套息交易之實證研究

An Empirical Study on Carry Trade Arbitrage

陳育承(Yu-Cheng Chen)

指導教授 ： 郭文忠

國立臺北大學/社會科學學院/經濟學系/碩士(2014年)

摘要

近年來，因金融危機接連發生，各國相繼調降利率以因應經濟衰退，作為刺激國內景氣復甦之手段。此外，保證金交易使得交易成本降低，可以利用少量資金即可操作幾倍甚至十幾倍於本身資金的額度；再加上外匯市場是沒有明顯收盤時間，幾乎24小時都可以交易的市場。在以上種種因素下，利用利差賺取報酬的套息交易(carry trade) 於近年來逐漸興盛。
本論文欲了解carry trade 報酬可能受到哪些因素影響，並且了解影響的大小，同時比較各國股市與carry trade 的獲利能力、累積報酬的比較。本論文使用八種不同期間的貨幣對，透過建構借低利率貨幣以買入高利率貨幣之天真的( naïve )交易方式，計算出樣本期間內的carry trade 日報酬，利用AR(1) 模型與加入各種本論文認為會影響carry trade 之因素，以觀察其結果，總結並呈現。
本論文研究後發現：第一，利差依然是顯著影響報酬的重要因素。第二，VIX指數除了不顯著的貨幣對外，其他皆支持文獻結果，與carry trade 報酬呈反向關係。第三，金融危機對carry trade 的影響較不明顯，視金融風暴影響範圍而定。第四，TED利差除了不顯著的部分外，皆符合文獻結果，顯示流動性風險對carry trade之反向影響。

關鍵字

股市風險 ； 累積報酬 ； TED利差 ； VIX指數 ； 基差 ； AR(1)模型 ； 套息交易 ； 夏普比率

並列摘要

In recent year, all nations cut interest rate to overcome economic difficulty due to financial crisis. This act aims to encourage the recovery of economic in all nationals. Moreover, exchange margin trading reduced trading capital. It means investors can put in little sum of capital to trade more than it supposed to be. In additional, foreign exchange market did not have an obvious price closing time frame. Investors are capable to trade in this market. In the above factors, the use of interest spreads to earn the profit that we called "carry trade" was began to flourish in recent years.

In this paper, I want to know that what factors may affect the carry trade and we want to understand the size of these factors. I compare the profitability and cumulative payoff of carry trade with eight countries' stock markets. In this paper, I used eight pairs of currencies to construct the naïve carry trade that by borrowing the low interest currency and buying the high interest currency and calculate the daily carry trade payoff. I use the AR(1) model and add variety of factors that affect the carry trade in order to observe the results. Then summarize the results and present in my contents.

並列關鍵字

cumulative payoff ； TED spread ； VIX ； interest spread ； AR(1)model ； carry trade ； stock market risk ； Sharpe ratio

參考文獻

曹天馨 (2008)，「利差交易與次級房貸」，國立台北大學經濟研究所碩士論文

Bakshi, G. and G. Panayotov, (2013) “Predictability of currency carry trades and asset

problem explain the returns to the carry trade?” Review of Financial Studies 24,

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Premium Puzzle: A Microstructure Approach,” American Economic Journal: