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題名：外匯干預下的利差交易策略：臺幣匯率基本面變數的經濟價值
書刊名：經濟論文叢刊
作者：藍青玉 引用關係／葉柏宏／郭炳伸
作者(外文)：Lan, Ching-yu／Yeh, Bo-hong／Kuo, Biing-shen
出版日期：2018
卷期：46:3
頁次：頁363-399
主題關鍵詞：利差交易；外匯干預；利率平價說；風險溢酬；Carry trade；Exchange rate intervention；Interest rate parity；Risk premium
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:28
  • 點閱點閱:6
本文以新台幣對美元、歐元與日元三種貨幣之利差交易，實證檢驗以新台幣進行利差交易獲利之可能。相較於傳統利差交易僅以兩國利率之相對大小決定操作部位，我們將匯率基本面變數所隱含的訊息納入利差交易策略，探究其改善利差交易操作績效之可能。同時考量台灣管理式的浮動匯率制度之獨特性，我們也將央行干預匯率市場之替代變數納入模型，檢視進一步提高利差交易績效之可行性。相較於過去以樣本外預測均方誤之大小評估匯率預測模型之優劣，本文透過利差交易獲利績效之提昇與否，賦予匯率基本面變數以及央行干預因素的納入決策之經濟價值。我們發現經濟基本面變數及央行干預之考量，其績效之貢獻在傳統利差交易所實現之績效大幅下降的金融海嘯後時期，益加凸顯。同時該利差交易之報酬，與市場大盤超額報酬的連動性不高，而無法為投資人承擔系統性風險之風險溢酬所解釋。
The profitability performance of some NTD carry trade strategies against major international currencies subject to intervention are investigated. Of particular concern in this paper is whether the profitability of the strategies taking into account information on fundamentals and/or intervention is better than that of the naive strategy considering interest differentials alone. The paper establishes significant evidence in support of this idea. The evidence presented is remarkable for the time series sample's post global financial crisis of 2008. Moreover, the returns to the strategies can not be attributed to the existence of risk premia, as the excess returns of either the S&P 500 or TAIEX, proxies for systematic risks, and found to lack power to explain the profit differentials.
期刊論文
1.吳致寧、黃惠君、汪建南、吳若瑋(20120600)。再探臺灣匯率制度。經濟論文叢刊，40(2)，261-288。new window  延伸查詢new window
2.Froot, Kenneth A.、Frankel, Jeffrey A.(1989)。Forward discount bias: is it an exchange risk premium?。Quarterly Journal of Economics，104(1)，139-161。  new window
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6.楊雅惠、許嘉棟(20050300)。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。new window  延伸查詢new window
7.Bilson, John F. O.(1981)。The 'Speculative Efficiency' Hypothesis。Journal of Business，54，435-451。  new window
8.Bakshi, Gurdip、Panayotov, George(2013)。Predictability of Currency Carry Trades and Asset Pricing Implications。Journal of Financial Economics，110，139-163。  new window
9.Abhyankar, Abhay、Sarno, Lucir、Valente, Giorgio(2005)。Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability。Journal of International Economics，66，325-348。  new window
10.Cheung, Yin-Wong、Chinn, Menzie D.、Pascual, Antonio Garcia(2005)。Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?。Journal of International Money and Finance，24(7)，1150-1175。  new window
11.Burnside, Craig、Eichenbaum, Martin、Kleshchelski, Isaac、Rebelo, Sergio(2011)。Do Peso Problems Explain the Returns to the Carry Trade?。Review of Financial Studies，24(3)，853-891。  new window
12.Brunnermeier, Markus K.、Nagel, Stefan、Pedersen, Lasse H.(2008)。Carry Trades and Currency Crashes。NBER Macroeconomics Annual，23，313-347。  new window
13.Corte, Pasquale D.、Sarno, Lucio、Tsiakas, Ilias(2009)。An Economic Evaluation of Empirical Exchange Rate Models。Review of Financial Studies，22，3491-3530。  new window
14.Clarida, Richard、Davis, Josh、Pedersen, Niels(2009)。Monetary Policy and Long Horizon Uncovered Interest Parity。IMF Staff Papers，51，409-430。  new window
15.Chinn, Menzie D.、Meredith, Guy(2009)。Currency Carry Trade Regimes: Beyond the Fama Regression。Journal of International Money and Finance，28，1375-1389。  new window
16.Fama, Eugene F.(1984)。Forward and Spot Exchanges。Journal of Monetary Economics，14，319-338。  new window
17.Engel, Charles M.(1984)。Testing for the Absence of Expected Real Profits from Forward Market Speculation。Journal of International Economics，17，299-308。  new window
18.Lustig, Hanno、Roussanov, Nikolai、Verdelhan, Adrien(2015)。Common Risk Factors in Currency Markets。Review of Financial Studies，24，3731-3777。  new window
19.Kilian, Lutz、Taylor, Mark P.(2003)。Why is It so Difficult to Beat the Random Walk Forecast of Exchange Rates?。Journal of International Economics，60，85-107。  new window
20.Jordà, Òscar、Taylor, Alan M.(2012)。The Carry Trade Fundamentals: Nothing to Fear but FEER Itself。Journal of International Economics，88，74-90。  new window
21.Giacomini, Raffaella、White, Halbert(2006)。Tests of Conditional Predictability?。Econometrica，74，1545-4578。  new window
22.Meese, Richard A.、Rogoff, Kenneth(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics，14，3-24。  new window
23.Maynard, Alex、Phillips, Peter C. B.(2001)。Rethinking and Old Empirical Puzzle: Econometric Evidence the Forward Discount Anomaly。Journal of Applied Econometrics，16，671-708。  new window
24.Mark, Nelson C.、Sul, Donggyu(2001)。Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel。Journal of International Economics，53，29-52。  new window
25.Mark, Nelson C.(1995)。Exchange Rate and Fundamentals: Evidence on Long-Horizon Predictability。American Economic Review，85，201-218。  new window
26.Lyons, Richard K.(2001)。New Perspective on FX Markets: Order-Flow Analysis。International Finance，4(2)，303-320。  new window
27.Rossi, Barbara(2013)。Exchange Rate Predictability。Journal of Economic Literature，51(4)，1063-1119。  new window
28.Obstfeld, Maurice、Rogoff, Kenneth(2000)。The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?。NBER Macroeconomics Annual，15，339-390。  new window
29.Sarno, Lucio、Valente, Giorgio、Leon, Hyginus(2006)。Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle。Review of Finance，10，443-482。  new window
30.陳旭昇(20160600)。央行「阻升不阻貶」？--再探臺灣匯率不對稱干預政策。經濟論文叢刊，44(2)，187-213。  延伸查詢new window
31.Leitch, Gordon、Tanner, J. Ernest(1991)。Economic Forecast Evaluation: Profits versus the Conventional Error Measures。American Economic Review，81(3)，580-590。  new window
32.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
33.Baillie, Richard T.、Bollerslev, Tim(2000)。The Forward Premium Anomaly is Not as Bad as You Think。Journal of International Money and Finance，19(4)，471-488。  new window
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35.Menkhoff, Lukas、Sarno, Lucio、Schmeling, Maik、Schrimpf, Andreas(2012)。Carry Trades and Global Foreign Exchange Volatility。Journal of Finance，67(2)，687-718。  new window
36.郭炳伸、藍青玉(20151000)。模型組合與新臺幣匯率預測。臺灣經濟預測與政策，46(1)，75-111。  延伸查詢new window
研究報告
1.Berge, Travis J.、Jordà, Òscar、Taylor, Alan M.(2010)。Currency Carry Trades。  new window
2.Daniel, Kent、Hodrick, Robet J.、Lu, Zhongjin(2012)。The Carry Trade: Risks and Drawdowns。  new window
圖書
1.Rafferty, Barry(2011)。Currency Returns, Skewness and Crash Risk。Duke University。  new window
圖書論文
1.Chinn, Menzie D.、Frankel, Jeffrey A.(2002)。Survey Data on Exchange Rate Expectations: More Currencies, More Horizons, More Tests。Monetary Policy, Capital Flows and Financial Market Developments in the Era of Financial Globalisation: Essays in Honour of Max Fry。London：Routledge。  new window
2.Burnside, Craig(2012)。Carry Trades and Risk。Handbook of Exchange Rate。Hoboken：John Wiley & Sons。  new window
 
 
 
 
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