基差與匯率動態之研究-已開發國家與開發中國家為例

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Title:	基差與匯率動態之研究-已開發國家與開發中國家為例
Other Titles:	Research on Dynamics of Basis and Exchange Rates: Examples of Developed and Developing Countries
Authors:	廖嘉怡 LIAO, CHIA-YI
Contributors:	王凱立;林振東 WANG, KAI-LI;LIN, CHEN-DUNG 財務金融學系
Keywords:	基差;匯率;金融危機;貨幣寬鬆;DCC-GARCH 模型 Basis;Exchange Rate;Financial Crisis;Quantitative Easing;DCC-GARCH Model
Date:	2019
Issue Date:	2019-12-16T04:07:13Z (UTC)
Abstract:	本文將探討已開發國家(美國、英國、德國)與開發中國家(泰國、馬來西亞、菲律賓、印尼)其匯率與基差(Basis)之動態關聯，基差定義為信用違約交換與債券之相對變化，分析在不同經濟體下是否具雙向價格發現功能。再者，亦比較已開發國家與開發中國家基差代表之經濟意涵，提供投資人掌握匯率市場與基差套利交易參考。實證發現(1)已開發國家與開發中國家在(I)時期2008全球金融危機下，印證Caceres and Unsal(2013)提出之全球風險假說，基差隨著全球風險增加而擴大，導致貨幣貶值；惟美國在(I)金融危機時期，伴隨著危機時期基差擴大，美元成為強勢避險貨幣，貨幣升值。(2)已開發國家於(II)貨幣寬鬆時期面臨美國貨幣寬鬆、歐債風暴，區域風險使基差增加造成匯率貶值；而開發中國家在該時期印證Fontana and Scheicher(2016)提出流動性假說，隨流動性與資本外逃壓力減少後，使基差增加，造成匯率升值。(3)已開發國家在(III)貨幣正常化時期，在英國脫歐危機下，匯率貶值；而開發中國家因國家經濟體質的不同，因此面臨美國加息政策的不同結果。(4)基差變化與外匯市場之動態關聯具雙向價格發現功能，需考量不同時期之總經風險與各國經濟體的差異，以便提供投資人掌握匯率市場與基差套利交易參考。 This study will examine the dynamic relationship between the basis(CDS-Bond Basis) changes of developed countries (the United States, the United Kingdom, Germany) and developing countries (Thailand, Malaysia, Philippines, Indonesia) and the foreign exchange market, and analyze whether there is a two-way price discovery function in different economies. Furthermore, it also compares the economic implications of the representatives of developed countries and developing countries, and provides investors with reference to exchange rate markets and basis arbitrage transactions. Empirical findings (1) Developed countries and developing countries under the global financial crisis in 2008, confirming the global risk hypothesis proposed by Caceres and Unsal(2013), the basis difference increases with global risks, leading to currency depreciation; During the crisis, with the expansion of the base period during the crisis, the US dollar became a strong safe-haven currency and the currency appreciated.(2) Developed countries face US monetary easing and European debt storms during the period of monetary easing, and regional risks cause the exchange rate to depreciate due to the increase in basis; while developing countries have confirmed Fontana and Scheicher(2016) proposed liquidity hypothesis with liquidity during this period. After the capital flight pressure is reduced, the basis difference is increased, resulting in exchange rate appreciation.(3)In the period of normalization of currency, the developed countries have depreciated the exchange rate under the Brexit crisis in the UK; while developing countries have different results in the US interest rate policy because of the different economic physiques of the country.(4)The dynamic relationship between the change of basis and the foreign exchange market has a two-way price discovery function, which needs to consider the difference between the total risk of different periods and the economies of different countries, so as to provide investors with reference to exchange rate market and basis arbitrage transactions.
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