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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111325


    Title: 外匯市場之國家風險分析
    Country risk analysis in currency market
    Authors: 林毓翔
    Contributors: 林建秀
    林毓翔
    Keywords: 國家風險
    貨幣超額報酬
    利差交易
    動能策略
    Country risk
    Currency excess return
    Carry trade
    Momentum strategy
    Date: 2017
    Issue Date: 2017-07-24 12:03:57 (UTC+8)
    Abstract: 本研究對1985/1至2016/10期間，37種貨幣的超額報酬與國家風險進行實證分析，以The PRS Group發佈的ICRG綜合風險評級做為國家風險的衡量指標。各國貨幣分別進行時間序列分析的結果顯示，單一國家的國家風險與該國貨幣的匯率走勢及超額報酬並不存在顯著的關聯。

    投資組合分析的結果，對高國家風險貨幣與低國家風險貨幣分別執行利差交易，結果顯示兩者的超額報酬並沒有顯著差異。而動能策略在高國家風險貨幣則可以獲得顯著較高的超額報酬。

    Fama-Macbeth二步驟迴歸分析結果顯示，高國家風險的投資組合確實擁有較高的因子負載量，然而國家風險因子的市場價格，也就是承受一單位 β_CRISK獲得的國家風險溢酬太低不顯著，因此國家風險無法幫助解釋貨幣報酬。
    We empirically investigate the relation between currency excess returns and country risk, as measured by the ICRG comprehensive risk rating issued by The PRS Group, of 37 currencies during 1985/1 to 2016/10. The result of the single currency time series analysis shows that there is no significant correlation between the country risk and the exchange rate movement, also the currency excess return.

    As a result of the portfolio analysis, there is no significant difference in excess returns when we execute carry trade respectively on high country risk currencies and low country risk currencies. While the momentum strategy in the high country risk currencies can generate significantly higher excess return.

    The results of the Fama-Macbeth two-step regression show that the high-risk portfolios do have a higher factor loading, whereas the country risk factor`s market price, that is, the country risk premium received by a unit of β_CRISK, is too low. Therefore, country risk cannot help explain currency excess return.
    Reference: Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.
    Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annu. Rev. Financ. Econ., 3(1), 511-535.
    Cochrane, J. (2005). Asset Pricing, rev. ed. Princeton NJ.
    Daniel, K., Hodrick, R. J., & Lu, Z. (2014). The carry trade: Risks and drawdowns (No. w20433). National Bureau of Economic Research.
    Della Corte, P., Sarno, L., Schmeling, M., & Wagner, C. (2016). Exchange rates and sovereign risk.
    Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996). Political risk, economic risk and financial risk.
    Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
    Fama, E. F. (1984). Forward and spot exchange rates. Journal of monetary economics, 14(3), 319-338.
    Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of financial economics, 25(1), 23-49.
    Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
    Lustig, H., & Verdelhan, A. (2007). The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97(1), 89-117.
    Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24(11), 3731-3777.
    Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.
    Nagy, P. J. (1984). Country risk. Euromoney Publications.
    Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets?. Journal of Financial and Quantitative Analysis, 38(02), 425-447.
    張眾卓, & 王祝三. (2013). 臺灣時間序列與橫斷面股票報酬之研究: 不同模型設定, 投資組合建構以及樣本選擇下之再檢測. 經濟研究 (Taipei Economic Inquiry), 49(1), 31-88.
    何殷如. (2012). 全面解讀信用違約交換（CDS）.證券暨期貨管理雜誌社出版 證券暨期貨月刊 第三十卷 第十一期, 37-52
    Description: 碩士
    國立政治大學
    金融學系
    104352035
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104352035
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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