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| Title: | 結合脆弱性指數、利差與泰勒法則訊號之動態外匯交易策略
Dynamic FX Strategy Combining Vulnerability Index, Carry Trade, and Taylor Rule Signal |
| Authors: | 莊雅涵
Chuang, Ya-Han |
| Contributors: | 林建秀
莊雅涵
Chuang, Ya-Han |
| Keywords: | 外匯交易
超額報酬
匯率報酬
遠期溢價
脆弱性指數策略
利差交易策略
泰勒法則策略
Foreign exchange trading
Excess returns
Exchange rate returns
Forward premiums
Vulnerability index strategy
Carry trade strategy
Taylor rule strategy |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:18:37 (UTC+8) |
| Abstract: | 本研究探討三種外匯交易策略對超額報酬、匯率報酬及遠期溢價的影響，資料涵蓋2002年第一季至2023年第四季，聚焦於脆弱性指數策略(VI策略)、利差交易策略(CAR策略)與泰勒法則策略(Taylor Rule Strategy)。
實證結果顯示，VI策略能有效捕捉國家脆弱性，帶來正的匯率報酬，但在遠期溢價表現較弱；CAR策略主要透過利差獲取超額報酬，匯率報酬相對有限；泰勒法則策略雖然能反映利率變動對貨幣政策的影響，但其預測匯率的能力有限，主要報酬來自利差。
本文進一步整合三者優勢，提出多因子策略並引入動態權重機制，實證結果顯示可有效提升報酬表現與穩定性。
This study investigates the effects of three foreign exchange trading strategies on exchange rate returns, excess returns, and forward premiums, using data from the first quarter of 2002 to the fourth quarter of 2023. The analysis focuses on the Vulnerability Index strategy (VI strategy), Carry Trade strategy (CAR strategy), and Taylor Rule strategy.
Empirical results show that the VI strategy effectively captures a country's economic vulnerability and generates positive exchange rate returns, though its performance in explaining forward premiums is relatively weak. The CAR strategy primarily earns excess returns through interest rate differentials, with limited contribution from exchange rate returns. While the Taylor Rule strategy reflects the impact of interest rate changes on monetary policy, its ability to predict exchange rates is limited, with returns mainly driven by interest rate differentials.
This study further proposes a multi-factor strategy that integrates the strengths of all three approaches and introduces a dynamic weighting mechanism. The empirical findings show that this combined strategy improves both return performance and stability. |
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| Description: | 碩士
國立政治大學
金融學系
112352030 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112352030 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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