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題名 以情境轉換模型建構外匯投資組合績效分析 作者 楊鎰鴻 貢獻者 林建秀
楊鎰鴻關鍵詞 情境轉換模型
馬可夫鏈
無拋補的利率平價說日期 2014 上傳時間 5-Jan-2015 11:18:29 (UTC+8) 摘要 本研究為討探投資人是否可透過捕捉無拋補的利率平價說的成立期間以及預測其反轉時機，建構對應的投資策略以獲得顯著且持續的超額報酬，故採用情境轉換模型，以馬可夫鏈描述情境轉換行為，分析1999年至2012年的七個已開發經濟體的外匯資料，透過將樣本期間區分為三種情境，根據各情境特性決定相對應之最適資產配置，並以預期情境轉換機率決定投資組合調整時機，模擬投資人在現有可得資訊下所做的投資決策以檢定此投資策略是否能提升利差交易者的投資績效。 根據樣本外實證測試結果，考慮情境因子的模擬投資策略之報酬在99%的信賴水準下顯著優於買進持有利差交易策略，且可有效降低風險，在無拋補的利率平價說成立的景氣低迷時期投資策略表現尤佳，顯示納入情境因子的考量有助提升資產配置效率，藉由預期下一期的情境可使進行利差交易的投資人具備擇時機會，幫助預測未來景氣走勢並於空頭市場時承擔較低的風險並獲得相對優異的風險調整後報酬。 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.Bauer, R., Derwall, J. and Molenaar, R., 2004. The real-time predictability of the size and value premium in Japan. Pacific-Basin Finance Journal 12: 503–23.Bazdresch, S., Werner, A., 2005. Regime switching models for the Mexican peso. Journal of International Economics 65 (1): 185–201.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 54(June): 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.Brunnermeier, M.K., Nagel, S., Pedersen, L.H., 2009. Carry trades and currency crashes. NBER Macroeconomics Annual 23: 313–347.Burnside, C., Eichenbaum, M., Kleshchelski, I., Rebelo, S., 2011. Do Peso problems explain carry trade returns? The Review of Financial Studies 24 (3): 853–891.Cappiello, L., and R. A. De Santis, 2005. Explaining Exchange Rate Dynamics: The Uncovered Equity Return Parity Condition. ECB Working Paper 529. 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 51 (3): 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.Dornbusch, Rudiger, Stanley Fischer, and Paul A. Samuelson, 1980. Heckscher-Ohlin Trade Theory with a Continuum of Goods. Quarterly Journal of Economics 95 (2): 203–224. 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.Fama, Eugene F.and French, Kenneth R. , 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33 (1): 3–56.Fiess, N., Shankar, R., 2009. Determinants of exchange rate regime switching. Journal of International Money and Finance 28: 68–98.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 88: 829-53.Hau, H., and H. Rey, 2004. Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates? The American Economic Review 94: 126-133. Hsu, P., and C. Kuan., 2005. Reexamining the Profitability of Technical Analysis with Data Snooping Checks. Journal of Financial Econometrics 3 (2005): 606–628.Ichiue, H., and K. Koyama, 2011. Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity. Journal of International Money and Finance 30 (2011): 1436–1450.James R. Lothian , Liuren Wu, 2011. Uncovered interest-rate parity over the past two centuries. Journal of International Money and Finance 30 (2011): 448–473.Katechos, G., 2011. On the relationship between exchange rates and equity returns: a new approach. Journal of International Financial Markets, Institutions and Money 21: 550-559.Kim, K., 2003. Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model. Review of Financial Economics 12: 301-313.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): 3731–3777.McCallum, Bennett T., 1994. A Reconsideration of the Uncovered Interest Parity Relationship. Journal of Monetary Economics 33 (February): 105–32.Melvin, Michael, and Mark Taylor, 2009. The crisis in the FX market. Journal of International Money and Finance 28: 1317–1330.Menkhoff, L., Lucio, S., Maik, S., Schrimpf, A., 2012. Carry Trades and Global Foreign Exchange Volatility. Journal of Finance 67 (2012): 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.Nieh, C. C., and Lee, C. F. , 2001. Dynamic relationship between stock prices and exchange rates for G-7 countries. Quarterly Review of Economics and Finance 41 (4): 477–490.Nikolsko-Rzhevskyy, A.and Prodan, R., 2012. Markov switching and exchange rate predictability. International Journal of Forecasting 28: 353-365. Okunev, J. and White, D. ,2003. Do momentum-based strategies still work in foreign exchange markets? Journal of Financial and Quantitative Analysis 38: 425–447.Phylaktis K., Ravazzolo F., 2005. Stock prices and exchange rate dynamics. Journal of International Money and Finance 24 (2005): 1031–1053.Ross, S. A., 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory 13: 341–60.Sharpe, William F., 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19 (3): 425-442. Wilfling B., 2009. Volatility regime-switching in European exchange rates prior to monetary unification. Journal of International Money and Finance 28 (2009): 240–27. 描述 碩士
國立政治大學
金融研究所
100352021
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003520212 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 楊鎰鴻 zh_TW dc.creator (作者) 楊鎰鴻 zh_TW dc.date (日期) 2014 en_US dc.date.accessioned 5-Jan-2015 11:18:29 (UTC+8) - dc.date.available 5-Jan-2015 11:18:29 (UTC+8) - dc.date.issued (上傳時間) 5-Jan-2015 11:18:29 (UTC+8) - dc.identifier (Other Identifiers) G1003520212 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/72532 - 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) 100352021 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 本研究為討探投資人是否可透過捕捉無拋補的利率平價說的成立期間以及預測其反轉時機，建構對應的投資策略以獲得顯著且持續的超額報酬，故採用情境轉換模型，以馬可夫鏈描述情境轉換行為，分析1999年至2012年的七個已開發經濟體的外匯資料，透過將樣本期間區分為三種情境，根據各情境特性決定相對應之最適資產配置，並以預期情境轉換機率決定投資組合調整時機，模擬投資人在現有可得資訊下所做的投資決策以檢定此投資策略是否能提升利差交易者的投資績效。 根據樣本外實證測試結果，考慮情境因子的模擬投資策略之報酬在99%的信賴水準下顯著優於買進持有利差交易策略，且可有效降低風險，在無拋補的利率平價說成立的景氣低迷時期投資策略表現尤佳，顯示納入情境因子的考量有助提升資產配置效率，藉由預期下一期的情境可使進行利差交易的投資人具備擇時機會，幫助預測未來景氣走勢並於空頭市場時承擔較低的風險並獲得相對優異的風險調整後報酬。 zh_TW dc.description.tableofcontents 摘要 i目次 ii表次 iii圖次 iv第壹章 緒論 1第一節 研究動機 1第二節 研究目的 3第貳章 文獻回顧 4第一節 影響匯率的因子 4第二節 無拋補的利率平價說 6第三節 情境轉換模型 8第四節 交易策略 9第參章 樣本選擇與研究方法 10第一節 樣本選擇與資料來源 10第二節 研究方法 12第肆章 建立交易策略與實證結果 19第一節 樣本內測試 19第二節 樣本外測試 30第伍章 結論與建議 36第一節 結論 36第二節 研究建議 38參考文獻 39 zh_TW dc.format.extent 916015 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1003520212 en_US dc.subject (關鍵詞) 情境轉換模型 zh_TW dc.subject (關鍵詞) 馬可夫鏈 zh_TW dc.subject (關鍵詞) 無拋補的利率平價說 zh_TW dc.title (題名) 以情境轉換模型建構外匯投資組合績效分析 zh_TW 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.Bauer, R., Derwall, J. and Molenaar, R., 2004. The real-time predictability of the size and value premium in Japan. Pacific-Basin Finance Journal 12: 503–23.Bazdresch, S., Werner, A., 2005. Regime switching models for the Mexican peso. Journal of International Economics 65 (1): 185–201.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 54(June): 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.Brunnermeier, M.K., Nagel, S., Pedersen, L.H., 2009. Carry trades and currency crashes. NBER Macroeconomics Annual 23: 313–347.Burnside, C., Eichenbaum, M., Kleshchelski, I., Rebelo, S., 2011. Do Peso problems explain carry trade returns? The Review of Financial Studies 24 (3): 853–891.Cappiello, L., and R. A. De Santis, 2005. Explaining Exchange Rate Dynamics: The Uncovered Equity Return Parity Condition. ECB Working Paper 529. 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 51 (3): 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.Dornbusch, Rudiger, Stanley Fischer, and Paul A. Samuelson, 1980. Heckscher-Ohlin Trade Theory with a Continuum of Goods. Quarterly Journal of Economics 95 (2): 203–224. 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.Fama, Eugene F.and French, Kenneth R. , 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33 (1): 3–56.Fiess, N., Shankar, R., 2009. Determinants of exchange rate regime switching. Journal of International Money and Finance 28: 68–98.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 88: 829-53.Hau, H., and H. Rey, 2004. Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates? The American Economic Review 94: 126-133. Hsu, P., and C. Kuan., 2005. Reexamining the Profitability of Technical Analysis with Data Snooping Checks. Journal of Financial Econometrics 3 (2005): 606–628.Ichiue, H., and K. Koyama, 2011. Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity. Journal of International Money and Finance 30 (2011): 1436–1450.James R. Lothian , Liuren Wu, 2011. Uncovered interest-rate parity over the past two centuries. Journal of International Money and Finance 30 (2011): 448–473.Katechos, G., 2011. On the relationship between exchange rates and equity returns: a new approach. Journal of International Financial Markets, Institutions and Money 21: 550-559.Kim, K., 2003. Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model. Review of Financial Economics 12: 301-313.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): 3731–3777.McCallum, Bennett T., 1994. A Reconsideration of the Uncovered Interest Parity Relationship. Journal of Monetary Economics 33 (February): 105–32.Melvin, Michael, and Mark Taylor, 2009. The crisis in the FX market. Journal of International Money and Finance 28: 1317–1330.Menkhoff, L., Lucio, S., Maik, S., Schrimpf, A., 2012. Carry Trades and Global Foreign Exchange Volatility. Journal of Finance 67 (2012): 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.Nieh, C. C., and Lee, C. F. , 2001. Dynamic relationship between stock prices and exchange rates for G-7 countries. Quarterly Review of Economics and Finance 41 (4): 477–490.Nikolsko-Rzhevskyy, A.and Prodan, R., 2012. Markov switching and exchange rate predictability. International Journal of Forecasting 28: 353-365. Okunev, J. and White, D. ,2003. Do momentum-based strategies still work in foreign exchange markets? Journal of Financial and Quantitative Analysis 38: 425–447.Phylaktis K., Ravazzolo F., 2005. Stock prices and exchange rate dynamics. Journal of International Money and Finance 24 (2005): 1031–1053.Ross, S. A., 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory 13: 341–60.Sharpe, William F., 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19 (3): 425-442. Wilfling B., 2009. Volatility regime-switching in European exchange rates prior to monetary unification. Journal of International Money and Finance 28 (2009): 240–27. zh_TW
