English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51726793      Online Users : 603
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/101060


    Title: 外匯干預下之台幣利差交易策略
    Carry trade strategy in the intervention environment  
    Authors: 葉柏宏
    Contributors: 郭炳伸
    葉柏宏
    Keywords: 外匯干預
    利差交易
    利率平價說
    風險溢酬
    Date: 2016
    Issue Date: 2016-09-01 23:38:08 (UTC+8)
    Abstract: 本文主張以台幣作為利差交易的主要貨幣, 並以兩種策略來降 低其所承受的風險。一為應用 Berge, Jorda and Taylor (2010)中引進實質面經濟變數的概念,將實質面中影響匯率的重要因素 加入預測式。二為根據台灣匯率制度的特殊性,本文再加入央行干預的替代變數, 構成兩種不同策略來提升利差交易的獲利。本文研究結果不僅開啟了台幣利差交易策略獲利的可能,亦發現央 行干預在短期對於歐元對台幣匯率的重大影響力。利用此影響力不僅讓台幣匯率的可預測性大幅提升,且利用此影響力更可讓台 幣利差交易的報酬提高將近5倍之多, 且此報酬無法被大盤風險溢酬所解釋。
    Reference: 參考文獻

    Bakshi, Gurdip, and George Panayotov (2013), “Predictability of currency carry trades and asset pricing implications.” Journal of Financial Economics, 110, 139−163.

    Berge, Travis, Oscar Jorda, and Alan M. Taylor (2010),
    “Currency Carry Trades.” NBER International Seminar on
    Macroeconomics, 357−387.

    Brunnermeier, Markus K., Stefan Nagel, and Lasse H.
    Pedersen (2009), “Carry trades and currency crashes.” NBER Macroeconomics Annual, 23, 313−347.

    Burnside, Craig, et al (2011). “Do Peso Problems Explain the Returns to the Carry Trade?” Review of Financial Studies, 24(3), 853−891.

    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 forward discount anomaly and the risk premium: A survey of recent evidence” Journal of Empirical Finance, 3, 123−192.

    Fama, Eugene F (1984). “Forward and spot exchange rates”
    Journal of Monetary Economics, 14, 319−338.
    Giacomini, Raffaella, and Halbert White (2006), “Tests of
    Conditional Predictive Ability.” Econometrica , 74(6).

    Jorda, Oscar, and Alan M. Taylor (2012), “The Carry Trade
    and Fundamentals: Nothing to Fear but FEER Itself.” Journal of International Economics, 88, 74−90.

    Li, Ming (2010). “Improve the yen carry trade with economic fundamentals” Investment Management and Financial Innovations,7(4).

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

    陳旭昇 (2013), “央行 「阻升不阻貶」?−再探台灣匯率不對稱干預政策” 經濟論文叢刊, 40(4).

    楊雅惠, 許嘉棟 (2005), “新臺幣匯率與央行干預行為” 臺灣經濟預測與政策, 35(2), 23−41.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351002
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103351002
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2332View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback