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    Title: 換匯點數之實證分析
    Authors: 王宜馨
    Wang, Yi-Xin
    Contributors: 謝淑貞
    王宜馨
    Wang, Yi-Xin
    Keywords: 利率平價
    換匯點數
    換匯交易
    Date: 2019
    Issue Date: 2019-06-03 13:02:30 (UTC+8)
    Abstract:   我國換匯交易(Foreign Exchange Swap,簡稱FX SWAP)之交易金額已佔外匯市場所有交易類型超過一半的比例,央行也曾以換匯交易作為公開市場操作之工具,可見換匯交易於外匯市場扮演相當重要之角色。換匯交易合約的訂價即換匯點數(Swap Point),反映的是換匯交易之成本,因此,其價格之訂定十分重要,特別是對於經常承作換匯交易以調度資金的銀行業者。因此,本研究以USD/TWD換匯點數作為研究樣本,對拋補利率平價理論(Covered Interest Rate Parity,簡稱CIRP)進行實證,樣本期間為2013年1月1日年至2018年12月31日,以透過CIRP求出的理論值作為市場值之比較基準,採用線性迴歸模型,並以普通最小平方法(Ordinary Least Square,簡稱OLS)估計參數,經由t檢定後發現新台幣與美元之換匯交易市場在過去六年間都無法達到CIRP下之均衡狀態,市場值始終低於理論值,這之間的差距可視為風險溢酬;在進一步找尋風險溢酬影響因子時,透過ARCH模型發現風險溢酬與美國10年期公債殖利率減2年期公債殖利率間存在正的相關性,參數估計值為0.0061,意即每當長期與短期公債利差上升1%,預期風險溢酬提升0.0061%。
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    中國民國中央銀行全球資訊網-中央銀行理監事聯席會議決議,上網日期108年5月3日,檢自:https://www.cbc.gov.tw/lp.asp?CtNode=357&CtUnit=376&BaseDSD=33&mp=1&nowPage=2&pagesize=50
    中國民國中央銀行全球資訊網-中央銀行理監事聯席會議決議新聞稿,上網日期108年5月3日,檢自:
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    美國聯邦準備理事會,上網日期108年5月3日,檢自:
    https://www.fedsearch.org/board_public/search?source=board_pub&text=Minutes+of+the+Federal+Open+Market+Committee&submit=Search
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    106351019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106351019
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.IB.006.2019.F06
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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