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題名 NDF利差交易策略實證
FX Carry Trades Strategy：the Case of NDF currencies
作者 郭俊宏
貢獻者 張元晨
郭俊宏
關鍵詞 NDF
無本金交割遠期外匯
受拋補利差
利差交易
交易策略
日期 2013
上傳時間 14-Jul-2014 11:25:09 (UTC+8)
摘要 在本篇文章中我們希望能建構一個以NDF貨幣為主的利差交易最適交易策略，並將以往使UIP無法成立的各種因素利用羅吉斯迴歸模型及線性迴歸模型融合成一個平倉指標，用以適時地結清部位甚至反向操作，並審視各種變數進入平倉指標對於報酬的預測能力，以期此交易策略能夠達到更高的報酬表現。\n 而實證結果顯示反映資本控制程度的受拋補利差(Covered Interest Differential)與市場流動性風險指標之一的泰德價差(TED Spread)能有效捕捉重大虧損的發生，投資組合利差(Carry)對於報酬也有顯著影響但程度不如受拋補利差。此外也發現使用多頭策略(Long-Netural)相對於多空策略(Long-Short)能到更高的夏普值，而利用所選變數在每周針對逐一貨幣篩選也會比單純判斷每周是否進行利差交易得到更好的夏普值。
參考文獻 [1] Bansal, R., and Dahlquist, M., 2000. The forward premium puzzle: different tales from developed and emerging economies. Journal of International Economics 51, 115–144.\n[2] Bansal, R., and Shaliastovich, I., 2008. A long-run risks explanation of predictability puzzles in bond and currency markets, working paper, Duke University.\n[3] Brunnermeier, M.K., Nagel, S., and Pedersen, L.H., 2009. Carry trades and currency crashes, NBER Macroeconomics Annual 2008 23, 313–347.\n[4] Brunnermeier, M.K., and Pedersen, L.H., 2009. Market liquidity and funding liquidity, Review of Financial Studies 22, 2201–2238.\n[5] Burnside, C., 2011. The forward premium is still a puzzle, American Economic Review (forthcoming).\n[6] Burnside, C., Eichenbaum, M., Kleshchelski, I., and Rebelo, S., 2006. The returns to currency speculation, NBER Working Paper No. 12489.\n[7] Burnside, C., Eichenbaum, M., Kleshchelski, I., and Rebelo, S., 2011. Do Peso problems explain the returns to the carry trade? Review of Financial Studies (forthcoming).\n[8] Burnside, C., Eichenbaum, M., and Rebelo, S., 2007. The returns to currency speculation in emerging markets, American Economic Review (Papers and Proceedings) 97, 333–338.\n[9] Burnside, C., Eichenbaum, M. and Rebelo, S., 2009. Understanding the forward premium puzzle: A microstructure approach, American Economic Journal: Macroeconomics 1, 127–154.\n[10] Chaboud, A.P. and Jonathan, H.W., 2005. Uncovered Interest Rate Parity: It Works, But Not For Long, Journal of International Economics 66, 2, 349-362.\n[11] Chung, J., and Hong, Y., 2007. Model-Free Evaluation of Directional Predictability in Foreign Exchange Markets, Journal of Applied Econometrics, 22, 855-889. [233]\n[12] Doukas, J. A. and Zhang, H., 2013. The performance of NDF carry trades. Journal of International Money and Finance 36, 172-190.\n[13] Frankel, J., 1992. Measuring international capital mobility: a review. American Economic Review 82, 197–202.\n[14] Hutchison, M., Pasricha, G., and Nirvikar S., 2012. Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market, IMF Economic Review, 60, 3: 395-438. \n[15] Kumhof, M., 2001. International capital mobility in emerging markets: new evidence from daily data. Review of International Economics 9, 626–640.\n[16] Lustig, H., Roussanov, N. and Verdelhan, A., 2011, Common risk factors in currency markets, Review of Financial Studies (forthcoming).\n[17] Lustig, H. and Verdelhan, A., 2007. The cross section of foreign currency risk premia and consumption growth risk, American Economic Review 97, 89–117.\n[18] Lustig, H. and Verdelhan, A., 2004. The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk, Manuscript, University of Chicago and UCLA.\n[19] Lyons, R. and Rose, A., 1995. Explaining Forward Exchange Bias … Intraday, Journal of Finance 50: 1321-1329. \n[20] Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A., 2012. Carry trades and global foreign exchange volatility. Journal of Finance 67, 681–718.\n[21] Obstfeld, M., 1995. International capital mobility in the 1990s. In: Kennen, P.B. (Ed.), Understanding Interdependence: The Macroeconomics of the Open Economy. Princeton University Press, Princeton.\n[22] Peng, H.Y., 2010. FX Carry Trades Strategy: the Case of G10 Currencies. National Taiwan University Master Thesis.\n[23] Verdelhan, Adrien, 2010. A habit-based explanation of the exchange rate risk premium, Journal of Finance 65, 123–145.\n[24] Yogo, Motohiro, 2006. A consumption-based explanation of expected stock returns, Journal of Finance 61, 539–580.
描述 碩士
國立政治大學
財務管理研究所
101357027
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101357027
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.author (Authors) 郭俊宏zh_TW
dc.creator (作者) 郭俊宏zh_TW
dc.date (日期) 2013en_US
dc.date.accessioned 14-Jul-2014 11:25:09 (UTC+8)-
dc.date.available 14-Jul-2014 11:25:09 (UTC+8)-
dc.date.issued (上傳時間) 14-Jul-2014 11:25:09 (UTC+8)-
dc.identifier (Other Identifiers) G0101357027en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=75794-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 101357027zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 在本篇文章中我們希望能建構一個以NDF貨幣為主的利差交易最適交易策略，並將以往使UIP無法成立的各種因素利用羅吉斯迴歸模型及線性迴歸模型融合成一個平倉指標，用以適時地結清部位甚至反向操作，並審視各種變數進入平倉指標對於報酬的預測能力，以期此交易策略能夠達到更高的報酬表現。\n 而實證結果顯示反映資本控制程度的受拋補利差(Covered Interest Differential)與市場流動性風險指標之一的泰德價差(TED Spread)能有效捕捉重大虧損的發生，投資組合利差(Carry)對於報酬也有顯著影響但程度不如受拋補利差。此外也發現使用多頭策略(Long-Netural)相對於多空策略(Long-Short)能到更高的夏普值，而利用所選變數在每周針對逐一貨幣篩選也會比單純判斷每周是否進行利差交易得到更好的夏普值。zh_TW
dc.description.tableofcontents 第一章 緒論 1\n 第一節 研究背景 1\n 第二節 研究目的 2\n 第三節 研究架構 2\n第二章 文獻回顧 4\n第三章 研究方法 9\n 第一節 變數說明 12\n 第一項 被解釋變數-利差交易投資組合報酬 12\n 第二項 解釋變數 13\n 第二節 資料來源 16\n第四章 實證結果 18\n 第一節 羅吉斯迴歸模型 18\n 第一項 樣本內測試 23\n 第二節 線性迴歸模型 25\n 第一項 樣本內測試 26\n 第二項 樣本外測試 26\n 第二節 穩健性測試 29\n 第三節 分幣別篩選與敘述統計結果 30\n第五章 結論及後續研究建議 33\n 第一節 研究結論 33\n 第二節 研究限制 34\n 第三節 後續研究建議 34\n附件 35\n參考文獻 37zh_TW
dc.format.extent 1719447 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101357027en_US
dc.subject (關鍵詞) NDFzh_TW
dc.subject (關鍵詞) 無本金交割遠期外匯zh_TW
dc.subject (關鍵詞) 受拋補利差zh_TW
dc.subject (關鍵詞) 利差交易zh_TW
dc.subject (關鍵詞) 交易策略zh_TW
dc.title (題名) NDF利差交易策略實證zh_TW
dc.title (題名) FX Carry Trades Strategy：the Case of NDF currenciesen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1] Bansal, R., and Dahlquist, M., 2000. The forward premium puzzle: different tales from developed and emerging economies. Journal of International Economics 51, 115–144.\n[2] Bansal, R., and Shaliastovich, I., 2008. A long-run risks explanation of predictability puzzles in bond and currency markets, working paper, Duke University.\n[3] Brunnermeier, M.K., Nagel, S., and Pedersen, L.H., 2009. Carry trades and currency crashes, NBER Macroeconomics Annual 2008 23, 313–347.\n[4] Brunnermeier, M.K., and Pedersen, L.H., 2009. Market liquidity and funding liquidity, Review of Financial Studies 22, 2201–2238.\n[5] Burnside, C., 2011. The forward premium is still a puzzle, American Economic Review (forthcoming).\n[6] Burnside, C., Eichenbaum, M., Kleshchelski, I., and Rebelo, S., 2006. The returns to currency speculation, NBER Working Paper No. 12489.\n[7] Burnside, C., Eichenbaum, M., Kleshchelski, I., and Rebelo, S., 2011. Do Peso problems explain the returns to the carry trade? Review of Financial Studies (forthcoming).\n[8] Burnside, C., Eichenbaum, M., and Rebelo, S., 2007. The returns to currency speculation in emerging markets, American Economic Review (Papers and Proceedings) 97, 333–338.\n[9] Burnside, C., Eichenbaum, M. and Rebelo, S., 2009. Understanding the forward premium puzzle: A microstructure approach, American Economic Journal: Macroeconomics 1, 127–154.\n[10] Chaboud, A.P. and Jonathan, H.W., 2005. Uncovered Interest Rate Parity: It Works, But Not For Long, Journal of International Economics 66, 2, 349-362.\n[11] Chung, J., and Hong, Y., 2007. Model-Free Evaluation of Directional Predictability in Foreign Exchange Markets, Journal of Applied Econometrics, 22, 855-889. [233]\n[12] Doukas, J. A. and Zhang, H., 2013. The performance of NDF carry trades. Journal of International Money and Finance 36, 172-190.\n[13] Frankel, J., 1992. Measuring international capital mobility: a review. American Economic Review 82, 197–202.\n[14] Hutchison, M., Pasricha, G., and Nirvikar S., 2012. Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market, IMF Economic Review, 60, 3: 395-438. \n[15] Kumhof, M., 2001. International capital mobility in emerging markets: new evidence from daily data. Review of International Economics 9, 626–640.\n[16] Lustig, H., Roussanov, N. and Verdelhan, A., 2011, Common risk factors in currency markets, Review of Financial Studies (forthcoming).\n[17] Lustig, H. and Verdelhan, A., 2007. The cross section of foreign currency risk premia and consumption growth risk, American Economic Review 97, 89–117.\n[18] Lustig, H. and Verdelhan, A., 2004. The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk, Manuscript, University of Chicago and UCLA.\n[19] Lyons, R. and Rose, A., 1995. Explaining Forward Exchange Bias … Intraday, Journal of Finance 50: 1321-1329. \n[20] Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A., 2012. Carry trades and global foreign exchange volatility. Journal of Finance 67, 681–718.\n[21] Obstfeld, M., 1995. International capital mobility in the 1990s. In: Kennen, P.B. (Ed.), Understanding Interdependence: The Macroeconomics of the Open Economy. Princeton University Press, Princeton.\n[22] Peng, H.Y., 2010. FX Carry Trades Strategy: the Case of G10 Currencies. National Taiwan University Master Thesis.\n[23] Verdelhan, Adrien, 2010. A habit-based explanation of the exchange rate risk premium, Journal of Finance 65, 123–145.\n[24] Yogo, Motohiro, 2006. A consumption-based explanation of expected stock returns, Journal of Finance 61, 539–580.zh_TW