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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/30464
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Title: | 影響亞洲國家匯率變動因素之研究 A Study on the Explanatory Factors for Asia Currency |
Authors: | 林怡昭 Lin, Yi Chao |
Contributors: | 郭維裕 陳威光 Kuo,Wei Yu Cheng,Wei Guang 林怡昭 Lin, Yi Chao |
Keywords: | 亞洲國家匯率 市場波動率 Asia Currency Market Volatility |
Date: | 2007 |
Issue Date: | 2009-09-11 17:58:17 (UTC+8) |
Abstract: | 相對於資本市場對於一國之經濟,外匯市場已日趨重要。在過去,已有許多研究,從總經面來觀察匯率的波動,筆者試著跳脫總經面而從投資者對風險的承受度角度去看外匯匯率的波動。因為在實務上,我們發現一個有趣的現象,就是當匯率波動度變大時,資產價格往往是下跌的。也就是當市場匯率波動度升高時,投資者傾向於保守,只尋求報酬較低但相對較安全之標的物。本研究從亞洲13個幣別分別對匯市、股市、利率、商品與信用等市場的風險波動度來做分析,以期能達到協助匯率預測的目標。本研究主要以14個風險變數來做分析,假設每個變數與匯率波動度之間存在的正負關係,最後再以迴歸係數是否顯著,來驗證我們的假設是否成立。 文中之資料除新興市場債券指數來自JP Morgan銀行外,其餘皆取自路透社及彭博社之歷史資料庫。
本研究發現,可以綜合出三點:(一)在亞洲貨幣中,投資人認為澳洲幣與紐西蘭幣相對於美元,是屬於高風險資產。(二)其它的亞洲貨幣,呈現相反的態勢,投資人普遍認為本國貨幣相對美元是安全性資產,當風險貼水增加時,投資人傾向持有本國貨幣。這種情形尤以台灣和日本為甚。(三) 本文一共蒐集五種波動度來衡量投資人心中風險貼水的變化,實證發現以美國S&P 500的波動度指數標VIX最具全面性的效果。 To a nation’s economy, foreign exchange market has gained its importance over time in comparison to the capital market. There are already many studies that look at foreign exchange rate movement from a macroeconomic standpoint in the past. The author here is trying to leave macroeconomic behind and look at foreign exchange rate movement from investors’ risk aversion level point of view. The interesting phenomenon we found in the realistic setting is that when exchange rate volatility increases, the asset price usually decreases. In another word, when market exchange rate volatility increases, investors tend to be more conservative and seek investment targets with lower risks and lower returns. This study analyzes 13 Asian currencies in relation to the volatility of foreign exchange market, stock market, interest rate, commodity market and credit market in hope to be able to forecast foreign exchange rates. This study uses 14 risk variables for its analysis. We assume each risk variable has a positive or negative relationship with foreign exchange rate volatility then we run multiple regression analysis to check the relevance of each variable and to validate our assumptions. All data came from Reuters and Bloomberg historic database, with the exception of Developing Market Bond Index which was obtained from JP Morgan Bank.
The result of this study can be summarized as 3 findings:
1. Investors believe that when comparing with USD dollar, AUD and NZD are the risk assets.
2. Except AUD and NZD, investors think rest of the Asia currencies are risk assets. When risk premium increasing; the investors would like to have local currencies instead of USD.
3. The study uses 5 different volatilities from different markets to test the risk appetite from investors. It turns out the US stock market VIX index has most obviously link with Asia Currency. 第一章 緒論
第一節 研究動機
第二節 研究目的
第三節 研究流程及架構
第二章 相關文獻回顧
第一節 影響匯率變動的因素
第二節 匯率預測實證模型
第三章 研究方法
第一節 資料蒐集與處理
第二節 統計方法
第三節 研究假設
第四章 實證結果分析
第一節 各幣別的實證結果
第二節 各假設實證的結果
第五章 結論與建議
第一節 結論
第二節 對後續研究之建議
參考文獻 |
Reference: | 一、中文部份 1. 蔡志宏(1993),「匯率預測模型之檢測──結合時間序列與總體經濟模型」,暨南國際大學經濟研究所碩士論文。 2. 葉家宏(2003),「匯率選擇權評價實務上風險反轉之探討和其應用在台幣匯率預測模型」,國立政治大學經營管理碩士論文。 3. 陳學毅(2004),「無匯率預測模型績效之研究──時間序列及灰色預測模型之運用」,東海大學國際貿易所碩士論文。 4. 吳仁德(2003),「金融風暴前後亞洲五個主要國家匯率相關性探討」,淡江大學國際貿易學系碩士論文。 5. 張小彤(2003),「匯率預測研究──時間數列分析法之應用」,大葉大學事業經營研究所。 6. 陳心一(1996),「短期匯率:ARIMA與GARCH模型之比較研究」,中山大學財管所碩士論文。 7. 莊益源、張鐘霖、王祝三(2003.6),「波動率模型預測能力的比較-以臺指選擇權為例」,台灣金融財務季刊。 二、英文部份 1. Robert S. Pindyck and Daniel L. Rubinfeld (1998), “Econometric Models and Economic Forecasts”, McGraw-Hill. 2. Cassel. G.(1961), “The Present situation of the Foreign Exchanges”, Economic Journal, Vol.26,62-65. |
Description: | 碩士 國立政治大學 經營管理碩士學程(EMBA) 90932210 96 |
Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0090932210 |
Data Type: | thesis |
Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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