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外匯市場干預下的總體經濟政策效果 : 資產市場模型吳珍琪, Wu, Zhen-Qi Unknown Date (has links)
本篇論文旨在開放經濟體系下,以貨幣分析法、資產選擇分析法、國際收支分析法之
三種理論,探討市場匯率之決定及影響之因素;當國際收支失衡時,貨幣當局運用何
種干預政策,使經濟體系達到最適狀況。全文分為五章討論。
第一章為緒論。
第二章乃在貨幣分析法下,探討在基本假設下及放棄某些假設時,匯率之決定;實施
干預時,影響匯率的程度。
第三章乃在資產選擇分析法下,探討匯率之決定及影響的因素;干預政策對匯率有影
響。
第四章是在國際收支分析法下,討論匯率之決定,干預政策對匯率有影響。
第五章則為結論。
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結構性金融商品之個案分析陳佩菱, Chen, Pei-Ling Unknown Date (has links)
本論文的研究目的是在於分析在現階段的大環境下,即在利率低迷且經濟不景氣中,發行銀行如何針對投資者的需求,設計出可以吸引投資者前來投資的結構性新金融商品並從中獲取合理利潤。
本文以避險及保本兩大方向為出發點,選取了三個個案分析,分別是荷蘭銀行推出的『荷銀110%保證回報金價連動債券』、中國信託商業銀行推出的『中國信託商業銀行三個月期美元理財專案』、以及中國信託商業銀行推出的『中國信託商業銀行六個月期歐元理財專案』。
個案分析方式著重於在不同的利率下,計算出發行銀行發行商品之利潤、投資者之投資收益率、以及商品之避險部位分析,並針對商品之設計提出建議。
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由金融帳之角度探討亞洲通貨危機 / From Financial Account to Asian Currency Crisis郭怡婷, Kuo, Yi-Ting Unknown Date (has links)
90年代末東亞金融危機造成多國貨幣大幅貶值,銀行紛紛倒閉。基本上金融危機可分為通貨危機(Currency Crisis)與銀行危機(Banking Crisis);通貨危機是指當年中任一季名目匯率貶值超過25%,且貶值幅度比前一季超過10個百分點。諸多實證文獻顯示,高估一國匯率為其通貨崩潰之先驅;又由於近年來新興國家快速開放資本市場,以致於成為危機之導火線。為分析此一現象,本文首先編製金融帳權數之新台幣實質有效匯率指數,並將東亞之台灣、印尼、韓國、菲律賓、泰國等五國之匯率、相對物價(各國與美國物價)、金融帳餘額等變數做共整合關係檢定,觀察三個變數的長期均衡關係,再將誤差項加入模型中,建構向量誤差模型。實證結果發現,金融帳與相對物價對匯率有顯著之影響力。 / The 1997 East Asian Crises had made exchange rate depreciations and bank bankruptcies. Broadly speaking, it can be divided into currency crisis and banking crisis. Nominal exchange rate of any season in a year, which is depreciated over 25% and 10% than last season, is called a currency crisis. Lots of papers demonstrate that overvaluation is a precursor of a currency crash. Furthermore, developing countries have opened capital markets so rapidly that it became the tinderbox of crises. To analyze the phenomenon, this thesis first compile Taiwan’s financial weighted real effective exchange rate index, then examine exchange rates, relative prices (compare to American consumer price index), and net financial account of Taiwan, Indonesia, Korea, Philippine, and Thailand with cointegrated test to identify the long run equilibrium relationships between variables; then adding error terms into models to estimates vector error correction model (VECM). The empirical results show that financial account and relative price influence exchange rate significantly.
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探討外匯市場匯率波動不對稱性─以美元及日圓兌台幣為例廖怡婷 Unknown Date (has links)
近年來,金融資產報酬波動的推估一直是重要的研究課題。然而,過去的波動不對稱研究均集中在股票市場,探討外匯市場波動不對稱性的實證研究並不多,但若忽略其不對稱效果將影響未來波動預測的正確性。因此,本研究利用近十六年來美元及日圓兌台幣匯率日資料,以傳統的波動不對稱性指數型GARCH模型(EGARCH Model)、門檻型GARCH模型(TGARCH, GJR GARCH Model),亦延用異質自我相關迴歸模型(HAR-RV Model)及修正型異質自我相關迴歸模型(Modified HAR-RV Model)分別探討美元及日圓兌台幣匯率波動是否存在不對稱現象及其不對稱程度,並加以分析。實證研究中,上述四種模型均顯示美元及日圓兌台幣匯率波動的確具有不對稱效果;美元兌台幣匯率波動,與股票市場一致,報酬率與波動度間呈負向關係,當台幣相對美元升值時,波動度較高;而日圓兌台幣匯率波動,與美元匯率變動方向相反,報酬率與波動度間呈正向關係,當台幣相對日圓貶值時,波動度較高。此外,以異質自我相關迴歸模型實證分析中,日波動落後項的影響力明顯大於週、月、季波動落後項,與Muller, et al. (1997)、Corsi (2004)及Andersen, et al. (2005)實證研究結果類似。
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台幣匯率趨勢預測表現之研究 / Evaluating the Forecasting Performance of Several Models of Exchange Rate Dynamics:The Case of New Taiwan Dollar吳宜璋, Wu, Yi Jang Unknown Date (has links)
我國自民國68年成立外匯市場以來,積極的推動經濟國際化與自由化,由於台灣對外經貿依存度相當的高,國際貿易是我國經濟發展的趨動力,而匯率扮演著經貿活動關鍵的角色,因而對匯率走勢的預測與掌握,乃成為管理外匯風險的首要工作。
影響匯率的因素相當的複雜,其常受到政府政策的干預,再者,匯率未來的走勢往往容易受到預期心理的影響,眾多的影響因素往往使得對匯率預測的困難程度提高。有鑑於此,本文試圖從貨幣學派結構模型著手--包括價格充分調整模型與實質利率差模型,討論貨幣學派結構模型與匯率資料是否配適良好,然而,若未考慮變數的恆定性與否,而進行迴歸分析,將會造成「假性迴歸」的錯誤。於是本文再引進Johansen共積法,擬找出變數間的長期關係,導入錯誤校正模型,以對匯率進行預測的工作。最後,藉由Hamilton所發展的馬可夫轉轍模型,將不可觀察的隨機變數融入模型中,透過機率控制狀態變數的變動,再對匯率進行統計的推估與預測。
基於本文採用的資料與樣本期間內,本文作成下列結論:
1.貨幣學派結構模型的實證表現不佳,實證的係數符號與理論設定的相差甚多,而其樣本外預測表現也遠不如隨機遊走模型。
2.導入共積關係的錯誤校正模型,其樣本外預測表現仍舊不及隨機遊走模型,然而相較於結構模型,其有明顯的改善。
3.馬可夫轉轍模型的樣本外預測表現,與隨機遊走模型接近,而對匯率變動方向的預測其表現良好。
4.將所有模型一併考慮,則樣本外預測表現以馬可夫轉轍模型最佳,錯誤校正模型次之,而以結構模型為最差。
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台灣地區經常帳的實證研究-VAR模型的應用 / The emperical research of current account in Taiwan - the application of the VAR model陳信忠, Chen, Shung Chung Unknown Date (has links)
本文是探討管理浮動匯率時期(1978年第三季至1993年第三季),台灣地區經常帳盈餘發生的原因,同時考慮匯率因素、貨幣市場及商品與勞務市場吸納的情況。利用兩個向量自迴歸模型,分別納入:(1)匯率、利率、經常帳、消費節約及貨幣供給,(2)匯率、利率、經常帳、財政盈餘及貨幣供給,藉由因果關係檢定、預測誤差分解、及衝擊反應,分析經常帳失衡的原因。
實証結果指出:台灣地區經常帳盈餘,深受匯率、財政盈餘及消費節約的影響,這個結論與我國低估幣值與出口拓展的政策一致。且經常帳盈餘並不能夠顯著的影響貨幣供給,這個結論與央行沖銷的措施一致,其目的無非是要隔離國外部門影響國內貨幣。足見自由化的匯率政策,不但讓匯率反應出合理的水準值,同時可追求獨立的貨幣政策,配合著獎勵投資、消費及增加公共支出,增加國內吸納,藉以減少鉅幅的經常帳盈餘。
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海外投資及避險策略與保險公司價值之探討 / Striving for home advantages? an empirical study of currency hedging of Taiwan life insurers許素珠, Hsu,Su Chu Unknown Date (has links)
本論文包含台灣壽險業資產配置國際化及匯率避險兩個主題。首先,探討台灣壽險業積極向主管機關申請核准提高國外資產配置比率,與美國投資人偏好投資自己國家資產不一致的現象,是台灣壽險業資產配置不得不的策略,或是國際化的迷思? 以25家壽險公司2004 年至2008年財務資料實證結果發現,國外資產納入投資組合對壽險業投資績效有利。如果將樣本公司依據所有權區分為本資公司與外資公司,資料顯示,本資公司國際資產配置較為積極,惟其報酬績效與外資公司差異並不顯著。研究亦發現,2008年美國次貸風暴顯著負向影響台灣壽險公司國外投資報酬,即提高國外資產配置雖可提高報酬,惟匯率風險、信用風險及系統風險暴露亦相對提高,建議壽險公司於追球較高報酬同時,應同時加強風險管理。另實證亦發現,資產規模愈大公司之投資報酬率相對較遜,建議於追求保費市占率成長時,應重視投資報酬績效的實質提升。
第二部分探討2004年至 2008年台灣壽險業國外投資匯率風險管理策略對投資績效影響。以整體產業觀察,匯率避險對投資報酬率有正面效果;本資公司避險策略相較外資公司積極,報酬率亦相對較優;股票上市公司有財報揭露股價波動之壓力,經理人有較強誘因採取避險策略,投資報酬率相較優於股票未上市公司,惟差異並不顯著。實證結果支持Glen and Jorion (1993) and Campbell et al. (2010)避險可以降低匯率風險提升投資報酬績效之研究結論,2006年實施之34號會計公報,顯著影響本資公司與上市公司之避險行為。 / In this study, we study two essays on international asset allocation and the currency hedging problem for Taiwan life insurer industry. In the first essay, we investigate the high percentage of foreign investments placed by Taiwan life insurers and how this phenomenon is at odds with the bias for investing at home common among American investors. The holdings of 25 Taiwan life insurance companies, between the years 2004 and 2008, are scrutinized with a view towards evaluating home bias and its financial impact. We find that foreign investment has proven profitable for the life insurance industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, and that while the performance of investments made by domestic-owned life insurers differs from that of foreign-owned life insurers, the difference is insignificant. We also found that global financial turmoil in 2008 had a massively negative impact on the foreign investments of Taiwan life insurance companies and firm size and return on investment is negative correlated, suggesting that life insurers should focus on enhancing investment performance and risk management.
In the second essay, we examine the currency hedging strategy and its impact on the performance of Taiwan life insurance industry investments from 2004 to 2008. We find that currency hedging strategies have yielded positive results, overall, for the industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, the results show that the currency hedging strategies employed by the domestic-owned companies enjoy advantages over those of foreign-owned firms. If the sample is further divided into those publicly listed on the TAIEX and others, our results show that a hedging strategy has positive effects on listed company. Our findings support the work in Glen and Jorion (1993) and Campbell et al. (2010), which reveal that hedging strategies improve foreign investment returns and can reduce currency risks in comparison to non-hedging strategies. Our empirical results indicate that SFAS No. 34 has a significant effect on currency hedging behavior among domestically owned and listed companies.
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有效匯率預測模型與避險績效比較 / Effective Exchange Rate Forecasting Models and Comparison Hedging Performance尤保傑 Unknown Date (has links)
本研究提出UIP、PPP、 MF、TR及TRa五種匯率預測模型,以新台幣兌美元即期匯率、遠期匯率進行避險準確率及避險成效的實證分析。資料期間為1996年12月到2012年10月的新台幣兌美元即期匯率月資料,資料來源為資料庫Datastream。
實證結果發現UIP、PPP、 MF、TR及TRa五種匯率預測模型比較分析中,若以相對購買力平價模型(PPP)進行選擇性避險,再搭配適當避險比率,其報酬率可能由負報酬轉為正報酬;避險績效衡量方面,以相對購買力平價模型搭配完全避險的績效最好。若以不對稱泰勒模型(TRa)進行選擇性避險,再搭配適當避險比率,報酬率明顯由負轉為正;衡量避險績效衡量方面,完全避險在風險降幅及下方動差避險績效衡量下,以不對稱泰勒模型搭配完全避險的績效最好。 / This study provides five exchange rate models to predict future exchange rate (UIP,PPP,MF,Taylor rule and asymmetric Taylor rule). We illustrate these methods by assessing the forecasting performance of five exchange rate models using monthly returns on TWD/US dollar exchange rate. The data are monthly exchange rates ranging from December 1996 to October 2012, using spot and one-month forward exchange rates form Datastream.
We find that empirical models based on purchase power parity (PPP) and the asymmetric Taylor rule(TRa) outperform the other models in out-of-sample forecasting using the appropriate hedging ratio. Comparing the hedging performance between PPP and models, we find that the hedging performance by the PPP will get the higher return. However, the hedging performance by the will get the lower volatility.
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以厚尾分配及緩長記憶特性模型分析日圓匯率期貨報酬之風險值 / VaR Analysis for the Dollar/Yen Exchange Rate Futures Returns with Fat-Tails and Long Memory鄭士緯, Cheng, Shih-Wei Unknown Date (has links)
本篇文章將採用長期記憶模型之一的HYGARCH模型,搭配1985年廣場協議後的日圓匯率期貨資料來估計日圓期貨匯率買入和放空部位的日報酬風險值,探討控管日圓匯率期貨在使用上的風險。為了更準確地計算風險值,本文採用常態分配、學生t分配以及偏態學生t分配來作模型估計以及風險值之計算。
本文實證的結果將有兩方面的貢獻:首先,實證結果顯示當我們採用厚尾分配估計風險值時,樣本內風險值的估計誤差會與信賴水準的高低呈正比的現象,證明在極端的風險值估計上,厚尾分配均有較佳的表現。其次,與其他使用HYGARCH模型研究日圓匯率的文章相較,本文在風險控管層面上所提供的偏態學生t分配,於估計風險值時,比起只考慮厚尾的對稱學生t分配將來得更為有效,其不但在估計誤差上較小,而且根據Kupiec檢定法,其在樣本內的風險值估計也有較好的表現。此外,本文也將多方證明此資料的偏態分配屬於右偏。 / In order to manage the exposure of the dollar/yen futures returns with regarding the long memory behavior in volatility, we use the HYGARCH(1,d,1) model with the data after the Plaza Accord to compute daily Value-at-Risk (VaR) of long and short trading positions. To take into account the fat-tail situation in financial time series, we estimate the model under the normal, Student-t, and skewed Student-t distributions. The contribution of this article is twofold. First, the empirical results show that the bias of in-sample VaR increases as the confidence level increases when VaR is calculated with a fat-tail distribution. Second, we provide a better distribution, the skewed Student-t innovation, for estimating the HYGARCH model for the Japanese yen in respect of risk management because the bias under the skewed Student-t innovation is smaller than that under the Student-t distribution, and in-sample VaR of the models with a skewed Student-t distribution outperforms based on Kupiec test. In addition, we get the innovation skewed to the right through the in-sample VaR analysis.
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亞洲央行干預外匯市場的有效性及對美國存託憑證價差的影響 / 無張美菁, Chang, Mei Ching Unknown Date (has links)
【第一篇論文中文摘要】
本文使用路透社央行干預匯市的新聞報導,探討哪些因素可以提高亞洲央行成功干預匯市的機率,研究期間為2005年1月至2011年4月。此研究期間涵蓋全球金融風暴和美國採行量化寬鬆政策,因此,亞洲貨幣在逐步對美元升值後發生大幅度的貶值。研究結果顯示印尼、馬來西亞、菲律賓、新加坡、台灣及泰國的央行採取逆風而行的策略是有效的干預方式,而且多個國家在同日干預匯市及第一日的干預會有較高成功的機率。
【第二篇論文中文摘要】
本文透過不同的研究方法針對亞洲國家央行干預匯率市場的有效性再次驗證,研究期間為2005年1月至2011年4月,實證結果顯示亞洲國家在次貸風暴期間面臨美元升值的壓力,央行會採取賣美元的方式來干預匯市,但是這種干預匯市的方式卻僅能減緩美元升值的趨勢,其中以印尼盾、新加坡元、新台幣紛紛對美元貶值較為明顯,而在次貸風暴發生之後,美國實施量化寬鬆政策造成亞洲國家卻面臨美元貶值的壓力,各國央行改採買美元的方式來干預匯市,但是此種干預匯市的方式也只造成美元緩慢貶值的趨勢,其中印尼盾、馬來西亞令吉、新加坡元、韓圜、泰銖分別對美元升值的趨勢較為明顯,此現象反應亞洲央行干預匯市是採取逆風而行的策略,雖然能降低匯率的波動,但無法改變匯率的升貶值趨勢。
【第三篇論文中文摘要】
本研究是在探討印度、印尼、南韓、馬來西亞、新加坡、泰國及台灣央行透過干預匯率市場,對其國家的公司在美國發行存託憑證折溢價的影響,研究期間為2005年1月至2011年4月。研究結果顯示央行對匯市干預造成的變動,確實會影響到該國公司在美國發行的存託憑證產生折價的情形。另外,亞洲央行使用買美元干預匯市的作法會對該國公司在美國發行的存託憑證產生溢價,而央行透過賣美元干預匯市的作法會對該國公司在美國發行的存託憑證產生折價的影響,但是由於樣本資料的限制,其效果在統計上並不顯著。由公司層面的分析可以看出央行透過賣美元來干預匯市對其國家的公司在美國發行的存託憑證會有明顯產生折價的影響。 / 【第一篇論文英文摘要】
Using Reuters’ news reports on central bank interventions, we investigate the factors that increase the odds of intervention success by Asian central banks in the foreign exchange market from January 2005 to April 2011. This period coincides with the global credit crisis and quantitative easing policy, which have engendered a sharp depreciation followed by a gradual appreciation of Asian currencies. The results show that leaning-against-the-wind intervention strategies are effective in Indonesia, Malaysia, Philippines, Singapore, Taiwan, and Thailand. We also find that joint and first day interventions are associated with higher odds of effective intervention.
【第二篇論文英文摘要】
This paper examines the effectiveness of central bank interventions in the foreign exchange market from January 2005 to April 2011 in Asia. The results show that the central banks in Asia intervene in the foreign exchange markets by selling U.S. dollars to prevent severe depreciation of local currencies during the global credit crisis. However, central bankers can only slow down the trend of depreciation of local currencies against U.S. dollar. The currencies apparently depreciate against U.S. dollar in Indonesia, Singapore, and Taiwan. After the global credit crisis, Asian countries confront appreciations of local currencies due to the US quantitative easing policy. The central banks in Asia intervene by purchasing U.S. dollars in the foreign exchange market. Nevertheless, intervention strategies slowly reduce U.S. dollar depreciations. The foreign exchange rate apparently appreciate against U.S. dollar in India, Malaysia, Singapore, South Korea, and Thailand. Results show that Asian central banks adopt leaning-against-the-wind intervention strategies during the sample period. Their interventions in the foreign exchange market can only reduce fluctuations in the foreign exchange rate, but fail to reverse the trend of Asian exchange rates.
【第三篇論文英文摘要】
This paper examines whether Asian central bank interventions in the foreign exchange market affect the discount or premium of American Depositary Receipt (ADR) of Asian companies from January 2005 to April 2011. The sample consists of companies from Indian, Indonesia, South Korea, Malaysia, Singapore. Empirical results show that central bank interventions increase ADR discounts of companies in Asian countries. In addition, interventions by purchasing U.S. dollars result in higher ADR premiums, and the strategies of selling U.S. dollars affect ADR discounts. Though some of the empirical results are not statistically significant due to limited sample size, results based on individual firms show that selling USD interventions by Asian central banks have a significant impact on their ADR discounts.
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