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題名 利差交易新風險因子：無風險實質利率
Risk Free Real Rate as a New Risk Factor to Carry Trades作者 林品傑 貢獻者 郭炳伸
林品傑關鍵詞 利差交易
風險溢酬
隨機貼現因子
資產定價
風險因子日期 2015 上傳時間 3-Aug-2015 13:16:40 (UTC+8) 摘要 未拋補利率平價說的不成立，衍伸出平均報酬大於零的利差交易(carry trades)。過去基於風險解釋的文獻，提出各種風險因子欲歸因此套利策略的不尋常超額報酬，實為承擔不同風險的額外補償，亦即風險溢酬(risk premium)。不同的風險因子可略分為兩派：一為有經濟理論根據，卻在實證上未獲支持的「消費成長因子」；二為在實證上具顯著解釋力的「外匯相關因子」，卻無理論依據而難以賦予利差交易報酬經濟意義。本文主張以無風險實質利率作為風險因子。此想法源於隨機貼現因子(stochastic discount factor)之定義式以及現實環境中的觀察。我們的實證發現，實質化的美國公債利率對於利差交易的報酬有顯著的定價能力。本文更進一步驗證，本因子甚至比起文獻上的外匯波動度因子，更具顯著的定價能力。另外，本因子亦能解釋動能利差交易之報酬，此為高減低因子所不能定價的報酬。 參考文獻 Akram, Farooq, Dagfinn Rime, and Lucio Sarno (2008), “ Arbitrage in the foreign exchange market: Turning on the microscope” Journal of International Economics, 76, 237−253.Berge, Travis, Oscar Jorda, and Alan M. Taylor. (2010), “Currency Carry Trades” NBER International Seminar on Macroeconomics 2010, 357−387.Burnside, Craig. (2011), “Carry Trades and Risk.” Handbook of Exchange Rate, Edited by Jessica James, Ian W. Marsh3 andLucio Sarno, 283−312.Campbell, John Y. (2003), “Consumption-based Asset Pring” Handbook of the Economics of Finance, 802−885Edited by G.M. Constantinides, M. Harris and R. Stul.Cochrane, John H. (2001), “ Consumption-Based Model and Overview” Asset Pricing, 13−40, Princeton University Press, 2009.Engel, Charles. (1996), “The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence” Journal of Empirical Finance, 3, 123−192.Fama, Eugene F. (1984), “Forward and Spot Exchange Rates” Journal of Monetary Economics, 14, 319−338.Hansen, Lars Peter. (1982), “Large Sample Properties of Generalized Method of Moments Estimators” Econometrica, 50, 1029−1054.Hodrick, Robert J. (1987), The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets, Harwood Academic Publishers, Chur, Switzerland.Jorda, Oscar and Alan M. Taylor. (2012), “The Carry Trade and Fundamentals: Nothing to Fear but FEER Itself” Journal of International Economics, 88, 74−90.Lucas, Robert E. (1978), “Asset Prices in an Exchange Economy ” Econo- metrica, 46, 1429−1445.Lustig, Hanno and Adrien Verdelhan. (2007), “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk” The American Economic Review, 91(1), 90−115.Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan. (2009), “Common Risk Factors in Currency Markets.” SSRN paper, 1139447.Menkhoff, Lukas, Lucio Sarno, Maik Schmeling, and Andreas Schrimpf. (2010), “Carry Trades and Global Foreign Exchange Volatility.” SSRN paper, 1342968.Merk, Axel, Yuan Fang, and Kieran Osborne (2012), “ G10 Currencies: A Monetary Policy Analysis” Published by Merk Investments.Rafferty, Barry (2012), “ Currency Returns, Skewness and Crash Risk”, Working Paper, Duke University.Wooldridge, Jeffrey M. (2012), Introductory Econometrics: A modern Approach 5th Edition, South-Western, Cengage Learning. 描述 碩士
國立政治大學
國際經營與貿易研究所
103351007資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103351007 資料類型 thesis dc.contributor.advisor 郭炳伸 zh_TW dc.contributor.author (Authors) 林品傑 zh_TW dc.creator (作者) 林品傑 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 3-Aug-2015 13:16:40 (UTC+8) - dc.date.available 3-Aug-2015 13:16:40 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2015 13:16:40 (UTC+8) - dc.identifier (Other Identifiers) G0103351007 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/77150 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 103351007 zh_TW dc.description.abstract (摘要) 未拋補利率平價說的不成立，衍伸出平均報酬大於零的利差交易(carry trades)。過去基於風險解釋的文獻，提出各種風險因子欲歸因此套利策略的不尋常超額報酬，實為承擔不同風險的額外補償，亦即風險溢酬(risk premium)。不同的風險因子可略分為兩派：一為有經濟理論根據，卻在實證上未獲支持的「消費成長因子」；二為在實證上具顯著解釋力的「外匯相關因子」，卻無理論依據而難以賦予利差交易報酬經濟意義。本文主張以無風險實質利率作為風險因子。此想法源於隨機貼現因子(stochastic discount factor)之定義式以及現實環境中的觀察。我們的實證發現，實質化的美國公債利率對於利差交易的報酬有顯著的定價能力。本文更進一步驗證，本因子甚至比起文獻上的外匯波動度因子，更具顯著的定價能力。另外，本因子亦能解釋動能利差交易之報酬，此為高減低因子所不能定價的報酬。 zh_TW dc.description.tableofcontents 1. 緒論 p.12. 新風險因子－無風險實質利率 p.92.1 隨機貼現因子 p.92.2 無風險實質利率 p.132.3 美國公債實質利率 p.163. 實證結果 p.253.1 即期與遠期匯率 p.253.2 利差交易報酬 p.263.2.1 投資組合建構 p.263.2.2 投資組合報酬計算 p.283.3 報酬之敘述性統計 p.303.4 風險因子－無風險實質利率計算 p.323.5 實證結果 p.333.5.1 利差交易報酬定價 p.333.5.2 利差交易報酬與風險 p.353.5.3 風險因子之價格 p.384. 穩健性分析 p.424.1 其他因子之比較 p.424.2 動能利差交易 p.455. 結論 p.48 zh_TW dc.format.extent 1397405 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103351007 en_US dc.subject (關鍵詞) 利差交易 zh_TW dc.subject (關鍵詞) 風險溢酬 zh_TW dc.subject (關鍵詞) 隨機貼現因子 zh_TW dc.subject (關鍵詞) 資產定價 zh_TW dc.subject (關鍵詞) 風險因子 zh_TW dc.title (題名) 利差交易新風險因子：無風險實質利率 zh_TW dc.title (題名) Risk Free Real Rate as a New Risk Factor to Carry Trades en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Akram, Farooq, Dagfinn Rime, and Lucio Sarno (2008), “ Arbitrage in the foreign exchange market: Turning on the microscope” Journal of International Economics, 76, 237−253.Berge, Travis, Oscar Jorda, and Alan M. Taylor. (2010), “Currency Carry Trades” NBER International Seminar on Macroeconomics 2010, 357−387.Burnside, Craig. (2011), “Carry Trades and Risk.” Handbook of Exchange Rate, Edited by Jessica James, Ian W. Marsh3 andLucio Sarno, 283−312.Campbell, John Y. (2003), “Consumption-based Asset Pring” Handbook of the Economics of Finance, 802−885Edited by G.M. Constantinides, M. Harris and R. Stul.Cochrane, John H. (2001), “ Consumption-Based Model and Overview” Asset Pricing, 13−40, Princeton University Press, 2009.Engel, Charles. (1996), “The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence” Journal of Empirical Finance, 3, 123−192.Fama, Eugene F. (1984), “Forward and Spot Exchange Rates” Journal of Monetary Economics, 14, 319−338.Hansen, Lars Peter. (1982), “Large Sample Properties of Generalized Method of Moments Estimators” Econometrica, 50, 1029−1054.Hodrick, Robert J. (1987), The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets, Harwood Academic Publishers, Chur, Switzerland.Jorda, Oscar and Alan M. Taylor. (2012), “The Carry Trade and Fundamentals: Nothing to Fear but FEER Itself” Journal of International Economics, 88, 74−90.Lucas, Robert E. (1978), “Asset Prices in an Exchange Economy ” Econo- metrica, 46, 1429−1445.Lustig, Hanno and Adrien Verdelhan. (2007), “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk” The American Economic Review, 91(1), 90−115.Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan. (2009), “Common Risk Factors in Currency Markets.” SSRN paper, 1139447.Menkhoff, Lukas, Lucio Sarno, Maik Schmeling, and Andreas Schrimpf. (2010), “Carry Trades and Global Foreign Exchange Volatility.” SSRN paper, 1342968.Merk, Axel, Yuan Fang, and Kieran Osborne (2012), “ G10 Currencies: A Monetary Policy Analysis” Published by Merk Investments.Rafferty, Barry (2012), “ Currency Returns, Skewness and Crash Risk”, Working Paper, Duke University.Wooldridge, Jeffrey M. (2012), Introductory Econometrics: A modern Approach 5th Edition, South-Western, Cengage Learning. zh_TW
