| Abstract: | 外匯市場乃全球交易的市場，資金快速流動造成市場波動加大，可能對於國家經濟造成影響，因此投資人面對外匯市場壓力(Exchange Market Pressure, EMP)的行為成為重要探討議題。其中，外匯市場波動加大時，市場價格波動亦提供利差交易的可能性，對投資人而言，若能掌握外匯市場壓力，將能提供利差交易決策的參考。針對上述所提，本文提供EMP指數與遠期外匯市場利差交易報酬關聯之探討，並以無本金交割遠期外匯市場(Non-Delivered Forward, NDF) 為對象，選取NDF交易量最高的六個國家，分別是韓國、印度、中國、巴西、台灣及俄羅斯作研究，以雙變量GARCH捕捉變數間的動態關係。本文實證發現，針對條件平均數而言，大部分國家，利差交易報酬對外匯市場壓力呈現負向傳導；而外匯市場壓力對利差交易報酬，韓國、巴西及俄羅斯為負向傳導關係；印度、中國及台灣為正向關係。此外，條件變異數而言，本文發現所有國家均存在利差交易報酬對外匯市場壓力之波動傳導效果，而僅韓國存在波動不對稱傳導效果。另一方面，巴西、台灣及俄羅斯存在外匯市場壓力對利差交易報酬的波動傳導效果，但無波動不對稱傳導效果。此外，從條件共變異數之估計結果發現，兩者間具隨時間改變相關係數之關係。最後，本文還發現不論條件平均數或條件變異數，利差交易報酬對外匯市場壓力的影響程度相對較高。
Foreign exchange market is the market for global transactions. The rapid shifts in capital flows increase the market volatility, which may cause impacts on the national economy. On this account, the behavior of investors in face of the exchange market pressure (EMP) has become an important issue to explore. Nevertheless, while the foreign exchange market volatility increases, the market price volatility also provides the possibility of carry trade. Therefore, for investors, mastering the exchange market pressure well is the key to the decision-making of carry trade. Focusing on the above-mentioned aspect, this study explored the association between the EMP index and the carry trade returns gained from the forward foreign exchange market. In addition, non-deliverable forward market (NDF) was selected as the research subject, and six countries with the highest NDF trading volume were chosen for research, including South Korea, India, China, Brazil, Taiwan and Russia. In this study, the bivariate GARCH approach was used to identify the dynamic relationship between all the considered variables. From the empirical findings, it was found that as for the conditional mean equations, the carry trade returns have a negative transmission effect on the EMP. From the reverse perspective, the EMP has a negative transmission effect on the carry trade returns in South Korea, Brazil and Russia but positive in India, China and Taiwan. In terms of conditional variance equations, it was found that the carry trade returns have a volatility spillover effect on the EMP in all countries, excluding South Korea, where the volatility asymmetry spillover effect is discovered. On the other hand, the EMP has a volatility spillover effect but no volatility asymmetric spillover effect on the carry trade returns in Brazil, Taiwan and Russia. Furthermore, from the estimated conditional covariance equation, time-varying correlation coefficients were found in the relationship between the EMP and the carry trade returns. Finally, this study also found that whether for conditional mean equations or conditional variance equations, the carry trade returns have a relatively high impact on the EMP. |
