政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67099

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67099

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/67099

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67099

Title:	使用外匯隱含波動率建構利差交易策略-馬可夫轉換模型之應用 Carry trade strategies in FX market by use of FX implied volatility as an indicator - Application of Markov switching model
Authors:	張誠文 Chang, Cheng Wen
Contributors:	陳威光林靖庭 Chen, Wei Kuang Lin, Ching Ting 張誠文 Chang, Cheng Wen
Keywords:	利差交易馬可夫轉換模型外匯隱含波動率 carry trade Markov-switching model FX implied volatility
Date:	2013
Issue Date:	2014-07-01 12:06:43 (UTC+8)
Abstract:	本文的目的是希望建構利差交易策略，以極大化策略的夏普比率為目標，本文以外匯隱含波動率當作訊號指標建立，利差交易策略，以期望其績效表現能勝過績效指標。本篇論文主要發現如下。第一，本文使用8種貨幣來檢驗無拋補利率平價假說uncovered interest rate parity (UIP)，發現無拋補利率平價假說在所有貨幣中均不成立。第二，本文發現利率差可有效預測利差交易的報酬率，且利率差的係數隨著時間的推移而有遞減的現象。第三，本文使用馬可夫轉換模型把外匯市場分為低波動度及高波動度兩種狀態，並探討利率差、外匯隱含波動率及即期外匯變動率的關係，本文發現，低利率貨幣在高波動度狀態下傾向升值，且外匯隱含波動率是個不錯的指標，能用來判斷何時該平倉利差交易部位。　　最後，本文建立三個利差交易策略，分別為「持有到到期策略」、「外匯隱含波動率策略」及「組合式策略」，並把三種策略應用在澳元、紐元、墨西哥披索及巴西里爾四種貨幣上，以評估不同策略的績效表現。本文發現「外匯隱含波動率策略」在樣本內及樣本外期間，均能賺取穩定的報酬率，「組合式策略」的績效有時能擊敗「外匯隱含波動率策略」，但有時其績效大幅落後「外匯隱含波動率策略」及「持有到到期策略」。　　本文建議，若機構投資人的風險容忍度為一般水準，可以實施「外匯隱含波動率策略」以賺取穩定報酬；若機構投資人有較高的風險容忍度，則可使用「組合式策略」，以賺取較高的預期報酬率。 The purpose of this paper is to build carry trade strategies and try to maximize the Sharpe ratio. This paper uses FX implied volatility as an indicator to build carry trade strategies and tries to outperform performance benchmark. Main findings in our paper are as follows. First, this paper tests the uncovered interest rate parity (UIP) and finds that UIP doesn’t hold in eight currencies over different investment periods. Second, interest rate differentials can predict the return of carry trade and the coefficients of interest rate differentials tend to decrease over time (five out of eight currencies). Third, this paper uses two-stage Markov-switching model and divide the FX markets into high-volatility and low-volatility state to analysis the relationship between interest rate differentials, FX implied volatility and FX change. this paper finds that low-interest-rate currencies tend to appreciate in high-volatility state. this paper also finds that FX implied volatility is a useful indicator to predict FX change and can be used to determine when to close out carry trade positions. Finally, this paper creates three carry trade strategies (buy-and-hold strategy, FX implied volatility strategy, and combination strategy) to examine their performances in four currencies. This paper finds that FX implied volatility strategy generates stable returns in both in-sample and out-of-sample period. Combination strategy sometimes could outperform FX implied volatility strategy. It’s appropriate for institutions with average risk tolerance to implement carry trade using FX implied volatility strategy. For institutions with above-average risk tolerance could implement Combination strategy to earn potentially higher returns.
Reference:	Bacchetta, P., and E. V. Wincoop (2009). Infrequent portfolio decisions: a solution to the forward discount puzzle. Bansal, R., and M. Dahlquist. (2000). The forward premium puzzle: different tales from developed and emerging economies. Journal of International Economies ,51, 115-144. Brunnermeier, M. K., S. Nagel and L. H. Pedersen (2009). Carry Trades and Currency Crashes. National Bureau of Economic Research. Burnside, C., M. Eichenbaum and S. Rebelo. (2007). Understanding the forward premium puzzle: A microstructure approach. Chaboud, A. P. and J. H. Wright (2002). Uncovered interest parity: It works, but not for long. Board of Governors of the Federal Reserve System. Darvas, Z. (2009). Leveraged carry trade portfolios. Journal of Banking &Finance ,33, 944-957. Dunis, C.L. and J. Miao. (2007). Trading foreign exchange portfolios with volatility filters: the carry model revisited. Applied Financial Economics, 17, 249-255. Fong, W.M (2013). Footprints in the market: Hedge funds and the carry trade. Journal of International Money and Finance, 33, 41-59. Froot, K.A., R.H.Thaler. (1990). Anomalies: Foreign Exchange. The Journal of Economic Perspectives, Vol.4, No.3, pp.179-192. Ichiue, H. and K. Koyama. (2011). Regime switches in exchange rate volatility and uncovered interest parity. Journal of International Money and Finance ,30, 1436-1450. Lee, B.J. (2013).Uncovered interest rate parity puzzle: Asymmetric responses. International Review of Economics and Finance ,27 , 238-249. Young (2013). Using of Markov-switching model constructs the portfolio of foreign currency and evaluates performance. Graduate Institute of Money and Banking National Cheng-Chi University Master Thesis. Lothian, J.R., and L. Wu (2002). Uncovered interest-rate parity over the past two centuries. Journal of International Money and Finance ,30, 448–473. Alex, N.R., and A.and R. Prodan. (2012). Markov switching and exchange rate predictability. International Journal of Forecasting, 28, 353-365. Richard T. B., and T. Bollerslev. (2000). The forward premium anomaly is not as bad as you think. Journal of International Money and Finance ,19, 471-488.
Description:	碩士國立政治大學金融研究所 101352004 102
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0101352004
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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