臺灣博碩士論文加值系統

外匯市場交易日益熱絡，提升了外匯市場風險衡量之重要性，隨著外匯選擇權交易量的增加，選擇權隱含波動度也成分析外匯市場風險的可靠依據。本論文欲探討外匯選擇權波動度的期限結構，以了解波動度期限結構變化所傳遞給外匯市場的訊息，並探討總體經濟因子如何影響外匯市場風險。本論文將研究對象鎖定在歐元兌美元、英鎊兌美元、美元兌日圓、澳幣兌美元、美元兌加幣、美元兌瑞士法郎這六個成熟市場上交易量最龐大的貨幣配對，並延伸Ren(2019)探索匯率風險因子的方法，從外匯選擇權的波動度期限結構萃取出Level與Slope兩個因子。
此外，本論文使用5大類總體經濟因子並建立Panel Data迴歸模型分析外匯波動度期限結構的Level和Slope，我們發現美國金融系統信用風險與市場情緒展望兩大類總經因子對波動度期限結構的影響最為顯著，當美國金融系統信用風險上升或市場情緒展望下行時，外匯波動度期限結構的Level會顯著上升且Slope將顯著下滑甚至轉為負斜率，因短天期外匯波動度對於金融市場數據的敏感度更高。我們也發現具長期結構特性的總經因子如經濟循環的變化與聯準會的資產購買計畫，其對於波動度Level具有顯著的影響；個別國家經濟變數如經常帳餘額、金融情勢差異、產出缺口等也皆對外匯波動度期限結構的變化具顯著影響。

The increasing trading activity enhanced the importance of risk measuring in the foreign exchange markets. The option implied volatility turned out to be a reliable measurement for exploring currency risks with the increasing turnover on forex options.
This thesis intends to analyze the term structure of the option implied volatility in the foreign exchange markets, understand what kind of information the term structure of volatility transmitted to the forex markets, and figure out how macroeconomic factors affect the currency risks.
The thesis considers the six major currency pairs in the developed markets, EUR/USD, GBP/USD, USD/JPY, AUD/USD, USD/CAD, USD/CHF. We extended the method of exploring currency risk factors by Ren (2019), extracting Level and Slope factors from the implied volatility term structure of currency options. Furthermore, we added five types of macroeconomic variables and built a panel data regression model to analyze the Level and Slope of the implied volatility term structure. Financial system risk and investor expectation & sentiment are two macro drivers that have the most notable impacts on the term structure suggested by our results. When the financial system risk rises or the investor outlook & sentiment weaken, the Level of volatility term structure will increase, and the Slope will decline or even turn negative due to the higher sensitivity of implied volatility on short-dated options. In addition, the thesis also suggests that macro drivers with structural and longer-term characteristics, such as economic cycles and the FED’s asset purchase program, have notable impacts on the Level of implied volatility. Last but not least, economic variables for six non-US countries such as current account balances and financial condition differences, output gaps, also affect the implied volatility term structure in forex markets significantly.

誌謝 i
摘要 ii
Abstract iii
目錄 iv
圖目錄 v
表目錄 vi
第一章、緒論 1
第一節、研究動機 1
第二節、研究目的與論文架構 4
第二章、文獻回顧 6
第一節、外匯選擇權隱含波動度 6
第二節、隱含波動度期限結構之總經因子分析 9
第三章、研究方法 11
第一節、資料與樣本特性 11
第二節、研究模型與方法 27
第四章、外匯隱含波動度期限結構之總經因子分析 32
第一節、Panel Data資料相關性分析 32
第二節、外匯隱含波動度期限結構Level 之分析結果 33
第三節、外匯隱含波動度期限結構Slope 之分析結果 40
第四節、外匯隱含波動度期限結構分析之小結 46
第五章、結論與未來探討 48
參考文獻 50

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