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政大機構典藏 > 商學院 > 經營管理碩士學程EMBA > 學位論文 > Item 140.119/77202

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77202

Title:	恐慌指數(VIX)與匯率的關係 The Relation Between Vix and Fx Rate
Authors:	黃呈耀
Contributors:	張元晨黃呈耀
Keywords:	恐慌指數貨幣型指數 VIX DBHVG10U
Date:	2015
Issue Date:	2015-08-03 13:24:19 (UTC+8)
Abstract:	本研究是由恐慌指數(VIX)與匯率升貶在短期間的互動關係。本研究使用德意志銀行旗下之DB Index Quant Group’s公司操作做利差交易貨幣型指數做為利差交易的替代變數，該指數利用3種多頭與3種空頭的貨幣作利差交易的標的。由指數的強弱，可反映出利差交易的報酬。而恐慌指數(VIX)是由CBOE(芝加哥選擇權交易所)在1993年推出，為指數選擇權含波動率加權平均後所得之指數。本研究採用單根與向量自我迴歸來檢驗恐慌指數(VIX)與利差交易貨幣型指數(DBHVG10U)的因果關係。經由2000年到2015年的實驗研究顯示，恐慌指數上升，會對美元指數有推昇的影響，但是美元指數的漲跌對恐慌指數的影響程度不顯著。
Reference:	1.Gagnon ,J. and A .Chaboud (2007), “What can the data tell us about carry trades in Japanese yen ? ” International Finance Discussion Papers. 2.Galati, G., A. Heath, and P. McGuire(2007), “Evidence of Carry Trade Activity.”, BIS Quarterly Review (September)： 27–41. 3. Jylha P.,J. Lyttinen and M. Suominen（2008）, “Arbitrage Capital and Currency Carry Trade Returns“, working paper. 4.Krugman, Paul (1979), “A Model of Balance-of-Payments Crises,’’ Journal of Money, Credit and Banking, vol.11, pp.311-25. 5.McCallum (2005) , “Monetary Policy and the Term Structure of Interest Rates”, Federal Reserve Bank of Richmond, Economic Quarterly, 91, 4.
Description:	碩士國立政治大學經營管理碩士學程(EMBA) 102932144
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0102932144
Data Type:	thesis
Appears in Collections:	[經營管理碩士學程EMBA] 學位論文

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