Modeling the Degree of Currency Misalignment around the Asian Financial Crisis: Evidence from Taiwan and Korea's Non-delivery Forward Exchange Markets

亞洲金融風暴時期遠匯與即期匯率價格不一致程度的探討：韓圜及新台幣無本金遠匯市場的實證結果

張元晨(Yuan-chen Chang) ； 沈中華(Chung-hua Shen)

《台灣管理學刊》 2卷2期 (2002/12) Pp. 41-52

https://doi.org/10.6295/TAMJ.2002.0202.03

摘要

本文旨在探討台灣及韓國在亞洲金融風暴時期無本金遠匯市場與即期匯率價格不一致的程度。基於在金融風暴時期透過無本金遠匯計算出來的隱含即期匯率較能反映市場對匯率走勢的看法，本文利用新台幣兌美元及韓圜兌美元的無本金遠匯推算出隱含的即期匯率水準，並將遠匯與即期匯率不一致的程度定義為隱含的即期匯率與實際即期匯率之間的差額。我們利用匯率不一致的程度推算新台幣及韓圜在亞洲金融風暴期間處於不同狀態的機率，研究發現韓圜匯率不一致程度較高的持續期間較新台幣為長，後續研究可以參考本文的架構分析在金融風暴時期匯率發生大幅波動的時機。

關鍵字

亞洲金融風暴 ； 匯率 ； 無本金遠匯

並列摘要

This paper investigates the degree of currency misalignment in Taiwan and Korea around the Asian financial crisis. We calculate the implicit NTD/USD and WON/USD spot exchange rates from their observed non-delivery forward rates and measure the degree of currency misalignment as the difference between the implied and observed spot exchange rates. Our presumption is that during a financial crisis, non-delivery forward rates reflect market sentiments more closely than spot and forward rates. We calculate the probability for each currency in different states using our measures for currency misalignments and find that the persistence of large misalignment of the WON/USD is longer than that of the NTD/USD during the Asian financial crisis period. Our model of currency misalignment can be applied to forecast the occurrence of large exchange rate adjustments during a financial crisis.

並列關鍵字

Asian Financial Crisis ； Exchange Rates ； NDF

參考文獻

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