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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/101060


    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),
    “Currency Carry Trades.” NBER International Seminar on
    Macroeconomics, 357−387.

    Brunnermeier, Markus K., Stefan Nagel, and Lasse H.
    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.

    Daniel, Kent, Robert J. Hodrick, and Zhongjin Lu (2016) .
    “The carry trade: risk and drawdowns.” National Bureau of
    Economic Research, No. w20433.

    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.
    Giacomini, Raffaella, and Halbert White (2006), “Tests of
    Conditional Predictive Ability.” Econometrica , 74(6).

    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.

    Li, Ming (2010). “Improve the yen carry trade with economic fundamentals” Investment Management and Financial Innovations,7(4).

    Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan
    (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:[Department of International Business] Theses

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