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| Title: | 外匯干預下之台幣利差交易策略
Carry trade strategy in the intervention environment |
| Authors: | 葉柏宏 |
| Contributors: | 郭炳伸
葉柏宏 |
| Keywords: | 外匯干預
利差交易
利率平價說
風險溢酬 |
| Date: | 2016 |
| Issue Date: | 2016-09-01 23:38:08 (UTC+8) |
| Abstract: | 本文主張以台幣作為利差交易的主要貨幣, 並以兩種策略來降 低其所承受的風險。一為應用 Berge, Jorda and Taylor (2010)中引進實質面經濟變數的概念,將實質面中影響匯率的重要因素 加入預測式。二為根據台灣匯率制度的特殊性,本文再加入央行干預的替代變數, 構成兩種不同策略來提升利差交易的獲利。本文研究結果不僅開啟了台幣利差交易策略獲利的可能,亦發現央 行干預在短期對於歐元對台幣匯率的重大影響力。利用此影響力不僅讓台幣匯率的可預測性大幅提升,且利用此影響力更可讓台 幣利差交易的報酬提高將近5倍之多, 且此報酬無法被大盤風險溢酬所解釋。 |
| Reference: | 參考文獻
Bakshi, Gurdip, and George Panayotov (2013), “Predictability of currency carry trades and asset pricing implications.” Journal of Financial Economics, 110, 139−163.
Berge, Travis, Oscar Jorda, and Alan M. Taylor (2010),
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Macroeconomics, 357−387.
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Pedersen (2009), “Carry trades and currency crashes.” NBER Macroeconomics Annual, 23, 313−347.
Burnside, Craig, et al (2011). “Do Peso Problems Explain the Returns to the Carry Trade?” Review of Financial Studies, 24(3), 853−891.
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and Fundamentals: Nothing to Fear but FEER Itself.” Journal of International Economics, 88, 74−90.
Li, Ming (2010). “Improve the yen carry trade with economic fundamentals” Investment Management and Financial Innovations,7(4).
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(2011). “Common risk factors in currency market.” Review of Financial Studies, 24(11), 3731−3777.
陳旭昇 (2013), “央行 「阻升不阻貶」?−再探台灣匯率不對稱干預政策” 經濟論文叢刊, 40(4).
楊雅惠, 許嘉棟 (2005), “新臺幣匯率與央行干預行為” 臺灣經濟預測與政策, 35(2), 23−41. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
103351002 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103351002 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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