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https://nccur.lib.nccu.edu.tw/handle/140.119/118789
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| Title: | 以外匯期貨預測未來匯率之探討
Forecasting Future Exchange Rates by Currency Futures |
| Authors: | 陳俞成
Chen, Yu-Cheng |
| Contributors: | 徐士勛
陳俞成
Chen, Yu-Cheng |
| Keywords: | 匯率預測
期貨
已開發國家
新興國家
隨機漫步 |
| Date: | 2018 |
| Issue Date: | 2018-07-20 18:19:48 (UTC+8) |
| Abstract: | 在匯率預測的領域中, 隨機漫步一般認為是不容易被擊敗的預測對照模型, 此可能受限於資料型態與頻率問題, 因此具有理論基礎的模型之預測能力往往不如隨機漫步(即直接以當下現貨價格作為未來匯率預測)。 近期, Martin and Kremens (2017) 利用衍生性金融商品 Quantos 內所隱含的市場對匯率預期的訊息, 作為對匯率的預測值, 並得出顯著優於隨機漫步的預測結果。 延伸其概念, 本文嘗試探討外匯期貨是否含有相較於現貨更多對於未來現貨價格的預期資訊。 我們以期貨價格作為預測值, 並和隨機漫步模型進行預測能力比較。
實證結果有三點主要發現。 第一, 整體而言, 本文之實證結果較為支持期貨的預測能
力優於隨機漫步預測。 第二, 本文實證模型顯示, 隨機漫步與期貨的預測結果比較, 不受期
貨預測期間長短的影響, 亦即, 距離到期日較短的期貨價格, 相較於同時間點的隨機漫步,
不具有較距離到期日長的期貨價格更優秀的預測能力。 第三, 在和隨機漫步預測能力的比
較之下, 有別於已開發國家的外匯市場, 新興市場(開發中國家) 的外匯期貨預測能力較為
明顯地優於隨機漫步; 亦即, 相較於已開發國家, 開發中國家的期貨較為準確地預測了現
貨市場於未來特定時間點的價格。 |
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| Description: | 碩士
國立政治大學
經濟學系
1052580031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1052580031 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.ECONO.012.2018.F06 |
| Appears in Collections: | [經濟學系] 學位論文
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| 003101.pdf | 3388Kb | Adobe PDF2 | 114 | View/Open |
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