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    题名: 利差交易之波動風險-簡單移動平均之應用
    Volatility risks in carry trade - an application of simple moving average method
    作者: 李杰恩
    贡献者: 郭炳伸
    李杰恩
    关键词: 利差交易
    波動風險
    移動平均
    日期: 2016
    上传时间: 2016-07-20 16:36:56 (UTC+8)
    摘要: 在外匯市場中，遠期溢酬之謎一直以來都是個耐人尋味的問題，其存在使得利差交易有超額報酬。過往研究中，以大盤超額報酬當作風險因子來解釋利差交易超額報酬，其關係都不顯著。本文發現，若將單純的大盤超額報酬模型加入高、低風險狀態變數，並以簡單移動平均區分利差交易與大盤超額報酬於不同的風險 (波動) 狀態後，在高波動狀態時，大盤超額報酬的確可以解釋利差交易超額報酬，而在低波動狀態時，兩者之間的關係則不明顯。
    參考文獻: Berge, Travis, Òscar Jordà, and Alan M. Taylor. (2010),""Currency carry trades.`` NBER International Seminar on Macroeconomics 2010, University of Chicago Press, 357-387.

    Brunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen. (2009),""Carry trades and currency crashes.`` NBER Macroeconomics Annual 2008, 23, 313-347.

    Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski and Sergio Rebelo. (2006),
    ""The returns to currency speculation.`` National Bureau of Economic Research, No. w12916

    Burnside, Craig. (2011), ""Carry trades and risks.`` National Bureau of Economic Research, No. w17278

    Christiansen, Charlotte, Angelo Ranaldo, and Paul Söderlind. (2011), ""The time-varying systematic risk of carry trade strategies.`` Journal of Financial and Quantitative Analysis, 46(4), 1107-1125.

    Clarida, Richard, Josh Davis, and Niels Pedersen. (2009), ""Currency carry trade refimes: beyond the Fama regression.`` Journal of International Money and Finance, 28(8), 1375-1389.

    Daniel, Kent, Robert J. Hodrick, and Zhongjin Lu. (2016), ""The carry trade: risk and drawdowns.`` National Bureau of Economic Research, No. w20433.

    Engel, Charles. (1996), ""The forwead discount anomaly and the risk premium: A survey of recent evidence.`` Journal of Empirical Finance, 3(2), 123-192.

    Fama, Eugene F. (1984), ""Forward and spot exchange rates.`` Journal of Monetary Economics, 14(3), 319-338.

    Hamilton, James D. (1989), ""A new approach to the economic analysis of nonstationary time series and the business cycle.`` Econometrica, 57(2), 357-384.

    Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan. (2011), ""Common risk factors in currency market.`` Review of Financial Studies, 24(11), 3731-3777.

    Menkhoff, Lukas, Lucio Sarno, Maik Schmeling, Andreas Schrimpf. (2012), ""Carry trade and global foreign exchange volatility.`` Journal of Finance, 67(2), 681-718.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    103351010
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103351010
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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