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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源 | |
dc.contributor.author | Min-Cheng Tsai | en |
dc.contributor.author | 蔡閔丞 | zh_TW |
dc.date.accessioned | 2021-06-08T04:26:09Z | - |
dc.date.copyright | 2011-09-18 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-08-24 | |
dc.identifier.citation | 中文部分
1. 賀蘭芝,2007,「遠期匯率偏誤交易策略之績效分析」,中央銀行 2. 曾佑靖,2008,「匯率分離管理─台幣利差交易之外匯交易模型」,國立台灣大 學 3. 柯子介,2008,「匯率分離管理─利用總體經濟趨勢建立交易訊號之外匯交易模型」,國立台灣大學 英文部分 1. Bilson, John F.O., 1981. The ‘Speculative Efficiency’ Hypothesis. Journal of Business, Vol. 54, No. 3, pp. 435-451. 2. Brunnermeier M. K., Nagel, S., Pedersen, L. H., 2009. Carry trades and currency crashes. NBER Macroecon. Ann. 23:313—47. 3. Burnside, C., Eichenbaum, M., and Rebelo, S., 2011. Carry Trade and Momemtum in Currency Markets.NBER Working Paper 16942. 4. Corcoran, A., 2009. The Determinants of Carry Trade Risk Premia. IIS discussion paper no. 287. 5. Fama E. F., 1984. Forward and spot exchange rates. Journal of Monetary Economics 14(3):319—38. 6. Farhi, E., Gabaix, X., 2008. Rare disasters and exchange rates. NBER Working Paper 13805. 7. Froot, R.A., Thaler, R.H., 1990. Anomalies: Foreign Exchange. Journal of Economic Perspectives 4, 179-192. 8. Johnson, R. S., Charles W. Hultman, Richard A. Zuber, 1979. Currency Cocktails and Exchange Rate Stability. Columbia Journal of World Business, Winter 14(4), pp. 117-126. 9. Longworth, D., 1981. Testing the Efficiency of the Canadian–U.S. Exchange Market Under the Assumption of No Risk Premium. Journal of Finance, Vol. 36, No. 1, pp. 43–9. 10. Markowitz, H., 1952. Portfolio Selection. The Journal of Finance, Vol.7, No1. 11. Meese R. A., Rogoff, K., 1983. Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics, Vol. 14 (February), pp. 3–24. 12. Peng, H.-Y., 2010. FX Carry Trades Strategy: the Case of G10 Currencies. National Taiwan University. 13. Plantin, G., Shin, H.S., 2008. Carry Trades and Speculative Dynamics. available at SSRN: http://ssrn.com/abstract=898412. 14. Vistesen, C., 2009. Carry Trade Fundamentals and the Financial Crisis 2007-2010. MPRA Paper No.15625, posted 15 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22731 | - |
dc.description.abstract | 自2003年起前美國聯邦儲備委員會(FED)主席葛林斯潘採低利率政策,美元成為國際上常拿來融資用的貨幣, 也興起了以美元做為融資貨幣(Funding Currency)的利差交易(Carry Trade),美元有兩個符合利差交易的條件:低利率、匯率波動小。
然而,本研究也注意到,在利差交易中,標的貨幣(Target Currency)的選取,往往是決定報酬的關鍵。在金融海嘯中,許多在以往表現良好的標的貨幣,例如高利率的澳幣、紐西蘭幣,進行利差交易所帶來的報酬不盡理想。以澳幣為例,在金融海嘯前,逐月進行利差交易的夏普指數(Sharp Ratio)是1.05,但在金融海嘯爆發後大幅降為0.56。 本研究力求在眾多可能的標的貨幣裡面,挑選出最適合當月進行的利差交易貨幣,使用的方法為利用歷史資料所顯現出來的關於每個貨幣遠期匯率偏誤交易(Forward Rate Bias Trading)的動能。實證結果發現,根據本研究在金融海嘯前期間,即發生金融海嘯前所找到的最佳交易策略,逐月進行利差交易的夏普指數是1.03,將這樣的交易策略應用在金融海嘯爆發後的金融海嘯後期間,逐月進行利差交易的夏普指數高達1.17。這結果也顯示了此最佳交易策略的穩定性,可做為國際利差交易投資者的參考。 | zh_TW |
dc.description.abstract | In recent years, the USD has been widely used as the funding currency due to its low interest and low volatility in currency rates. Especially the low interest rate policy that Greenspan, the former chairman of Federal Reserve, kept since 2003 opened a window of great opportunity of international FX carry trades.
Meanwhile, the choose of target currency is also the key to a higher return rate. We found that ever since the financial tsunami broke out, FX carry trades have confronted huge losses. Even those high-interest currencies such as AUD and NZD, performed much worse than they did before. Take AUD for example, just before financial tsunami, we conducted carry trades on monthly basis, focusing on the pair of USD as the funding currency and AUD as the target currency. The sharp ratio was 1.05, while after financial tsunami it plummeted to 0.56. The carry trade strategy in this research is dedicated to finding out the finest choose every month among the currencies. Basically we leverage the momentum which we can watch on historical performances of “Forward Rate Bias Trading” in each target currency. According to the empirical result, in the period of pre-financial crisis, which is years before the financial tsunami, the sharp ratio of the best trading strategy that we find is 1.03, while we have 1.17 during the period of post-financial crisis. This result shed light on the stability and the feasibility of this best trading strategy for investors’ reference. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T04:26:09Z (GMT). No. of bitstreams: 1 ntu-100-R98723066-1.pdf: 1390336 bytes, checksum: 73e2f8cd49a7c791c349762c7c007cc1 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 誌謝 i
中文摘要 ii Abstract iii 目錄 v 表目錄 vi 圖目錄 vi 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究架構 3 第二章 外匯利差交易策略 5 第一節 外匯利差交易簡介 5 第二節 外匯利差交易策略介紹 7 第三章 文獻回顧 10 第四章 研究方法 12 第一節 研究構想與模型 12 第二節 研究範圍及限制 16 第五章 實證結果與分析 18 第一節 金融海嘯前資料研究結果 18 第二節 金融海嘯前資料研究結果分析 31 第三節 金融海嘯後資料研究結果 34 第四節 金融海嘯後資料研究結果分析 47 第五節 金融海嘯前及金融海嘯後實證結果比對 50 第六章 結論與建議 52 第一節 結論 52 第二節 未來研究方向與建議53 參考文獻 54 | |
dc.language.iso | zh-TW | |
dc.title | 外匯利差交易策略:遠期匯率偏誤交易動能之運用 | zh_TW |
dc.title | FX Carry Trade Strategy:
the Application of Momentum in Forward Rate Bias Trading | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李宗培,龔尚智 | |
dc.subject.keyword | 利差交易,交易策略,金融海嘯,遠期匯率偏誤,動能, | zh_TW |
dc.subject.keyword | Carry Trade,Trading Strategy,Financial Crisis,Forward Rate Bias,Momentum, | en |
dc.relation.page | 55 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2011-08-25 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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