本研究旨在探討外匯選擇權市場中偏度期限結構（Skew Slope）之匯率預測能力，以風險反轉選擇權（Risk Reversal, RR）之長短期差值 RR作為核心解釋變數，對全球18種貨幣（9個已開發市場G10貨幣及9個新興市場EM貨幣）進行實證分析，樣本期間橫跨2008年3月至2025年12月，涵蓋逾4,600個日頻交易日。
研究動機源於對Ornelas and Mauad（2019）的改良，該研究雖已確立隱含波動率期限結構（IV Term Structure）對匯率報酬之預測效力，但其採用平價隱含波動率（ATM IV）所構造的斜率指標存在兩大缺陷：一是混雜了對稱性的實體波動噪音，無法有效辨別「方向性風險溢酬」與「一般性不確定性」；二是當模型同時納入水準與斜率時，嚴重的多元共線性（Multicollinearity）使係數顯著性大幅下降。
本研究提出以風險反轉差值構造「偏度期限結構（Skew Slope）」，透過買權與賣權隱含波動率相減，自動抵消對稱性實體波動雜訊，純化方向性崩盤風險溢酬的期限張力。主要實證發現如下：第一，在已開發市場（G10），Skew Slope與未來3至6個月匯率報酬呈顯著負相關，支持均值回歸假說，多數貨幣（AUD、EUR、GBP、NOK、SEK等）在控制利差與動能後仍維持5%顯著水準；第二，在新興市場（EM），Skew Slope與未來報酬呈顯著正相關，反映風險溢酬機制；第三，日圓（JPY）呈現與G10其他貨幣相反之正向顯著關係，印證避險資產的獨特定價邏輯；第四，在回測績效上，G10的Skew Slope策略總報酬夏普比率（1.122）大幅優於O&M的ATM Slope策略（0.36）。
本研究之核心貢獻在於提出具備去噪機制的新型期限結構預測指標，修正了既有文獻在資訊混雜與共線性方面的技術缺陷，同時識別了日圓等避險資產的特殊定價機制，並以長達17年的跨週期樣本驗證跨期穩健性。

This study investigates the exchange rate predictability of the FX option skew term structure (Skew Slope), employing the spread between long- and short-term Risk Reversal options — RR(1Y) − RR(1M) — as the core explanatory variable. We conduct an empirical analysis covering 18 global currencies (9 G10 developed market currencies and 9 emerging market currencies), with a sample period spanning from March 2008 to December 2025, encompassing over 4,600 daily trading observations.
The research motivation stems from an improvement upon Ornelas and Mauad (2019), whose study established the predictive power of the implied volatility term structure (IVTS) for exchange rate returns. However, the slope indicator constructed using at-the-money implied volatility (ATM IV) suffers from two fundamental limitations: first, it conflates symmetric physical volatility noise, rendering it unable to effectively distinguish between "directional risk premia" and "general uncertainty"; second, when both the level and slope are simultaneously incorporated into the model, severe multicollinearity substantially reduces the statistical significance of the coefficients.
This study proposes constructing a "skew term structure (Skew Slope)" using the Risk Reversal spread, whereby the subtraction of put implied volatility from call implied volatility automatically cancels out symmetric physical volatility noise, thereby purifying the term structure tension of directional crash risk premia. The main empirical findings are as follows. First, in developed markets (G10), the Skew Slope exhibits a significantly negative relationship with future 3- to 6-month exchange rate returns, supporting the mean-reversion hypothesis; most currencies (AUD, EUR, GBP, NOK, SEK, etc.) maintain the 5% significance level after controlling for interest rate differentials and momentum. Second, in emerging markets (EM), the Skew Slope demonstrates a significantly positive relationship with future returns, reflecting a risk premium mechanism. Third, the Japanese Yen (JPY) exhibits a significantly positive relationship contrary to other G10 currencies, confirming the unique pricing logic of safe-haven assets. Fourth, in terms of backtesting performance, the G10 Skew Slope strategy achieves a total return Sharpe ratio of 1.122, substantially outperforming O&M's ATM Slope strategy (0.36).
The core contribution of this study lies in proposing a novel term structure predictive indicator with a built-in de-noising mechanism, correcting the technical deficiencies of existing literature regarding information contamination and multicollinearity. The study simultaneously identifies the unique pricing mechanisms of safe-haven assets such as the Japanese Yen, and validates cross-period robustness through a 17-year sample spanning multiple market cycles.

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