利差交易報酬轉換動態的總體決定因素

Time-varying Transitional Dynamics of Macroeconomic Determinants on the Carry Trade

本研究檢視利差交易組合報酬的馬可夫轉換模型，是否受到總體變數的影響。我們使用時序變異特性（time-varying transition probabilities, TVTP）的馬可夫轉換模型，探索總體變數與狀態轉換機率的聯繫。本篇論文發現使用TED利差代表的資金流動性風險，可以預測狀態切換的轉換機率，因此可以用於探討利差交易策略報酬反轉的時機。利用狀態轉換機率的預測，我們建構了適時贖回所有部位以避險的投資策略，並發現此策略樣本外績效優於利差交易組合報酬。

This research examines the effects of the macroeconomic determinants on the returns of a carry trade portfolio to be channeled through the transition probabilities in a Markovian process. We investigate the impacts of macroeconomic factors on carry trade performance via the time-varying transition probabilities (TVTP) model. Our results indicate that funding liquidity risk measured by TED spreads can explain the carry reversal. The unwinding trading strategy based on the prediction probabilities of TVTP is shown to outperform a purely carry trade strategy.