政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30464

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30464

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109951/140887 (78%)
Visitors : 46279061 Online Users : 1274

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Executive Master of Business Administration > Theses > Item 140.119/30464

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30464

Title:	影響亞洲國家匯率變動因素之研究 A Study on the Explanatory Factors for Asia Currency
Authors:	林怡昭 Lin, Yi Chao
Contributors:	郭維裕陳威光 Kuo,Wei Yu Cheng,Wei Guang 林怡昭 Lin, Yi Chao
Keywords:	亞洲國家匯率市場波動率 Asia Currency Market Volatility
Date:	2007
Issue Date:	2009-09-11 17:58:17 (UTC+8)
Abstract:	相對於資本市場對於一國之經濟，外匯市場已日趨重要。在過去，已有許多研究，從總經面來觀察匯率的波動，筆者試著跳脫總經面而從投資者對風險的承受度角度去看外匯匯率的波動。因為在實務上，我們發現一個有趣的現象，就是當匯率波動度變大時，資產價格往往是下跌的。也就是當市場匯率波動度升高時，投資者傾向於保守，只尋求報酬較低但相對較安全之標的物。本研究從亞洲13個幣別分別對匯市、股市、利率、商品與信用等市場的風險波動度來做分析，以期能達到協助匯率預測的目標。本研究主要以14個風險變數來做分析，假設每個變數與匯率波動度之間存在的正負關係，最後再以迴歸係數是否顯著，來驗證我們的假設是否成立。文中之資料除新興市場債券指數來自JP Morgan銀行外，其餘皆取自路透社及彭博社之歷史資料庫。本研究發現，可以綜合出三點:(一)在亞洲貨幣中，投資人認為澳洲幣與紐西蘭幣相對於美元，是屬於高風險資產。(二)其它的亞洲貨幣，呈現相反的態勢，投資人普遍認為本國貨幣相對美元是安全性資產，當風險貼水增加時，投資人傾向持有本國貨幣。這種情形尤以台灣和日本為甚。(三) 本文一共蒐集五種波動度來衡量投資人心中風險貼水的變化，實證發現以美國S&P 500的波動度指數標VIX最具全面性的效果。 To a nation’s economy, foreign exchange market has gained its importance over time in comparison to the capital market. There are already many studies that look at foreign exchange rate movement from a macroeconomic standpoint in the past. The author here is trying to leave macroeconomic behind and look at foreign exchange rate movement from investors’ risk aversion level point of view. The interesting phenomenon we found in the realistic setting is that when exchange rate volatility increases, the asset price usually decreases. In another word, when market exchange rate volatility increases, investors tend to be more conservative and seek investment targets with lower risks and lower returns. This study analyzes 13 Asian currencies in relation to the volatility of foreign exchange market, stock market, interest rate, commodity market and credit market in hope to be able to forecast foreign exchange rates. This study uses 14 risk variables for its analysis. We assume each risk variable has a positive or negative relationship with foreign exchange rate volatility then we run multiple regression analysis to check the relevance of each variable and to validate our assumptions. All data came from Reuters and Bloomberg historic database, with the exception of Developing Market Bond Index which was obtained from JP Morgan Bank. The result of this study can be summarized as 3 findings: 1. Investors believe that when comparing with USD dollar, AUD and NZD are the risk assets. 2. Except AUD and NZD, investors think rest of the Asia currencies are risk assets. When risk premium increasing; the investors would like to have local currencies instead of USD. 3. The study uses 5 different volatilities from different markets to test the risk appetite from investors. It turns out the US stock market VIX index has most obviously link with Asia Currency. 第一章緒論第一節研究動機第二節研究目的第三節研究流程及架構第二章相關文獻回顧第一節影響匯率變動的因素第二節匯率預測實證模型第三章研究方法第一節資料蒐集與處理第二節統計方法第三節研究假設第四章實證結果分析第一節各幣別的實證結果第二節各假設實證的結果第五章結論與建議第一節結論第二節對後續研究之建議參考文獻
Reference:	一、中文部份 1. 蔡志宏（1993），「匯率預測模型之檢測──結合時間序列與總體經濟模型」，暨南國際大學經濟研究所碩士論文。 2. 葉家宏(2003），「匯率選擇權評價實務上風險反轉之探討和其應用在台幣匯率預測模型」，國立政治大學經營管理碩士論文。 3. 陳學毅（2004），「無匯率預測模型績效之研究──時間序列及灰色預測模型之運用」，東海大學國際貿易所碩士論文。 4. 吳仁德（2003），「金融風暴前後亞洲五個主要國家匯率相關性探討」，淡江大學國際貿易學系碩士論文。 5. 張小彤（2003），「匯率預測研究──時間數列分析法之應用」，大葉大學事業經營研究所。 6. 陳心一（1996），「短期匯率：ARIMA與GARCH模型之比較研究」，中山大學財管所碩士論文。 7. 莊益源、張鐘霖、王祝三（2003.6），「波動率模型預測能力的比較－以臺指選擇權為例」，台灣金融財務季刊。二、英文部份 1. Robert S. Pindyck and Daniel L. Rubinfeld (1998), “Econometric Models and Economic Forecasts”, McGraw-Hill. 2. Cassel. G.(1961), “The Present situation of the Foreign Exchanges”, Economic Journal, Vol.26,62-65.
Description:	碩士國立政治大學經營管理碩士學程(EMBA) 90932210 96
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0090932210
Data Type:	thesis
Appears in Collections:	[Executive Master of Business Administration] Theses

Files in This Item:

File	Size	Format
index.html	0Kb	HTML2	237	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback