政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/98855

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/98855

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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/98855

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/98855

題名:	利用主成份分析法探討外匯市場風險 Discussions of Risks in Currency Markets from the Perspective of Principal Component Analysis
作者:	郭芝岑 Kuo, Chih Chin
貢獻者:	林建秀 Lin, Chien Hsiu 郭芝岑 Kuo, Chih Chin
關鍵詞:	無拋補利率平價利差交易平均超額報酬利差報酬主成份分析 Uncovered interest rate parity Carry trade Dollar return Carry trade return Principal component analysis
日期:	2016
上傳時間:	2016-07-11 17:04:31 (UTC+8)
摘要:	本文主要在探討在較為短的時間段以及不同的金融環境之下，是否仍然能捕捉到匯率市場中主要解釋投組報酬變動的共同風險因子－平均超額報酬以及利差報酬。我們依據重要金融事件將全樣本分為八個子樣本；總共使用39種幣別並將1983年11月至2015年10月的遠期貼水由小到大排序後，依序建構六個投資組合。全文以美國投資者的觀點出發。結果顯示平均超額報酬無論是在長期或短期的時間段下，仍然為匯率市場中解釋匯率報酬變動的主要風險因子。然而，利差報酬則不然。在銀行危機期間，利差報酬與第二主要成分之相關係數皆為高度負相關。近期自2008年次貸危機開始，利差報酬與解釋投組變動的第二主要成分之相關係數也從先前的0.8~0.9降至-0.80.此結果顯示利差交易似乎在次貸危機之後有所轉變。此外利差風險因子無法有效的解釋動能報酬。 This paper investigates whether or not the common risk factors, dollar and carry trade risk, in currency markets proposed by Lustig, Roussanov and Verdelhan (2011) will still exist even under a short-run period with a concern of different financial backgrounds. A split of full sample into eight subsamples with respect of financial events is made. A total of 39 currencies is used to build six portfolios on the basis of the forward discounts from November 1983 to October 2015. The whole paper is in the view of an American investor. The finding suggests that under both long-run and short-run period, the dollar return is always the common factor in currency markets. However, it is not the same case for the carry trade return. During bank crises, the carry trade return is strongly negative correlated with the second component. The carry trade return turns out to have a negative correlation with the second component during and after the subprime crisis, decreasing from 0.8~0.9 in the previous subsamples to -0.80. It indicates that the desirability of carry trade activities has changed since the subprime crisis. Besides, the carry trade risk has a little power to explain the variations of momentum returns.
參考文獻:	Anderson, S. (2000). A hsitory of the past 40 years in financial crises. Retrieved from International Financing Review: http://www.ifre.com/a-history-of-the-past-40-years-in-financial-crises/21102949.fullarticle Baillie, R. T., & Cho, D. (2014). When carry trades in currency markets are not profitable. Review of Development Economics, 794-803. Bilson, J. (1981). The "speculative efficiency"hypothesis. Journal of Business, 435-451. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry tradde and momentum in currency markets . The Annual Review of Financial Economics, 511-535. Cenedese, G., Sarno, L., & Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 302-313. Christiansen, C., Ranaldo, A., & Soderlind, P. (2011). The time-varying systematic risk of carry trade strategies . The Journal of Financial and Quantitative Analysis , 1107-1125. Engel, C. (1996). The forward discount anomaly and the risk premium: the survey of recent evidence. J. Empir. Finance, 123-192. Fama, E. F. (1984). Forward and spot exchange rate . Journal of Monetary Economics, 319-338. Fama, E. F., & French, K. (1993). Common risk factors in the returns on stocks and bonds . Journal of Financial Economics, 3-56. Hodrick , R. (1987). The empirical evidence on the efficiency of forward and furue foreign exchange rate. Chur:Harwood. Kim, D., & Song, C. (2015). Bank default risk and carry trade profit . Economic Letters, 117-119. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currrency markets . Reiviws of Financial Studies, 3731-3777. Markus, K. B., Stefan , N., & Lasse, H. P. (2008). Carry trades and currency crashes. Working paper No.14473,NBER,Cambridge. McDonald, R., & Nagayasu, J. (2015). Currency forecast errors and carry traddes at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate. Journal of International Money and Finance, 1-19. Menkhoff, L., Samo, L., Schmeling, M., & Schrimpf, A. (2012). Carry trades and global foreign exchange volatility . Journal of Finance, 681-718. Reinhart, C. M., & Rogoff, K. S. (2013). Banking Crises: An Equal Opportunity Menace. Journal of Banking& Finance, 4557-4573. Ross, S. A. (1976). The arbitrage theory of capital asset pricing . Journal of Economic Theory , 341-360. University of California. (2011). Slaying of the dragon of debt:Fisical politics & policy from the 1970s to the presents. Retrieved from University of California: http://vm136.lib.berkeley.edu/BANC/ROHO/projects/debt/1985grammrudmanhollings.html University of Groningen. (2012). American History: from revolution to reconstruction and beyond. Retrieved from University of Groningen: http://www.let.rug.nl/usa/outlines/economy-1991/a-historical-perspective-on-the-american-economy/the-economy-in-the-1980s-and-1990s.php Verdelhan, A., & Lustig , H. (2007). The cross section of foreign currency risk premia and consumption growth risk. American Economic Review, 89-117.
描述:	碩士國立政治大學金融學系 103352032
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0103352032
資料類型:	thesis
顯示於類別:	[金融學系] 學位論文

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