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    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/159179


    題名: 美元計價主權公債資產組合中，加入當地貨幣公債，是否有助於資產組合財務指標
    The Impact of Local Currency Sovereign Bonds on the Financial Metrics of USD-Denominated Sovereign Bond Portfolios
    作者: 方偉丞
    Fang, Wei-Cheng
    貢獻者: 張元晨
    Chang, Yuan-Chen
    方偉丞
    Fang, Wei-Cheng
    關鍵詞: 當地貨幣計價債券
    美元計價債券
    財務指標
    local currency
    U.S. dollar
    sovereign bond
    portfolios
    日期: 2025
    上傳時間: 2025-09-01 15:30:41 (UTC+8)
    摘要: 本研究旨在探討當美元計價主權債券資產組合中納入當地貨幣計價主權債券後，是否能有效改善整體資產組合的財務指標表現。本研究以十一個新興市場國家作為分析對象，透過彭博資料庫蒐集2002年至2024年期間美元計價與當地貨幣計價主權債券之價格指數，建立兩類資產組合：僅含美元債券組合與納入當地貨幣債券的混合組合，並以等比例方式進行配置。
    本文採用三項資產組合績效指標：年化報酬率、夏普比率與最大下跌比率，進行比較分析，並納入總體經濟條件作為解釋變數。實證結果顯示，整體而言，雖然納入當地貨幣債券未必在所有經濟情境下皆可穩定提升資產組合財務表現，但在特定情境如降息、低通膨與低經濟增長時期環境下，財務指標可以取得一定程度的改善，顯示納入當地貨幣債券於資產組合中，具備策略性與防禦性之價值，因此建議增加對單一國家匯率與當地貨幣債券之研究。
    This study explores whether incorporating local currency-denominated sovereign bonds into a U.S. dollar-denominated sovereign bond portfolio can enhance overall portfolio performance. The analysis covers twelve emerging market economies using Bloomberg data from 2002 to 2024. Two types of portfolios are constructed: one consisting solely of USD-denominated bonds, and another mixed portfolio that includes both USD and local currency bonds, allocated on an equal-weighted basis.
    To assess performance, the study employs three key indicators: annualized return, Sharpe ratio, and maximum drawdown, while also considering macroeconomic conditions as explanatory variables. The empirical findings indicate that although the inclusion of local currency bonds does not uniformly improve portfolio performance across all economic environments, it can deliver meaningful benefits under certain conditions, such as during interest rate easing cycles.
    These results suggest that local currency bonds may offer strategic and defensive value within diversified fixed income portfolios. The findings also underscore the need for further research on country-specific exchange rate dynamics and local currency bond markets, and provide practical implications for investors engaged in multi-currency bond allocation.
    參考文獻: 1. 高青懌（2013）。我國債券市場之發展契機及展望。《證券暨期貨月刊》，31(8)，5–12。
    2. 李伊濘（2017）。債券發行與交易之實務作業管理——外幣計價國際債券（寶島債券）。證券櫃檯買賣中心。
    3. 林家璋、李岳霖（2016）。我國國際債券市場十年發展歷程與展望。《證券暨期貨月刊》，34(3)，16–29。
    4. 蔡政憲、林建智、陳業寧、石百達、張森林、彭金隆（2017）。強化保險業國外投資之匯率風險管理與監理制度之研究。財團法人保險安定基金委託研究計畫（計畫編號：TIGF-S-104-031）。
    5. 鄭鳴、洪永淼（2013）。海外人民幣債券市場之研究。中華民國證券商業同業公會委託研究計畫。
    6. 郭昭廷、謝明華、蔡政憲、邱于芬、李宜熹（2018）。保險業的外幣投資的行為分析（寶島債／國際債）。結案報告書。財團法人台北外匯市場發展基金會。
    英文文獻
    1. Arslanalp, S., & Tsuda, T. (2014). Tracking global demand for emerging market sovereign debt (IMF Working Paper No. 14/39). International Monetary Fund.
    2. Arslanalp, S., & Tsuda, T. (2015). Emerging market portfolio flows: The role of benchmark-driven investors (IMF Working Paper No. 15/263). International Monetary Fund.
    3. Balston, M., & Melin, L. (2013). Foreign demand for EM local currency debt. In Deutsche Bank EM Monthly: Diverging Markets (pp. 57–60). Deutsche Bank Market Research.
    4. Berkowitz, J., & Giorgianni, L. (1996). Long-horizon exchange rate predictability? Board of Governors of the Federal Reserve System (FEDS Working Paper No. 1996-39).
    5. Bush, G., Canon, C., & Gray, D. (2019). Emerging market capital flows: The role of fund manager portfolio reallocation [Mimeo].
    6. Ebeke, C., & Lu, Y. (2014). Emerging market local currency bond yields and foreign holdings in the post-Lehman period—A fortune or misfortune? (IMF Working Paper No. 14/29). International Monetary Fund.
    7. Engel, C., & West, K. D. (2005). Exchange rates and fundamentals. University of Wisconsin & National Bureau of Economic Research.
    8. Gibbons, M., Ross, S., & Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica, 57(5), 1121–1152.
    9. Jeanneau, S., & Tovar, C. E. (2008). Financial stability implications of local currency bond markets: An overview of the risks. Bank for International Settlements.
    10. Neely, C. J., & Sarno, L. (2002). How well do monetary fundamentals forecast exchange rates? Federal Reserve Bank of St. Louis Review, Working Paper 2002-007.
    11. Raddatz, C., Schmukler, S., & Williams, T. (2017). International asset allocations and capital flows: The benchmark effect. Journal of International Economics, 108, 413–430.
    12. Rosenberg, M. (1990). A framework for formulating international fixed-income strategy. Journal of Portfolio Management, 16(4), 70–76.
    13. Rubens, J. H., Louton, D. A., & Yobaccio, E. J. (1998). Measuring the significance of diversification gains. Journal of Real Estate Research, 16(1), 73–86.
    14. Sienaert, A. (2012). Foreign investment in local currency bonds: Considerations for emerging market public debt managers (World Bank Policy Research Working Paper No. 6284). The World Bank.
    描述: 碩士
    國立政治大學
    國際金融碩士學位學程
    112ZB1058
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0112ZB1058
    資料類型: thesis
    顯示於類別:[國際金融碩士學位學程] 學位論文

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