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| Title: | 基於經濟數據的外匯交易策略研究
Research on Forex Trading Strategies Based on Economic Fundamentals |
| Authors: | 李柏憲 |
| Contributors: | 林建秀
李柏憲 |
| Keywords: | 外匯交易
經濟基本面
脆弱性指數
利差交易
多元迴歸
均值回歸
Foreign Exchange Trading
Economic Fundamentals
Vulnerability Index
Carry Trade
Multiple Regression
Mean-Reversion |
| Date: | 2024 |
| Issue Date: | 2024-08-05 12:18:22 (UTC+8) |
| Abstract: | 本研究探討基於經濟基本面的各種外匯交易策略的有效性，特別關注脆弱性指數（VI）、利差交易（CAR）、迴歸增強型脆弱性指數（REVI）和反向迴歸增強型脆弱性指數（RREVI）策略。利用2002年至2023年20種貨幣的季度數據，研究旨在評估加入迴歸是否能夠提高交易績效。
研究結果顯示，單純基於經濟數據構建的VI策略在匯率報酬率上取得了強勁的表現，尤其是在2008年後。然而，根據利率平價理論（IRP）的原則，匯率報酬率的收益幾乎完全被利差抵消。
CAR策略整體表現相對強勁，但在2008至2022年的低利率期間表現顯著下降。通過應用多元迴歸分析，研究區分出了一些時段，這些時段的CAR策略表現平均而言相較其他時間更好。
引入多元迴歸分析增強的REVI策略提高了匯率報酬率，但未能產生顯著的超額收益。相反的，基於均值回歸假說的RREVI策略在超額收益上顯著改善。該策略在保持較高匯率報酬率的同時僅略微犧牲了利差，從而實現了更高的收益並降低了波動性。
This study investigates the effectiveness of various forex trading strategies based on economic fundamentals, particularly focusing on the Vulnerability Index (VI), Carry Trade (CAR), Regression-Enhanced Vulnerability Index (REVI), and Reversed Regression-Enhanced Vulnerability Index (RREVI) strategies. Utilizing quarterly data from 2002 to 2023 for twenty currencies, the research aims to assess whether incorporating regression-based enhancements can improve trading performance compared to traditional strategies.
The findings reveal that the VI strategy, which is constructed solely on economic data, achieves robust exchange rate returns, especially post-2008. However, the gains from exchange rate returns are almost entirely offset by interest rate differentials due to the principles of Interest Rate Parity (IRP).
The CAR strategy demonstrates relatively strong performance overall but struggles during the low-interest-rate period from 2008 to 2022. By applying multiple regression analysis, the study identifies specific periods where the CAR strategy performs better on average compared to other times.
The introduction of the REVI strategy, which enhances the CAR strategy with multiple regression analysis, results in higher exchange rate returns but fails to generate substantial excess returns. Conversely, the RREVI strategy, based on a mean-reverting hypothesis, shows strong improvement in excess returns. This strategy maintains higher exchange rate returns while only marginally sacrificing interest differentials, leading to higher returns with reduced volatility. |
| Reference: | Abhyankar, A., Sarno, L., & Valente, G. (2005). Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability. Journal of International Economics, 66(2), 325-348.
Ahmed, S., Coulibaly, B., & Zlate, A. (2017). International Financial Spillovers to 1Emerging Market Economies: How Important are Economic Fundamentals? Journal of International Money and Finance, 76, 133-152.
De Grauwe, P., & Vansteenkiste, I. (2007). Exchange Rates and Fundamentals: A Non-Linear Relationship? International Journal of Finance & Economics, 12(1), 37-54.
Della Corte, P., Riddiough, S. J., & Sarno, L. (2016). Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 120(1), 21-40.
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Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Carry Trades and Global Foreign Exchange Volatility. The Journal of Finance, 67(2), 681-718.
Ricci, L. A., Milesi-Ferretti, G. M., & Lee, J. (2013). Real Exchange Rates and Fundamentals: A Cross-Country Perspective. Journal of Money, Credit and Banking, 45(5), 845-865.
Sarno, L., & Valente, G. (2009). Exchange Rates and Fundamentals: Footloose or Evolving Relationship? Journal of the European Economic Association, 7(4), 786-830.
Sweeney, R. J. (2006). Mean reversion in G-10 nominal exchange rates. Journal of Financial and Quantitative Analysis, 41(3), 685-708.
Taylor, M. P., Peel, D. A., & Sarno, L. (2001). Nonlinear mean‐reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. International economic review, 42(4), 1015-1042. |
| Description: | 碩士
國立政治大學
金融學系
111352025 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111352025 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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