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    Title: 換匯點數風險溢酬之實證分析
    Empirical Study on Risk Premium of Swap Point
    Authors: 潘柏諺
    Pan, Po-Yen
    Contributors: 謝淑貞
    Xie, Shu-Zhen
    潘柏諺
    Pan, Po-Yen
    Keywords: 換匯交易
    拋補利率平價
    事件研究法
    Date: 2020
    Issue Date: 2020-08-03 17:23:01 (UTC+8)
    Abstract: 本研究透過 2006 年 1 月至 2020 年 2 月之日資料,研究流動性較高的三個月期需交割本金之 USD/TWD 換匯交易,探討其換匯點數是否符合拋補利率平價理論(Covered Interest Rate Parity),若不成立,則進一步找出造成其偏差之原因。本研究有三個主要發現,第一,透過簡單線性迴歸分析,本研究發現 USD/TWD 換匯點數存並不符合 CIRP;第二,透過複迴歸分析,本研究發現風險溢酬的變化與美國長短公債利差及 Economic Policy Uncertainty Index 呈現正向關係,進一步使用 ARCH 模型進行改良,透過參數估計得知,美國 10 年期公債與 2 年期公債利差每上升 1%,預期換匯點數之風險溢酬會增加 0.0085%, Economic Policy Uncertainty Index 每增加 1 點,預期預期換匯點數之風險溢酬會增加 0.0003%。第三,藉由事件研究法,並使用平均調整模型預估期望報酬率,本研究發現USD/TWD 換匯點數會受到升息影響,在美聯準會宣布升息後產生異常超額報酬,且為正向報酬。
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    王穎笙(1999)。 台灣拋補利率平價理論之實證研究—誤差修正模型。碩士論文,私立淡江大學,財務金融研究所。
    曹清宗(2005)。 拋補利率平價說之實證研究-以台灣與美國為例。碩士論文,
    國立臺灣大學,國際企業學研究所。
    謝秀瑛(2007)。 拋補利率平價對股價報酬率的影響—已開發國家及開發中國家之實證研究。碩士論文,私立淡江大學,財務金融學系碩士在職專班。
    梁瑋倫(2011)。 利率平價說之實證研究-以澳幣為例。碩士論文,國立高雄應用科技大學,金融資訊研究所。
    余姵萱(2018)。 在台灣, 美國與日本間檢測拋補利率平價理論存在之謎。碩士論文,私立東海大學,經濟學系。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    107351006
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107351006
    Data Type: thesis
    DOI: 10.6814/NCCU202000686
    Appears in Collections:[Department of International Business] Theses

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