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題名 總體經濟指標與利差交易之分析
Analysis of Macroeconomic Indicators and Carry Trade作者 周長隆 貢獻者 林建秀
周長隆關鍵詞 泰勒法則
情境轉換模型
利差交易日期 2013 上傳時間 1-Jul-2014 12:07:06 (UTC+8) 摘要 本研究探討國際投資人是否能夠藉由總體經濟指標、泰勒法則、以及匯率資料，捕捉無拋補利率平價假說的成立時間，以及判斷市場多空轉換的時間點，做好相對應的利差交易投資策略來獲得持續的超額報酬。利用時序變動型馬可夫轉換模型，分析2002年9月到2013年9月，共133個月之匯率資料，將樣本區間內的超額報酬資料根據資料特性利用模型分為兩個情境，再加入總體經濟指標變數、泰勒法則、以及匯率資料分析比較情境轉換因子對利差交易之超額報酬的關係。 經過實際驗證後的結果，發現泰勒法則雖然在文獻中扮演捕捉總體市場趨勢的變數，但在本研究之實證結果中，與利差交易之超額報酬的關係並不明顯，推測泰勒法則的合成過程可能隱瞞或消弭原始資料之資料特性。此外，觀察樣本區間內實證測試結果，發現實質匯率之資料，在景氣繁榮的金融穩定期時，能夠扮演預警的角色，因為根據二情境時序變動型馬可夫轉換模型之情境轉移機率矩陣估計的估計結果，發現實質匯率在多頭市場的情況下對於情境轉換有顯著的影響力，因此國際投資人能夠將實質匯率作為捕捉市場反轉與否的信號，建構相對應之投資策略，將情境因子列為考量，藉由預測下一期之情境使得投資人對於投資產生擇時機會，不論是發現市場將從多頭轉空，提早出場、或是預期市場會從空頭轉多，開始布局，都有助於增加利差交易之超額報酬。 參考文獻 Bansal, R., Dahlquist, M., 2000. The forward premium puzzle: different Tales from developed and emerging economies. Journal of International Economics 51 (1), 115–144. Beine, M., Laurent, S., Lecourt, C., 2003. Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis. European Economic Review 47(5): 891-911. Bekaert, G., Hodrick, B., 1993. On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance 12, 115–138. Bekaert, G., Wei, M., Xing, Y., 2007. Uncovered interest rate parity and the term structure. Journal of International Money and Finance 26 (6), 1038–1069. Bilson, John, 1981. The Speculative Efficiency Hypothesis, Journal of Business, Vol. 54(June), pp. 433–51. Bollen, N.P.B., Gray, S.F., Whaley, R.E., 2000. Regime switching in foreign exchange rates: evidence from currency option prices. Journal of Econometrics 94, 29–276. Chaboud, A., Wright, J., 2005. Uncovered Interest Parity: It Works, But Not For Long. Journal of International Economics 66, 349-362. Chinn, M. and G. Meredith, 2004. Monetary Policy and Long Horizon Uncovered Interest Parity, IMF Staff Papers, Vol. 51 No. 3, November, pp. 409-430. Dewachter, H., 2001. Can Markov switching models replicate chartist profits in the foreign exchange market? Journal of International Money and Finance 20, 25–41. Engel, C., 1994. Can the Markov switching model forecast rates? Journal of International Economics 36, 151–165. Fama, Eugene F. , 1984. Forward and Spot Exchange Rates. Journal of Monetary Economics 14:319–38. Hamilton, J.D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357–384. Hansen, L.P. and R.J. Hodrick , 1980. Forward Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy,Vol. 88, pp. 829-53. Lustig, H., and A. Verdelhan, 2007. The Cross-section of Foreign Currency Risk Premia and Consumption Growth Risk. American Economic Review 97:89–117. Lustig.H, N. Roussanov, and A. Verdelhan, 2011. Common risk factors in currency markets. Review of Financial Studies,24 (2011), pp. 3731–3777. MacDonald, R. and I. W. Marsh (1997), “On Casselian PPP, Cointegration and Exchange Rate Forecasting,” Review of Economics and Statistics, Vol. 79, 655–64. McCallum, Bennett T., 1994. A Reconsideration of the Uncovered Interest Parity Relationship, Journal of Monetary Economics, Vol. 33 (February), pp. 105–32. Menkhoff, L., Lucio, S., Maik, S., Schrimpf, A., 2012. Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67 (2012), pp. 681–718. Michael J. Moore , Maurice J. Roche, 2012. When does uncovered interest parity hold? Journal of International Money and Finance 31 (2012) 865–879. Michael Hulchison, Vladyslav Sushko, 2011. Impact of macroeconomics surprises on carry trade activity. Journal of Banking & Finance(2012), doi http://dx.doi.org/10.1016/j.jbankfin.2012.10.022 Nikolsko-Rzhevskyy, A.and Prodan, R., 2012. Markov switching and exchange rate predictability. International Journal of Forecasting, 28, 353-365. Ross, S. A., 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory 13:341–60. Taylor, J. B. (1993), “Discretion versus Policy Rules in Practice,” Carnegie Rochester Conference Series on Public Policy, 39, 195–214. Taylor, J. B. (2001), “The Role of the Exchange Rate in Monetary-Policy Rules,” American Economic Review, 91, 263–267. 楊凱文, 2001. 貨幣學派匯率決定理論之新臺幣對美元匯率實證研究. JEL classification:F31 楊鎰鴻, 2013.以情境轉換模型建構外匯投資組合績效分析.NCCU Master Thesis 姚睿、朱俊虹與吳俊毅 (2010)，「台灣泰勒法則估計之資料訊息問題」，臺灣經濟預測與政策，第四十一卷第一期，頁85-119。 描述 碩士
國立政治大學
金融研究所
101352013
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352013 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 周長隆 zh_TW dc.creator (作者) 周長隆 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 1-Jul-2014 12:07:06 (UTC+8) - dc.date.available 1-Jul-2014 12:07:06 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2014 12:07:06 (UTC+8) - dc.identifier (Other Identifiers) G0101352013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67101 - 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) 101352013 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 本研究探討國際投資人是否能夠藉由總體經濟指標、泰勒法則、以及匯率資料，捕捉無拋補利率平價假說的成立時間，以及判斷市場多空轉換的時間點，做好相對應的利差交易投資策略來獲得持續的超額報酬。利用時序變動型馬可夫轉換模型，分析2002年9月到2013年9月，共133個月之匯率資料，將樣本區間內的超額報酬資料根據資料特性利用模型分為兩個情境，再加入總體經濟指標變數、泰勒法則、以及匯率資料分析比較情境轉換因子對利差交易之超額報酬的關係。 經過實際驗證後的結果，發現泰勒法則雖然在文獻中扮演捕捉總體市場趨勢的變數，但在本研究之實證結果中，與利差交易之超額報酬的關係並不明顯，推測泰勒法則的合成過程可能隱瞞或消弭原始資料之資料特性。此外，觀察樣本區間內實證測試結果，發現實質匯率之資料，在景氣繁榮的金融穩定期時，能夠扮演預警的角色，因為根據二情境時序變動型馬可夫轉換模型之情境轉移機率矩陣估計的估計結果，發現實質匯率在多頭市場的情況下對於情境轉換有顯著的影響力，因此國際投資人能夠將實質匯率作為捕捉市場反轉與否的信號，建構相對應之投資策略，將情境因子列為考量，藉由預測下一期之情境使得投資人對於投資產生擇時機會，不論是發現市場將從多頭轉空，提早出場、或是預期市場會從空頭轉多，開始布局，都有助於增加利差交易之超額報酬。 zh_TW dc.description.tableofcontents 摘要 i 目錄 ii 表次 iii 圖次 iv 第一章、緒論 1 第一節、研究動機 1 第二節、研究目的 3 第二章、文獻回顧 4 第一節、利差交易 4 第二節、決定匯率的總體經濟因子 5 第三節、遠期貼水之謎 7 第四節、馬可夫轉換模型 8 第三章、資料描述與研究方法 9 第一節、樣本選擇與變數處理 9 第二節、研究方法 18 第四章、實證結果 22 第一節、一般馬可夫轉換模型實證 22 第二節、時序變動型馬可夫轉換模型實證 27 第五章、結論與建議 47 參考文獻 50 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352013 en_US dc.subject (關鍵詞) 泰勒法則 zh_TW dc.subject (關鍵詞) 情境轉換模型 zh_TW dc.subject (關鍵詞) 利差交易 zh_TW dc.title (題名) 總體經濟指標與利差交易之分析 zh_TW dc.title (題名) Analysis of Macroeconomic Indicators and Carry Trade en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Bansal, R., Dahlquist, M., 2000. The forward premium puzzle: different Tales from developed and emerging economies. Journal of International Economics 51 (1), 115–144. Beine, M., Laurent, S., Lecourt, C., 2003. Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis. European Economic Review 47(5): 891-911. Bekaert, G., Hodrick, B., 1993. On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance 12, 115–138. Bekaert, G., Wei, M., Xing, Y., 2007. Uncovered interest rate parity and the term structure. Journal of International Money and Finance 26 (6), 1038–1069. Bilson, John, 1981. The Speculative Efficiency Hypothesis, Journal of Business, Vol. 54(June), pp. 433–51. Bollen, N.P.B., Gray, S.F., Whaley, R.E., 2000. Regime switching in foreign exchange rates: evidence from currency option prices. Journal of Econometrics 94, 29–276. Chaboud, A., Wright, J., 2005. Uncovered Interest Parity: It Works, But Not For Long. Journal of International Economics 66, 349-362. Chinn, M. and G. Meredith, 2004. Monetary Policy and Long Horizon Uncovered Interest Parity, IMF Staff Papers, Vol. 51 No. 3, November, pp. 409-430. Dewachter, H., 2001. Can Markov switching models replicate chartist profits in the foreign exchange market? Journal of International Money and Finance 20, 25–41. Engel, C., 1994. Can the Markov switching model forecast rates? Journal of International Economics 36, 151–165. Fama, Eugene F. , 1984. Forward and Spot Exchange Rates. Journal of Monetary Economics 14:319–38. Hamilton, J.D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357–384. Hansen, L.P. and R.J. Hodrick , 1980. Forward Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy,Vol. 88, pp. 829-53. Lustig, H., and A. Verdelhan, 2007. The Cross-section of Foreign Currency Risk Premia and Consumption Growth Risk. American Economic Review 97:89–117. Lustig.H, N. Roussanov, and A. Verdelhan, 2011. Common risk factors in currency markets. Review of Financial Studies,24 (2011), pp. 3731–3777. MacDonald, R. and I. W. Marsh (1997), “On Casselian PPP, Cointegration and Exchange Rate Forecasting,” Review of Economics and Statistics, Vol. 79, 655–64. McCallum, Bennett T., 1994. A Reconsideration of the Uncovered Interest Parity Relationship, Journal of Monetary Economics, Vol. 33 (February), pp. 105–32. Menkhoff, L., Lucio, S., Maik, S., Schrimpf, A., 2012. Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67 (2012), pp. 681–718. Michael J. Moore , Maurice J. Roche, 2012. When does uncovered interest parity hold? Journal of International Money and Finance 31 (2012) 865–879. Michael Hulchison, Vladyslav Sushko, 2011. Impact of macroeconomics surprises on carry trade activity. Journal of Banking & Finance(2012), doi http://dx.doi.org/10.1016/j.jbankfin.2012.10.022 Nikolsko-Rzhevskyy, A.and Prodan, R., 2012. Markov switching and exchange rate predictability. International Journal of Forecasting, 28, 353-365. Ross, S. A., 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory 13:341–60. Taylor, J. B. (1993), “Discretion versus Policy Rules in Practice,” Carnegie Rochester Conference Series on Public Policy, 39, 195–214. Taylor, J. B. (2001), “The Role of the Exchange Rate in Monetary-Policy Rules,” American Economic Review, 91, 263–267. 楊凱文, 2001. 貨幣學派匯率決定理論之新臺幣對美元匯率實證研究. JEL classification:F31 楊鎰鴻, 2013.以情境轉換模型建構外匯投資組合績效分析.NCCU Master Thesis 姚睿、朱俊虹與吳俊毅 (2010)，「台灣泰勒法則估計之資料訊息問題」，臺灣經濟預測與政策，第四十一卷第一期，頁85-119。 zh_TW
