換匯交易之偏離現象：以美元兌日圓為例

本研究關注於外匯市場中，拋補利率平價理論（Covered Interest Rate Parity, 簡稱CIP）在金融風暴後長期失效的現象。以美元兌日圓為例，取2004年4月~2022年12月之月資料，發現換匯交易基差於2008年後長期偏負。本研究透過時間序列迴歸分析確認CIP偏離現象的存在，並進一步拆解此現象背後可能因素。迴歸結果顯示，在市場面臨較大波動時，迴歸模型具有相對高的解釋力；在金融風暴期間，美元利率、遠期外匯買賣價差、全球信用風險因子皆對基差有負面影響，然此關係在2010年後不完全成立，顯示其背後傳導機制有所改變。過去文獻推測CIP偏離現象的主要成因可能包含美元需求上升及監管機制趨嚴，而深入探討美日市場差異，兩國利率環境差異大的背景使美元兌日圓市場可能存在以上趨勢，進而造成CIP偏離現象存在。

關鍵字

換匯交易；利率平價理論；換匯交易基差；利差；時間序列分析

並列摘要

This study focuses on the long-term failure of the Covered Interest Rate Parity (CIP) theory in the foreign exchange market after the financial crisis. Using the USD/JPY exchange rate as an example and analyzing monthly data from April 2004 to December 2022, the results indicated that the FX swap basis has been persistently negative since 2008. Time series regression analysis confirmed the existence of CIP deviations and further explored the possible factors behind this phenomenon. The regression results show that the model has relatively high explanatory power during periods of significant market volatility. During the financial crisis, USD LIBOR rates, forward bid-ask spreads, and global credit risk factors all negatively impacted the basis. However, this relationship does not fully hold after 2010, indicating a change in the underlying transmission mechanisms. Previous literature suggests that the primary causes of CIP deviations may include an increased demand for the US dollar and stricter regulatory mechanisms. A deeper investigation into the differences between the US and Japanese markets reveals that the significant disparity in interest rate environments between the two countries could lead to these trends in the USD/JPY market, thereby contributing to the presence of CIP deviations.