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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/67449
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67449


    Title: NDF利差交易策略實證
    FX Carry Trades Strategy:the Case of NDF currencies
    Authors: 郭俊宏
    Contributors: 張元晨
    郭俊宏
    Keywords: NDF
    無本金交割遠期外匯
    受拋補利差
    利差交易
    交易策略
    Date: 2013
    Issue Date: 2014-07-14 11:25:09 (UTC+8)
    Abstract: 在本篇文章中我們希望能建構一個以NDF貨幣為主的利差交易最適交易策略,並將以往使UIP無法成立的各種因素利用羅吉斯迴歸模型及線性迴歸模型融合成一個平倉指標,用以適時地結清部位甚至反向操作,並審視各種變數進入平倉指標對於報酬的預測能力,以期此交易策略能夠達到更高的報酬表現。
    而實證結果顯示反映資本控制程度的受拋補利差(Covered Interest Differential)與市場流動性風險指標之一的泰德價差(TED Spread)能有效捕捉重大虧損的發生,投資組合利差(Carry)對於報酬也有顯著影響但程度不如受拋補利差。此外也發現使用多頭策略(Long-Netural)相對於多空策略(Long-Short)能到更高的夏普值,而利用所選變數在每周針對逐一貨幣篩選也會比單純判斷每周是否進行利差交易得到更好的夏普值。
    Reference: [1] Bansal, R., and Dahlquist, M., 2000. The forward premium puzzle: different tales from developed and emerging economies. Journal of International Economics 51, 115–144.
    [2] Bansal, R., and Shaliastovich, I., 2008. A long-run risks explanation of predictability puzzles in bond and currency markets, working paper, Duke University.
    [3] Brunnermeier, M.K., Nagel, S., and Pedersen, L.H., 2009. Carry trades and currency crashes, NBER Macroeconomics Annual 2008 23, 313–347.
    [4] Brunnermeier, M.K., and Pedersen, L.H., 2009. Market liquidity and funding liquidity, Review of Financial Studies 22, 2201–2238.
    [5] Burnside, C., 2011. The forward premium is still a puzzle, American Economic Review (forthcoming).
    [6] Burnside, C., Eichenbaum, M., Kleshchelski, I., and Rebelo, S., 2006. The returns to currency speculation, NBER Working Paper No. 12489.
    [7] Burnside, C., Eichenbaum, M., Kleshchelski, I., and Rebelo, S., 2011. Do Peso problems explain the returns to the carry trade? Review of Financial Studies (forthcoming).
    [8] Burnside, C., Eichenbaum, M., and Rebelo, S., 2007. The returns to currency speculation in emerging markets, American Economic Review (Papers and Proceedings) 97, 333–338.
    [9] Burnside, C., Eichenbaum, M. and Rebelo, S., 2009. Understanding the forward premium puzzle: A microstructure approach, American Economic Journal: Macroeconomics 1, 127–154.
    [10] Chaboud, A.P. and Jonathan, H.W., 2005. Uncovered Interest Rate Parity: It Works, But Not For Long, Journal of International Economics 66, 2, 349-362.
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    [12] Doukas, J. A. and Zhang, H., 2013. The performance of NDF carry trades. Journal of International Money and Finance 36, 172-190.
    [13] Frankel, J., 1992. Measuring international capital mobility: a review. American Economic Review 82, 197–202.
    [14] Hutchison, M., Pasricha, G., and Nirvikar S., 2012. Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market, IMF Economic Review, 60, 3: 395-438.
    [15] Kumhof, M., 2001. International capital mobility in emerging markets: new evidence from daily data. Review of International Economics 9, 626–640.
    [16] Lustig, H., Roussanov, N. and Verdelhan, A., 2011, Common risk factors in currency markets, Review of Financial Studies (forthcoming).
    [17] Lustig, H. and Verdelhan, A., 2007. The cross section of foreign currency risk premia and consumption growth risk, American Economic Review 97, 89–117.
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    [19] Lyons, R. and Rose, A., 1995. Explaining Forward Exchange Bias … Intraday, Journal of Finance 50: 1321-1329.
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    [24] Yogo, Motohiro, 2006. A consumption-based explanation of expected stock returns, Journal of Finance 61, 539–580.
    Description: 碩士
    國立政治大學
    財務管理研究所
    101357027
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101357027
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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