匯率決定中的避險傳導機制：以日本為結構性異常案例

Abstract

本研究探討匯率決定中的避險傳導機制，特別聚焦於日本——一個在結構上與國際金融文獻中常見的債務國模型有所不同的國家。主要研究問題在於：在一個淨債權經濟體的背景下，交叉貨幣基差（CCB）、遠期與即期匯率如何對利率差異與避險行為做出反應。研究使用2010年至2023年的月度數據，透過迴歸分析探討美元計價的對外債務、對外資產部位與匯率波動性之間的互動關係。實證方法在Liao與Zhang（2025）提出的理論模型基礎上加以重現與擴展，並納入來自日本銀行、國際貨幣基金與美國聯準會的日本特定資料。 儘管日本的CCB長期呈現負值——這在過去通常與債務國相聯繫——其成因來自資產端的避險，而非債務償付。在市場波動期間，日本投資者為避險美元資產而買入日圓遠期合約，理論上對日圓形成升值壓力。然而，這一結構性力量可能會被利差與資本流動所抵消，如2022至2023年日圓貶值的現象所示。雖然債務國與日本皆表現出負值的CCB，但其背後動因不同：債務國為對沖負債而拋售本幣遠期，而日本投資者則是為對沖資產而買入日圓。這一差異對於理解避險型經濟體中的匯率行為具有關鍵意義。 本研究成果對匯率建模、企業避險策略及貨幣政策均具有啟示意義，並強調在分析避險型經濟體中的交叉貨幣基差變動時，應明確區分以負債為導向與以資產為導向的避險行為。

This study investigates the hedging channel of exchange rate determination with a specific focus on Japan, a country that structurally deviates from the typical debtor-nation model commonly found in international finance literature. The primary research question explores how cross-currency basis (CCB), forward and spot exchange rates respond to interest rate differentials and hedging behavior in the context of a net creditor economy. Utilizing monthly data from 2010 to 2023, the study employs regression analysis to examine the interaction between external U.S. dollar-denominated debt, foreign asset positions, and exchange rate volatility. The empirical framework replicates and extends the theoretical model of Liao and Zhang (2025) by incorporating Japan-specific data from the Bank of Japan, IMF, and Federal Reserve. Although Japan’s CCB remains persistently negative—typically associated with debtor countries—this is driven by asset-side hedging rather than debt servicing. During market volatility, Japanese investors buy yen forward to hedge USD assets, creating yen appreciation pressure in theory. However, this structural force may be overwhelmed by interest rate differentials and capital flows, as observed in the 2022–2023 yen depreciation. While both debtor countries and Japan exhibit negative CCBs, the underlying drivers differ: debtor nations hedge liabilities by selling local currency forward, whereas Japanese investors hedge assets by buying yen. This distinction is key to interpreting currency behavior in safe-haven economies. The results have implications for exchange rate modeling, corporate hedging strategies, and monetary policy. They underscore the importance of distinguishing between liability-driven and asset-driven hedging when analyzing cross-currency basis movements in safe-haven economies.