主要貨幣投資價值之研究

A Study on Investment Value of Major Currencies

李浩華(Hao-Hua Lee)

指導教授 ： 賴錦璋

淡江大學/商管學院/國際企業學系碩士班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00934

摘要

自從台灣解除及放寬外匯管制以來，一般投資人可以自由投資及運用外匯，乃至大企業外匯資產的投資及避險一直是重要的課題，但無可避免的是必須面對匯兌的風險，然而自金融海嘯以來這波全球景氣的寒冬，美國、日本和歐元區更是競相祭出貨幣量化寬鬆政策，像是人民幣因著美國QE退場，許多人民幣定存族，賺了利差卻賠了匯差，令投資人不可不慎外匯的投資風險，我們欲知在這期間，各外匯的投資風險是否會竄升以及各貨幣之投資價值。
因此本文運用1988、1993年以來李又剛博士所發展之四大項事後幣性衡量指標(報酬率、投資風險、投機色彩及匯率持續變動行為)來客觀的評估金融海嘯後至2015年七種貨幣(台幣、韓圜、日圓、人民幣、澳幣、英鎊、歐元)的幣性特徵，進而運用這些幣性衡量指標引入修正後的均數-變異效用評估法，並予以計算其值，對於各貨幣進行投資價值之比較，數值愈大，代表對該國所提供的整體投資環境之評價也越高。
實證研究後發現，在美施行QE期間，各國的負面指標第一年度會暴增，但隔年度開始均逐年遞減，而非我們原先預期負面指標會一路攀升直到QE退場，另外，負面指標的值與年度投資價值排名幾乎無相關，則與一國採行何種匯率制度有高度相關；而各貨幣年度投資價值與正面指標有著高度正相關，表示著正面指標是投資價值的主要力道；最後研究觀察到在這七年中，日圓和英鎊是相對較穩定及低風險的貨幣，投資人較容易掌握其風險以利進行資產配置。

關鍵字

幣性評估 ； 貨幣投資價值 ； 量化寬鬆貨幣政策

並列摘要

Understanding the value and risk of money is very important for all investors. They have taken advantage of foreign exchange freely since foreign exchange control was relaxed in Taiwan. However, they still have to face a wider size of exchange-rate fluctuation. Therefore, hedging strategy is an important issue for many large companies. In addition, The Fed, Bank of Japan and The European Central Bank ran QE successively due to the economic depression caused by the financial crisis of 2007–08. In this thesis, we mainly want to show whether the negative index still have significant effect on the values of major-country currencies during QE and choose the best strategy.
Therefore, we utilize four evaluative indexes which include rate of return, investment risk, speculative risk and continual change of exchange to assess the characteristics of currencies (TWD, KRW, JPY, CNY, AUD, GBP, EUR) from 2009 to 2015. Finally, we put those indexes into modified mean-variance utility together to decide which currency is the best target.
Besides, there are still some interesting results in this thesis. First, our research indicates that the negative index do not fluctuate consistently during QE. Second, the positive index highly correlates to the investment value. Finally, JPY and GBP are more stable than the other currencies during the past seven years. Consequently, investors could control the investment risk more easily.

並列關鍵字

Currency characteristics ； Currency investment value ； Quantitative easing

參考文獻

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