淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


系統識別號 U0002-0207201312254900
中文論文名稱 收益線所蘊含的資訊對匯率訊息影響之研究探討
英文論文名稱 A study for the effect of the Information Released by Yield Curves to Exchange Rate Informativeness
校院名稱 淡江大學
系所名稱(中) 管理科學學系碩士班
系所名稱(英) Master’s Program, Department of Management Sciences
學年度 101
學期 2
出版年 102
研究生中文姓名 劉靜宜
研究生英文姓名 Ching-Yi Liu
學號 600620784
學位類別 碩士
語文別 中文
口試日期 2013-06-27
論文頁數 33頁
口試委員 指導教授-倪衍森
委員-李命志
委員-陳明麗
中文關鍵字 收益線  匯率變動  匯率波動 
英文關鍵字 Yield curve  Exchange rate change  Exchange rate volatility 
學科別分類
中文摘要 由於台灣為外貿導向的國家,企業易受到匯率變動與波動的影響,而且近十年來,台灣歷經亞洲金融風暴、科技泡沫、金融海嘯以及歐債危機,是以再考量與資金成本有關的利率及與以利率所萃取的違約風險溢酬、到期期間風險溢酬、匯率變動與波動應可視為了解台灣雙率脈動的重要研究課題。
在學理上有利率平價理論為連結二者的理論基礎,而利率與匯率以及與利率有關之訊息,是否與收益線所萃取的變數匯率及匯率波動有所關連與互動呢?在此背景下,本研究將進一步瞭解上述的課題。
經由本研究的實證結果,有以下之重要的研究發現:其一當經濟不景氣時,風險趨避的投資者欲將資金投資在公債上,此舉造成公債長短天期的收益縮小。其二匯率變動與資本變動率為正向影響,其成因乃是源自於遺贈稅的調降與美國的貨幣寬鬆政策,使之即時資本帳流出,台幣依然不貶反升。
英文摘要 Taiwan is a foreign trade-oriented country, which is easily affected by exchange rates and exchange rate volatilities, Over the recent decade, Taiwan face a variety of financial crisis including the 1997-1998 Asian financial crisis, the 2000-2001 technical bubbles, the 2008 financial tsunami, and the recent European debt crisis; therefore, the relationship between interest rates and exchange rates even exchange exposure would be an important issue for investigation. Furthermore, the default risk premium and term premium retrieved from yield curves would be taken into account, since there variables play important roles for deciding cost of capital for enterprises besides the interest rate level.
According to the viewpoint from the academic aspect, the interest rate parity could be employed as the connection between interest rates and exchange rates. In this study, we further explore whether the default risk and interest risk premiums retrieved from the interest rate movements would have mutual relationship with exchange rates and exchange rate exposures in this study.
The results show that risk adverse investors are inclined to invest treasury bonds as the economy is in depression, which might result in the yield difference shrunk between short-term and long-term treasury bonds. In addition, foreign capital inflows positively affect exchange rates beyond our expectation, which might results from the loose money policy implemented by the Fed of US and the declining inheritance tax. As a result, the currency is appreciated, even though the net capital flow is shown negative.
論文目次 目錄
目錄 I
圖目錄 II
表目錄 III
第一章、緒論 1
第一節、研究背景與動機 1
第二節、研究目的 3
第三節、研究流程 5
第四節、研究架構 6
第二章、文獻探討 7
第一節、收益線蘊含訊息的相關文獻 7
第二節、匯率蘊含訊息之相關文獻 8
第三節、匯率與收益線關連性之文獻 10
第三章、研究假說與模型 12
第一節、資料來源及研究變數 12
第二節、研究假說的建立 15
第三節、研究模型的建立 16
第四節、研究方法介紹 18
第四章、實證結果與分析 20
第一節、敘述性統計量 20
第二節、迴歸模型的實證結果 21
第三節、聯立方程式的實證結果 25
第五章、研究結論與建議 28
第一節、研究結論 28
第二節、投資與管理意涵 29
第三節、研究限制與後續建議 30
參考文獻 31
圖目錄
圖1-1研究流圖………………………………………………………………………5
圖4-1匯率波動圖……………………………………………………………………21
表目錄
表4-1各變數之敘述統計量…………………………………………………………20
表4-2利率與自變數之迴歸分析……………………………………………………22
表4-3匯率變動與自變數之迴歸分析………………………………………………23
表4-4匯率波動與自變數之迴歸分析………………………………………………24
表4-5利率和匯率變動之間的關聯性………………………………………………25
表4-6利率和匯率波動之間的關聯…………………………………………………26



參考文獻 參考文獻
1. Ang, Andrew and Chen, Joseph S.(2010) Yield curve predictors of foreign exchange returns. Available at SSRN: http://ssrn.com/abstract=1542342 .
2. Anga, Andrew, Monika Piazzesib, and Min Weid (2003) What does the yield curve tell us about GDP growth? Journal of Econometrics 131(1–2): 359–403.
3. Asseery, A. and Peel, D. A. (1991) The effects of exchange rate volatility on exports: Some new estimates. Economics Letters 37(2): 173-177.

4. Baig, T. and Goldfajn, I. (2002) Monetary policy in the aftermath of currency crises: The case of Asia. Review of International Economics 10(1): 92-112.

5. Baldacci, Emanuele and Kumar, Manmohan (2010) Fiscal deficits, public debt, and sovereign bond yields. Available at SSRN: http://ssrn.com/abstract=1669865 .

6. Balduzzi, P., Elton, E. J., and Green, T. C. (2001) Economic news and bond prices: Evidence from the US treasury market. Journal of Financial and Quantitative Analysis 36(4): 523-544.
7. Bartram, S. M. (2008) What lies beneath: Foreign exchange rate exposure, hedging and cash flows. Journal of Banking & Finance 32(8): 1508-1521.
8. Bartram, S. M., Brown, G. W., and Minton, B. A. (2010) Resolving the exposure puzzle: The many facets of exchange rate exposure. Journal of Financial Economics, 95(2), 148-173.

9. Benigno, G., Benigno, P., and Ghironi, F. (2007) Interest rate rules for fixed exchange rate regimes. Journal of Economic Dynamics and Control, 31(7): 2196-2211.
10. Brailsford, T., Penm, J. H., and Lai, C. D. (2006) Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis. Journal of Applied Mathematics and Decision Sciences 2006:1-9.
11. Chen, Y. and Tsang, K. P. (2010) What does the yield curve tell us about exchange rate predictability? Available at SSRN: http://ssrn.com/abstract=1731787 .

12. Chue, T. K. and Cook, D. (2008). Emerging market exchange rate exposure. Journal of Banking & Finance 32(7): 1349-1362.
13. Dominguez, K. M. and Tesar, L. L. (2006) Exchange rate exposure. Journal of International Economics 68(1): 188-218.
14. Edison, H. J. and Pauls, B. D. (1993) A re-assessment of the relationship between real exchange rates and real interest rates: 1974–1990. Journal of Monetary Economics, 31(2): 165-187.

15. Estrella, A. (2005) Why does the yield curve predict output and inflation? The Economic Journal 115(505): 722-744.
16. Estrella, A. and Mishkin, F. (1996). The yield curve as a predictor of US recessions. Current Issues in Economics and Finance, 2(7): 1-6.
17. Kim, K. (2003) Dollar exchange rate and stock price: Evidence from multivariate cointegration and error correction model. Review of Financial Economics 12(3): 301-313.
18. Lin, C. (2011) Exchange rate exposure in the Asian emerging markets. Journal of Multinational Financial Management 21(4): 224-238.

19. Mehl, A. (2009). The yield curve as a predictor and emerging economies. Open Economies Review 20(5): 683-716.
20. Mishkin, F. S. (1991). The information in the longer maturity term structure about future inflation. NBER No. W3126.
21. Pan, M., Fok, R. C., and Liu, Y. A. (2007) Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics & Finance 16(4): 503-520.
22. Pontines, V. and Rajan, R. S. (2011). Foreign exchange market intervention and reserve accumulation in emerging Asia: Is there evidence of fear of appreciation? Economics Letters 111(3): 252-255.
23. Rogers, L. C. (2002). The potential approach to the term structure of interest rates and foreign exchange rates. Mathematical Finance 7(2): 157-176.
24. Schnabl, G. (2009). Exchange rate volatility and growth in emerging Europe and East Asia. Open Economies Review 20(4): 565-587.
25. Straetmans, S. and Versteeg, R. (2009). The effect of capital controls on exchange rate risk. Available at SSRN: http://ssrn.com/abstract=1341785
26. Wright, J. (2006). The yield curve and predicting recessions. Available at SSRN: http://ssrn.com/abstract=899538
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2018-07-04公開。
  • 同意授權瀏覽/列印電子全文服務,於2018-07-04起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信