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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 | Hsin-Yi Peng | en |
dc.contributor.author | 彭欣儀 | zh_TW |
dc.date.accessioned | 2021-06-15T03:55:27Z | - |
dc.date.available | 2013-06-30 | |
dc.date.copyright | 2010-06-30 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-06-24 | |
dc.identifier.citation | Aroop Chatterjee, S. D. (2009). Introducing the BarCap Carry Unwind Risk Model.
Bhansali, V. (2007). Volatility and the Carry Trade. The Journal of Fixed Income, 17(3), pp. 72-84. Brunnermeier, M. K., Stefan Nagel, Lasse H. Pedersen. (2008). Carry Trades and Currency Crashes NBER Macroeconomics Annual 2008: National Bureau of Economic Research, Inc. Burnside, C., Sergio Rebelo, Martin Eichenbaum. (2008). Carry Trade: The Gains of Diversification. Journal of the European Economic Association, 6(2-3), pp. 581-588. Coudert, V., Gex Mathieu. (2006). Can Risk Aversion Indicators Anticipate Financial Crises? Financial Stability Review, pp. 67-87. Dunis, C. L., Jia Miao. (2007). Trading Foreign Exchange Portfolios with Volatility Filters: the Carry Model Revisited. Applied Financial Economics, 17(3), pp. 249-225. Gyntelberg, J., Eli M Remolona. (2007). Risk in Carry Trades: a Look at Target Currencies in Asia and the Pacific. BIS Quarterly Review, December 2007, pp.73-82. 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. Jylha, P., Matti Suominen, Jussi-Pekka Lyytinen. (2009). Arbitrage Capital and Currency Carry Trade Returns. Paper presented at the AFA Ko, T.-J. (2008). Currency Overlay- Using Macro Trend to Trade FX. National Taiwan University. Nishigaki, H. (2007). Relationship between the Yen Carry Trade and the Related Financial Variables. Economics Bulletin, 13(2), pp.1-7. Park, H. M. (2009). Regression Models for Binary Dependent Variables Using Stata, SAS, R, LIMDEP, and SPSS. The University Information Technology Services Center for Statistical and Mathematical Computing, Indiana University. Record, N. (2003). Currency Overlay: John Wiley & Sons Ltd. Smith, L. I. (2002). A Tutorial on Principal Components Analysis. Tseng, Y.-C. (2008). Currency Overlay- TWD Carry Trade. National Taiwan University. Wagner, C. (2008). Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation Paper presented at the EFA Athens Meeting. Yi-Hsuan Chen, K. W. (2010). Option-based Sentiment Measures and Credit Default Swap Spreads. Paper presented at the FMA Asian Conference. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/44810 | - |
dc.description.abstract | 外匯利差交易過去常常被大型機構或私募基金利用獲取超額報酬,然而自金融海嘯發生至今,利差交易的報酬蒙受巨大損失,市場關注如此套利空間是否已經消失。本篇論文的目的在於建構一個統計模型、改善傳統外匯利差交易策略,期望有效降低最大損失的機率,我們選擇市場上最廣為流通的G10貨幣做實證,原始的貨幣組合為:借最低三個利率國家貨幣來投資最高三個利率國家貨幣,並以美金做基礎計算報酬,測試樣本內和樣本外模型是否可以改善整體貨幣組合報酬。
過去有學者運用Markowitz投資組合理論到利差交易,極小化投資組合變異數,定期調整每期每種貨幣的投資比重,本篇論文希望從另一個構面看待利差交易,藉由每一期皆相等權重的投資比例,著重在每個時間點是否採取不同的策略。此外,本文利用計量上logit模型,結合數個重要的總體經濟變數成單一指標做為平倉的依據,希冀能鎖定高低利差、減少匯率波動的影響。 實證結果顯示,swap利差、利率差以及共同波動的股票指數顯著地影響利差交易平倉的機率,本篇的兩個交易策略相較傳統的利差交易策略,呈現較高的夏普指數,並減少一半的最大損失,回溯測試也顯示,2008年中後的巨大損失可以藉由模型大幅降低。 | zh_TW |
dc.description.abstract | FX carry trades have been extensively carried out but have confronted huge losses ever since the financial tsunami broke out. Concerns are aroused whether such an arbitrage opportunity has lost its attractiveness. Our purpose thus is to build up a statistical model which guides carry strategies by reducing large downside risks efficiently. G10 currencies are of our interests since they are traded with high liquidity, in which we go long three currencies with the highest interest rates and sell short another three with the lowest interest rates. We provide empirical results for our model and back tests in out-of-sample periods.
A group of researchers have studied carry trades by following the concept of Markowitz Portfolio Theory. They look for the optimal allocation among a basket of currencies as time goes by. In this paper, we try to view carry strategies with a different aspect: looking for timing to implement other strategies. In addition, we use the logit model to transform information from important macroeconomic variables into one signal, which is further constructed as a unwind indicator. Hopefully, the indicator could mitigate FX fluctuation risks and preserve the locked-in interest rate differential. It is demonstrated that the swap spread, interest rate spreads and equity indices comovement have statistically significant impacts on carry unwind probabilities. Two modified carry strategies generally outperform the original carry portfolio in terms of higher Sharpe ratio and weekly draw-downs reduced by half. The back test also shows carry trades suffer severely after 2008, but the loss is mitigated by our model. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T03:55:27Z (GMT). No. of bitstreams: 1 ntu-99-R96723010-1.pdf: 702342 bytes, checksum: c712e088ef2029d61e18f590683d60c9 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 謝辭 I
摘要 II ABSTRACT III TABLE OF CONTENTS IV LIST OF FIGURES V LIST OF TABLES VI CHAPTER 1. INTRODUCTION 1 CHAPTER 2. LITERATURE REVIEW 4 CHAPTER 3. METHODOLOGY & DATA 10 3.1 METHODOLOGY FLOW 10 3.2 LOGIT MODEL DERIVATION & UNWIND PROBABILITY PREDICTION 20 3.3 CONSTRUCTING UNWIND INDICATOR AND TRADING STRATEGIES 22 3.4 DATA 24 CHAPTER 4. EMPIRICAL RESULTS 25 4.1 LOGIT MODEL RESULTS 25 4.2 IN-SAMPLE RESULTS 27 4.3 OUT-OF-SAMPLE BACK TEST 31 4.4 ONE-PAIR CURRENCY OUT-OF-SAMPLE TEST 35 4.5 REDUCED SAMPLE EMPIRICAL RESULTS 39 CHAPTER 5. CONCLUSIONS 43 5.1 CONCLUDING REMARKS 43 5.2 RESEARCH LIMITATIONS 44 5.3 COMMENTS AND FURTHER STUDIES 45 APPENDIX 1: CORRELATION COEFFICIENT MATRIX SUMMARY 46 APPENDIX 2: OUT-OF-SAMPLE ONE-PAIR CURRENCY RESULTS 46 REFERENCES 49 | |
dc.language.iso | en | |
dc.title | 外匯利差交易策略──G10貨幣實證 | zh_TW |
dc.title | FX Carry Trades Strategy: the Case of G10 Currencies | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 蔡偉澎(Wei-Pen Tsai),邱嘉洲(Chia-Chou Chiu) | |
dc.subject.keyword | 利差交易,logit模型,平倉指標,G10貨幣,外匯交易策略, | zh_TW |
dc.subject.keyword | carry trade,logit model,unwind indicator,G10 currency,FX trading strategy, | en |
dc.relation.page | 50 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2010-06-25 | |
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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