh_TW dc.creator (作者) 尤保傑 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 11-Jul-2013 16:53:47 (UTC+8) - dc.date.available 11-Jul-2013 16:53:47 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2013 16:53:47 (UTC+8) - dc.identifier (Other Identifiers) G0100352012 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58800 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 100352012 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本研究提出UIP、PPP、 MF、TR及TRa五種匯率預測模型，以新台幣兌美元即期匯率、遠期匯率進行避險準確率及避險成效的實證分析。資料期間為1996年12月到2012年10月的新台幣兌美元即期匯率月資料，資料來源為資料庫Datastream。 實證結果發現UIP、PPP、 MF、TR及TRa五種匯率預測模型比較分析中，若以相對購買力平價模型(PPP)進行選擇性避險，再搭配適當避險比率，其報酬率可能由負報酬轉為正報酬；避險績效衡量方面，以相對購買力平價模型搭配完全避險的績效最好。若以不對稱泰勒模型(TRa)進行選擇性避險，再搭配適當避險比率，報酬率明顯由負轉為正；衡量避險績效衡量方面，完全避險在風險降幅及下方動差避險績效衡量下，以不對稱泰勒模型搭配完全避險的績效最好。 zh_TW dc.description.abstract (摘要) This study provides five exchange rate models to predict future exchange rate (UIP,PPP,MF,Taylor rule and asymmetric Taylor rule). We illustrate these methods by assessing the forecasting performance of five exchange rate models using monthly returns on TWD/US dollar exchange rate. The data are monthly exchange rates ranging from December 1996 to October 2012, using spot and one-month forward exchange rates form Datastream. We find that empirical models based on purchase power parity (PPP) and the asymmetric Taylor rule(TRa) outperform the other models in out-of-sample forecasting using the appropriate hedging ratio. Comparing the hedging performance between PPP and models, we find that the hedging performance by the PPP will get the higher return. However, the hedging performance by the will get the lower volatility. en_US dc.description.tableofcontents 壹、 緒論 1 第一節 研究背景與動機 1 第二節 研究目的與方法 2 貳、 文獻探討 4 第一節 影響匯率變動的因素 4 第二節 相關文獻 5 參、 研究方法 8 第一節 避險準則 8 第二節 匯率預測模型 10 第三節 匯率預測模型績效評估 14 第四節 最適避險比率 15 第五節 避險績效衡量 17 肆、 實證結果與分析 19 第一節 樣本與資料來源 19 第二節 匯率預測模型 21 第三節 匯率預測模型績效比較 22 第四節 最適避險比率與其避險績效結果 27 伍、 結論與建議 30 參考文獻 32 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100352012 en_US dc.subject (關鍵詞) 匯率預測 zh_TW dc.subject (關鍵詞) 相對購買力平價模型 zh_TW dc.subject (關鍵詞) 泰勒模型 zh_TW dc.subject (關鍵詞) 不對稱泰勒模型 zh_TW dc.subject (關鍵詞) 準確率 zh_TW dc.subject (關鍵詞) Exchange Rate Forecasting en_US dc.subject (關鍵詞) Relative Purchasing Power Parity en_US dc.subject (關鍵詞) Symmetric Taylor rule en_US dc.subject (關鍵詞) Asymmetric Taylor rule en_US dc.subject (關鍵詞) Accurate rate en_US dc.title (題名) 有效匯率預測模型與避險績效比較 zh_TW dc.title (題名) Effective Exchange Rate Forecasting Models and Comparison Hedging Performance en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、中文部分 1.林淑華(2010)，「總體經濟因子與台美匯率關聯性之探討」，樹德科技大學金融與風險管理系碩士論文。 2.徐清俊、張加民(2003)，「台灣股價指數期貨最適避險比率探討」，遠東學報第二十卷第三期。 3.黃欣華(2008)，「影響台灣匯率因素之實證研究」，國立臺灣大學經濟學研究所 碩士論文。 4.黃國政(2011)，「通貨膨脹率、利率、失業率、貿易餘額及匯率之關聯性研究」，國防大學財務管理學系碩士論文。 5.黃富纖(2008)，「Evaluating Hedging Effectiveness Under Two Models」，國立臺灣大學財務金融研究所碩士論文。 6.楊奕農(2004)， 「低偏動差與變異數之遠期外匯避險績效比較」，中原大學國際貿易學系碩士學位論文。 7.陳廷維(2008)，「匯率與總體經濟指標之研究」，國立臺中技術學院事業經營研究所碩士論文。 二、英文部分 1. Bawa, V.S.(1975), “Optima; Rules for Ordering Uncertain Peospects”, Journal of Financial Economics,2,95-121. 2. Campbell, J.Y., and Shiller R.J. (1987),“Cointegration and Tests of Present Value Models”,Journal of Political Economy 95, 1062-1088. 3. Campbell, J.Y., and Shiller R.J. (1988),“Stock Prices, Earnings, and Expected Dividends”, Journal of Finance,43, 661-676. 4. Cheung, Y.W. , Chinn M. D. , and Pascual A.G. (2005),“Empirical Exchange Rate Models of the Nineties: are any Fit to Survive?”,Journal of International Money and Finance, 24, 1150-1175. 5. Chiang, Y.C. , Liao T.L. and Hsiao T.A.,“Evaluating hedging strategies in the foreign exchange market with the stochastic dominance approach”, Applied Financial Economics, 21, 493–503 6. Clark, T.E., and McCracken M.W. (2001),“Tests of Equal Forecast Accuracy and Encompassing for Nested Models”,Journal of Econometrics ,105, 85-110. 7.Corte, P. D. and Tsiakas, I.（2011）,“Statistical and Economic Methodsfor Evaluating Exchange Rate Predictability”, Wiley Handbooks in Financial Engineering and Econometrics, 239-283. 8. Demirer, R. and Lien, D. ,“Downside risk for short and long hedgers”, International Review of Economics and Finance,12, 25–44 9. Engel, C., and West K.D. (2005),“Exchange Rates and Fundamentals”, Journal of Political Economy,113, 485-517. 10. Fishurn, P.C. (1977),“Mean-Risk Analysis with Risk Associated with Below-Target Returns”, American Economic Review, 67, 116-126 11. Holmes,P. (1995),“Ex ante hedge ratios and the hedging effectiveness of the FTSE-100 stock index futures contract,”Applied Economics Letters,2,56-59. 12. Howard, C. T. and D. Antonio, L. J.( 1987),“A Risk-Return Measure of Hedging Effectivenes：A Reply”, Journal of Financial and Quantitative Analysis,19,101-112 13. Johnson, L. L. (1960), “The Theory of Hedging and Speculation in Commidity Futures”, Review of Economic Studies, 27, 139-151. 14. McCracken, M.W. (2007),“Asymptotics for Out of Sample Tests of Granger Causality”,Journal of Econometrics, 140, 719-752. 15. Morgan,J.P. (1996),“RiskMetrics Technical Document”,4th edition,. 16. Meese, R.A., and K. Rogo (1983),“Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?”, Journal of International Economics ,14, 3-24. 17. Molodtsova, T. and Papell D. H.（2009）, “ Out-of-sample exchange rate predictability with Taylor rule fundamentals”, Journal of International Economics, 77 (2009), 167–180. 18. Welch, I., and. Goyal A (2008),“A Comprehensive Look at The Empirical Performance of Equity Premium Prediction”,Review of Financial Studies, 21, 1455-1508. zh_TW
