政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111325
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113392/144379 (79%)
造访人次 : 51222157      在线人数 : 897
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/111325


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/111325


    题名: 外匯市場之國家風險分析
    Country risk analysis in currency market
    作者: 林毓翔
    贡献者: 林建秀
    林毓翔
    关键词: 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
    日期: 2017
    上传时间: 2017-07-24 12:03:57 (UTC+8)
    摘要: 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.
    參考文獻: 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
    描述: 碩士
    國立政治大學
    金融學系
    104352035
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104352035
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    203501.pdf1426KbAdobe PDF228检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈