請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/79961完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Shun-Yuan Wen | en |
| dc.contributor.author | 溫舜元 | zh_TW |
| dc.date.accessioned | 2022-11-23T09:18:37Z | - |
| dc.date.available | 2021-08-06 | |
| dc.date.available | 2022-11-23T09:18:37Z | - |
| dc.date.copyright | 2021-08-06 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-07-28 | |
| dc.identifier.citation | Ahmed, J., Straetmans, S. (2015). Predicting exchange rate cycles utilizing risk factors. Journal of Empirical Finance, 34, 112-130. Bansal, R., Shaliastovich, I. (2013). A long-run risks explanation of predictability puzzles in bond and currency markets. The Review of Financial Studies, 26(1), 1-33. Breusch, T. S., Pagan, A. R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The review of economic studies, 47(1), 239-253. Christoffersen, P., Mazzotta, S. (2004). The information content of over-the-counter currency options. Available at SSRN 533126. Cieslak, A., Povala, P. (2016). Information in the term structure of yield curve volatility. The Journal of Finance, 71(3), 1393-1436. Creal, D. D., Wu, J. C. (2017). Monetary policy uncertainty and economic fluctuations. International Economic Review, 58(4), 1317-1354. Della Corte, P., Ramadorai, T., Sarno, L. (2016). Volatility risk premia and exchange rate predictability. Journal of Financial Economics, 120(1), 21-40. Diz, F., Finucane, T. J. (1993). Do the options markets really overreact?. Journal of Futures Markets, 13(3), 299-312. Galati, G., Tsatsaronis, K. (1996). The information content of implied volatility from currency options. Bank of International Settlements. Hatzius, J., Hooper, P., Mishkin, F. S., Schoenholtz, K. L., Watson, M. W. (2010). Financial conditions indexes: A fresh look after the financial crisis (No. w16150). National Bureau of Economic Research. Hausman, J. A. (1978). Specification tests in econometrics. Econometrica: Journal of the econometric society, 1251-1271. Krylova, E., Nikkinen, J., Vähämaa, S. (2005). Cross-dynamics of volatility term structures implied by foreign exchange options. Ludvigson, S. C., Ng, S. (2009). Macro factors in bond risk premia. The Review of Financial Studies, 22(12), 5027-5067. Lustig, H., Roussanov, N., Verdelhan, A. (2011). Common risk factors in currency markets. The Review of Financial Studies, 24(11), 3731-3777. Nelson, C. R., Siegel, A. F. (1987). Parsimonious modeling of yield curves. Journal of business, 473-489. Piazzesi, M., Swanson, E. T. (2008). Futures prices as risk-adjusted forecasts of monetary policy. Journal of Monetary Economics, 55(4), 677-691. Plíhal, T., Lyócsa, Š. (2021). Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. International Review of Economics Finance, 71, 811-829. Ren, J. (2019). Essays on Currency Risks and Returns (Doctoral dissertation). Schrimpf, A., Sushko, V. (2019). Sizing up global foreign exchange markets. BIS Quarterly Review, December. Stein, J. (1989). Overreactions in the options market. The Journal of Finance, 44(4), 1011-1023. Ornelas, J. R. H., Mauad, R. B. (2019). Implied volatility term structure and exchange rate predictability. International Journal of Forecasting, 35(4), 1800-1813. Van Binsbergen, J., Hueskes, W., Koijen, R., Vrugt, E. (2013). Equity yields. Journal of Financial Economics, 110(3), 503-519. Wooldridge, P. D. (2019). FX and OTC Derivatives Markets through the Lens of the Triennial Survey. BIS Quarterly Review, December. Xie, C. (2014). Asset pricing implications of volatility term structure risk. Available at SSRN 2517868. Xu, X., Taylor, S. J. (1994). The term structure of volatility implied by foreign exchange options. Journal of Financial and Quantitative Analysis, 29(1), 57-74. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/79961 | - |
| dc.description.abstract | 外匯市場交易日益熱絡，提升了外匯市場風險衡量之重要性，隨著外匯選擇權交易量的增加，選擇權隱含波動度也成分析外匯市場風險的可靠依據。本論文欲探討外匯選擇權波動度的期限結構，以了解波動度期限結構變化所傳遞給外匯市場的訊息，並探討總體經濟因子如何影響外匯市場風險。本論文將研究對象鎖定在歐元兌美元、英鎊兌美元、美元兌日圓、澳幣兌美元、美元兌加幣、美元兌瑞士法郎這六個成熟市場上交易量最龐大的貨幣配對，並延伸Ren(2019)探索匯率風險因子的方法，從外匯選擇權的波動度期限結構萃取出Level與Slope兩個因子。 此外，本論文使用5大類總體經濟因子並建立Panel Data迴歸模型分析外匯波動度期限結構的Level和Slope，我們發現美國金融系統信用風險與市場情緒展望兩大類總經因子對波動度期限結構的影響最為顯著，當美國金融系統信用風險上升或市場情緒展望下行時，外匯波動度期限結構的Level會顯著上升且Slope將顯著下滑甚至轉為負斜率，因短天期外匯波動度對於金融市場數據的敏感度更高。我們也發現具長期結構特性的總經因子如經濟循環的變化與聯準會的資產購買計畫，其對於波動度Level具有顯著的影響；個別國家經濟變數如經常帳餘額、金融情勢差異、產出缺口等也皆對外匯波動度期限結構的變化具顯著影響。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-23T09:18:37Z (GMT). No. of bitstreams: 1 U0001-2507202114263100.pdf: 2833351 bytes, checksum: a8a2e8c5852478eab72a50307f84e8c5 (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 誌謝 i 摘要 ii Abstract iii 目錄 iv 圖目錄 v 表目錄 vi 第一章、緒論 1 第一節、研究動機 1 第二節、研究目的與論文架構 4 第二章、文獻回顧 6 第一節、外匯選擇權隱含波動度 6 第二節、隱含波動度期限結構之總經因子分析 9 第三章、研究方法 11 第一節、資料與樣本特性 11 第二節、研究模型與方法 27 第四章、外匯隱含波動度期限結構之總經因子分析 32 第一節、Panel Data資料相關性分析 32 第二節、外匯隱含波動度期限結構Level 之分析結果 33 第三節、外匯隱含波動度期限結構Slope 之分析結果 40 第四節、外匯隱含波動度期限結構分析之小結 46 第五章、結論與未來探討 48 參考文獻 50 | |
| dc.language.iso | zh-TW | |
| dc.subject | 總體經濟因子 | zh_TW |
| dc.subject | 外匯市場 | zh_TW |
| dc.subject | 匯率選擇權 | zh_TW |
| dc.subject | 隱含波動度 | zh_TW |
| dc.subject | 波動度期限結構 | zh_TW |
| dc.subject | Implied Volatility | en |
| dc.subject | Foreign Exchange Markets | en |
| dc.subject | Macro Drivers | en |
| dc.subject | Volatility Term Structure | en |
| dc.subject | Forex Options | en |
| dc.title | 外匯選擇權隱含波動度之期限結構分析 | zh_TW |
| dc.title | Term Structure Analysis of Option Implied Volatility in the Foreign Exchange Markets | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 姜堯民(Hsin-Tsai Liu),何耕宇(Chih-Yang Tseng) | |
| dc.subject.keyword | 外匯市場,匯率選擇權,隱含波動度,波動度期限結構,總體經濟因子, | zh_TW |
| dc.subject.keyword | Foreign Exchange Markets,Forex Options,Implied Volatility,Volatility Term Structure,Macro Drivers, | en |
| dc.relation.page | 51 | |
| dc.identifier.doi | 10.6342/NTU202101719 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2021-07-29 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| U0001-2507202114263100.pdf | 2.77 MB | Adobe PDF | 檢視/開啟 |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。