地緣政治風險對新臺幣利差交易策略報酬之影響分析-以美元、瑞士法郎與日圓為例;The Impact of Geopolitical Risk on Carry Trade Returns of the New Taiwan Dollar: Evidence from the US Dollar, Swiss Franc, and Japanese Yen

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题名:	地緣政治風險對新臺幣利差交易策略報酬之影響分析-以美元、瑞士法郎與日圓為例;The Impact of Geopolitical Risk on Carry Trade Returns of the New Taiwan Dollar: Evidence from the US Dollar, Swiss Franc, and Japanese Yen
作者:	劉依柔;LIU, YI-JOU
贡献者:	財務金融學系在職專班
关键词:	利差交易;外匯干預;地緣政治風險;匯率變動率;Carry Trade;Foreign Exchange Intervention;Geopolitical Risk;Exchange Rate
日期:	2025-07-18
上传时间:	2025-10-17 12:05:39 (UTC+8)
出版者:	國立中央大學
摘要:	本研究以美元（USD）、瑞士法郎（CHF）及日圓（JPY）兌新臺幣（NTD）三種主要貨幣為研究對象，探討地緣政治風險對於利差交易(carry trade)策略報酬之影響。過去文獻多以利率差作為利差交易策略的主要依據，然而考量到臺灣採行管理式浮動匯率制度，中央銀行之外匯干預行為及地緣政治風險等因素，亦可能對匯率走勢及套利報酬產生重要影響。本文使用2002年至2024年之月資料，並以多元線性迴歸模型進行實證分析，檢驗利差（interest rate differential）、匯率變動率、物價指數差距、實質匯率偏離、外匯干預代理變數與地緣政治風險指數（Geopolitical Risk Index, GPR）對利差交易報酬之影響程度。分析結果顯示，美元兌新臺幣利差交易報酬受地緣政治風險顯著負向影響，支持地緣政治風險提高市場不確定性並抑制套利報酬之假設。相較之下，瑞士法郎及日圓作為典型避險貨幣，GPR指數對其報酬影響並不顯著，可能因避險資金流動已內生反映地緣風險需求。 ;This study investigates the impact of geopolitical risk on the performance of carry trade strategies involving three exchange rates: USD/NTD, CHF/NTD, and JPY/NTD. While previous literature primarily focuses on interest rate differentials as the core factor driving carry trade returns, Taiwan’s managed floating exchange rate regime implies that foreign exchange interventions by the central bank and geopolitical uncertainties may also play significant roles in shaping exchange rate dynamics and arbitrage opportunities. Employing monthly data from 2002 to 2024, this thesis adopts a multiple linear regression framework to examine how interest rate differentials, exchange rate changes, producer price index gaps, real exchange rate deviations, foreign exchange intervention proxies, and the Geopolitical Risk Index (GPR) affect carry trade returns. The empirical findings indicate that geopolitical risk has a significant negative effect on USD/NTD carry trade returns, confirming the hypothesis that geopolitical tensions increase market uncertainty and suppress potential arbitrage profits. In contrast, no significant GPR effects are observed in CHF/NTD and JPY/NTD carry trades, possibly due to these currencies′ safe-haven status which inherently absorbs risk shocks.
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