收益線所蘊含的資訊對匯率訊息影響之研究探討

A study for the effect of the Information Released by Yield Curves to Exchange Rate Informativeness

劉靜宜(Ching-Yi Liu)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系碩士班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.00051

摘要

由於台灣為外貿導向的國家，企業易受到匯率變動與波動的影響，而且近十年來，台灣歷經亞洲金融風暴、科技泡沫、金融海嘯以及歐債危機，是以再考量與資金成本有關的利率及與以利率所萃取的違約風險溢酬、到期期間風險溢酬、匯率變動與波動應可視為了解台灣雙率脈動的重要研究課題。
在學理上有利率平價理論為連結二者的理論基礎，而利率與匯率以及與利率有關之訊息，是否與收益線所萃取的變數匯率及匯率波動有所關連與互動呢?在此背景下，本研究將進一步瞭解上述的課題。
經由本研究的實證結果，有以下之重要的研究發現：其一當經濟不景氣時，風險趨避的投資者欲將資金投資在公債上，此舉造成公債長短天期的收益縮小。其二匯率變動與資本變動率為正向影響，其成因乃是源自於遺贈稅的調降與美國的貨幣寬鬆政策，使之即時資本帳流出，台幣依然不貶反升。

關鍵字

收益線 ； 匯率變動 ； 匯率波動

並列摘要

Taiwan is a foreign trade-oriented country, which is easily affected by exchange rates and exchange rate volatilities, Over the recent decade, Taiwan face a variety of financial crisis including the 1997-1998 Asian financial crisis, the 2000-2001 technical bubbles, the 2008 financial tsunami, and the recent European debt crisis; therefore, the relationship between interest rates and exchange rates even exchange exposure would be an important issue for investigation. Furthermore, the default risk premium and term premium retrieved from yield curves would be taken into account, since there variables play important roles for deciding cost of capital for enterprises besides the interest rate level.
According to the viewpoint from the academic aspect, the interest rate parity could be employed as the connection between interest rates and exchange rates. In this study, we further explore whether the default risk and interest risk premiums retrieved from the interest rate movements would have mutual relationship with exchange rates and exchange rate exposures in this study.
The results show that risk adverse investors are inclined to invest treasury bonds as the economy is in depression, which might result in the yield difference shrunk between short-term and long-term treasury bonds. In addition, foreign capital inflows positively affect exchange rates beyond our expectation, which might results from the loose money policy implemented by the Fed of US and the declining inheritance tax. As a result, the currency is appreciated, even though the net capital flow is shown negative.

並列關鍵字

Yield curve ； Exchange rate change ； Exchange rate volatility

參考文獻

1. Ang, Andrew and Chen, Joseph S.(2010) Yield curve predictors of foreign exchange returns. Available at SSRN: http://ssrn.com/abstract=1542342 .

2. Anga, Andrew, Monika Piazzesib, and Min Weid (2003) What does the yield curve tell us about GDP growth? Journal of Econometrics 131(1–2): 359–403.

3. Asseery, A. and Peel, D. A. (1991) The effects of exchange rate volatility on exports: Some new estimates. Economics Letters 37(2): 173-177.

4. Baig, T. and Goldfajn, I. (2002) Monetary policy in the aftermath of currency crises: The case of Asia. Review of International Economics 10(1): 92-112.

5. Baldacci, Emanuele and Kumar, Manmohan (2010) Fiscal deficits, public debt, and sovereign bond yields. Available at SSRN: http://ssrn.com/abstract=1669865 .