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  • 學位論文

亞洲單一貨幣化與風險值(VaR)之相關研究

A Study of the Relation between Asian Currency Unit and Value at Risk

指導教授 : 陳若暉

摘要


2007年中起,美國次級房屋信貸危機爆發後,引發流動性危機,突顯世人對風險控管能力普遍不足。2008年金融危機開始失控,導致多間大型金融機構倒閉(如雷曼兄弟銀行)或被政府接管,連帶影響至各個產業,造成全面性的全球經濟不景氣。   事實上,歐洲各國早在二次大戰後便積極展開一連串區域性的貨幣穩定及經濟整合計畫,並建立以單一貨幣為目的的經濟暨貨幣聯盟,以期達成一個平衡永久之經濟社會環境。而亞太地區的國家或經濟體,則是在1997年亞洲金融風暴後,開始致力於整頓國內金融體系。2008年中更成立了穩定金融基金,將東協雙邊換匯機制擴大成多國互通模式,被視為朝向成立亞洲版國際貨幣基金邁進一大步。   有鑒於各種金融活動的熱絡與新金融商品的不斷創新,風險控管便成為金融機構之重要目標,使得風險價值(Value at Risk,VaR)迅速獲得各界重視,成為風險管理之新興工具之一。本研究以亞洲十種貨幣組成貨幣籃,加權建構出亞洲單一貨幣(ACU)之中心匯率,以及台灣、香港、日本、南韓、馬來西亞、菲律賓、新加坡、泰國、中國大陸及印尼等貨幣兌換美元匯率之各歷史日資料及日本經濟產業研究所以13個亞洲國家匯率加權算出的亞洲單一貨幣(AMU)日資料,藉風險值之模型計算,來估計各貨幣目前的風險暴露程度及未來所可能承受的損失,並分析亞洲單一貨幣之建制是否可能降低風險值。   研究發現在亞洲金融風暴期間,歷史模擬法之結果呈現下跌之軌跡,原因是歷史模擬法對極端值表現較為敏感;而蒙地卡羅法較不適合用來預測貨幣匯率。此外,壓力測試應定期衡量,不宜長期評估,以避免預測不佳之狀況。   研究結果顯示貨幣整合的確能減少金融危機對匯率的衝擊;而因亞洲各國匯率具有連動性,亞洲單一貨幣ACU及AMU表現相對有抗跌的效果,顯示施行亞洲單一貨幣確實有助於承受壓力測試能力之提升。若在進行風險值壓力測試時,能以逆向搜尋法找出期間內變動率超過規定標準之樣本,再逆向分析其事件,應更能更有效掌握風險值,以提早避免金融危機造成之風險及衝擊,此結論對於亞洲經濟整合與預防金融風險皆有重要的參考性。

並列摘要


The outbreak of Collateralized Debt Obligation beginning in mid 2007 triggered a series of liquidity crisis and generally highlighted the public’s inadequate capability in risk control. The beginning of 2008 financial tsunami started to get out of control and led to the collapse or taking over by governments of several large financial institutions (such as Lehman Brothers), which also affect various industries and caused comprehensively global economic downturn.  In reality, most countries in Europe already actively pursued on regional monetary stability and economic integration projects early in post World War II. In addition to establishing a currency unit based on economic and monetary union, they attempt to achieve a balanced and permanent economic and social environment. On the other hand, Asia-Pacific countries or economies started committing to rectification of domestic financial system after the currency crisis in Asian in 1997. In 2008, financial stabilization funds were established to expand ASEAN bilateral exchange mechanism into multinational exchange mechanism, which is regarded as a great step forward to establishing Asian International Monetary Fund (IMF).   In view of various active financial activities and innovation in new financial products, risk control becomes the main objective in financial institutions while Value at Risk (VaR) quickly gains public’s attention and becomes one of the new risk management tools. The study uses weighted composition of currency basket to construct a central exchange rate for Asian Currency Unit (ACU), the historical daily currency exchange rates of Taiwan, Hong Kong, Japan, South Korea, Malaysia, Philippines, Singapore, Thailand, China and Indonesia currencies to the United States Dollars and using 13 Asian countries exchange rates weighted by Japan Economic Institute to calculate the daily data on Asian Monetary Unit (AMU), in order to estimate the current level of risk exposure of various currency units and the expected loss bearable in the future. The study further analyzes whether the construction of Asian Currency unit can reduce the probability of value at risk.   The study discovers that Historical Simulation can comparably exhibit a track showdown due to the more sensibility in historical simulation to extreme value; whereas Monte Carole Stochastic Simulation is not applicable in estimating currency exchange rates. To avoid the prediction bias, the selection of Stress Testing method should be evaluated on a regular basis regardless of long-term assessment.   In addition, the study results show that integration of currency units may indeed reduce the impacts of financial crisis to exchange rates. The exchange rates of Asian countries are linked while the performance of ACU and AMU is relatively defensive, which implies that the implementation of ACU may enhance ability to take pressure testing. If backward search is used in pressure testing for risk value to find out sampling of rate of changes exceeding required standards, then a reverse analysis on the event will more effectively control risk value and avoid the risks and impacts caused by financial crisis. Such conclusion is an important reference for Asian economies integration and prevention of financial risks.

參考文獻


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被引用紀錄


高秀貞(2016)。亞洲匯率指數與指數型基金之預測分析-以ARFIMA-FIAPARCH模型為例〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201600445
林惠玉(2011)。亞洲單一貨幣化之匯率波動性與平均數 復歸的實證研究〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201100569

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