匯率分離管理－台幣利差交易之外匯交易模型

Currency Overlay－TWD Carry Trade

曾佑靖(Yu-Ching Tseng)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.00318

摘要

國際上過去主要以日幣作為利差交易的標的，但在近年來，台灣的利率太低，以及台幣兌美元的匯率，受到央行的干預，匯率的波動一直維持在一定的範圍，因此台幣與日幣相同，符合利差交易的兩個條件：低利率、匯率波動小。期望利用回溯測試法(Backtesting)，觀察過去利用台幣作利差交易的績效表現，並探討其結果。

本研究主要以匯率分離管理(Currency Overlay)中的純超額報酬策略(Pure Alpha Strategy)為主，透過高利率貨幣對台幣作利差交易，期望在外匯部位上追求報酬。利用國際貨幣投資組合，尋找最適組合，以降低匯率風險，建構「台幣利差交易貨幣組合」，期望鎖定住台幣與高利率貨幣間的利差水準，賺取利差收入。

實證結果發現，”台幣利差交易貨幣組合”中美元所佔比重過大，主因為台幣/美元匯率波動幅度小，因此較大比例的美元部位會使得貨幣組合匯率風險降低，但也因此使此結果易受美元波動影響；不含美元的”台幣利差交易貨幣組合”，年報酬率達6.28%，遠高於過去台灣一個月利率的平均2.22%，因此不含美元的貨幣組合可供投資者作為參考依據。

關鍵字

匯率分離管理 ； 利差交易

並列摘要

The major currency for carry trade is Japanese yen internationally. In recent, the Taiwan dollar is a good choice for carry trade. There are two reasons. The first one is low interest rate environment in Taiwan. The second one is that the Central Bank’s intervention leads Taiwan dollar to US dollar currency exchange rate stable. Observe the performance of Taiwan dollar carry trade in the past by using backtesting, and analyse these results.

The study is focus on the “Pure alpha strategy.” Short Taiwan dollar, long high interest rate currency. Expect to earn the interest spread. The major risk of carry trade is foreign exchange rate risk. Therefore, build up an international currency portfolio to diversify the foreign exchange rate risk by finding the optimal weights.

The study concludes that the weight of the US dollar is high in the portfolio. Therefore, the performance of the portfolio is highly affected by the Taiwan dollar to US dollar currency exchange rate. The annualized return of the portfolio excluded US dollar is 6.28%. It is much higher than 2.22%, which is the average one-month interest rate of Taiwan dollar. Provide the investors another good investment strategy.

並列關鍵字

Currency Overlay ； Carry Trade

參考文獻

2.Bhansali V., “Volatility and the Carry Trade,” The Journal of Fixed Income, Winter 2007

3.Johnson, R. S., C. W. Hultman and R. A. Zuber, “Currency Cocktail and Exchange Rate Stability,” Columbia Journal of World Business, Winter 1979

4.Jylha P., J. Lyttinen and M. Suominen, “Arbitrage Capital and Currency Carry Trade Returns,” April 2008

5.Markowitz, H., “Portfolio Selection”, The Journal of Finance, Vol.7, No.1(Mar. 1952)

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