本研究探討台灣機構投資人外匯交換（FX Swap）需求變動對美元兌新台幣（USDTWD）跨幣別基差（Cross-Currency Basis, 簡稱 CCB）的影響，並進一步分析在全球套利資本（Global Arbitrage Capital, 以下簡稱 GAC）鬆緊程度不同的情況下，市場反應是否存在差異。當市場資本充足時，外匯交換需求可被較有效地吸收；反之，若資本緊縮，則可能放大價格變動，使基差出現更劇烈的偏離。

研究資料涵蓋 2014 年至 2024 年之月資料，包含台灣機構投資人的 FX Swap 交易量變化、OFR Financial Stress Index（FSI）指標、美元兌新台幣 CCB與多項控制變數，本文採用局部投影法進行研究，分析 FX Swap 需求衝擊對不同月期期間（1M、3M、6M、12M）基差的影響。

研究結果顯示，當市場套利資本不足時，需求衝擊對基差的影響更為明顯且持久，基差隨時間惡化，特別是在中長月期效果更為強烈；相對地，在資本充足情況下，市場反應較為穩定，CCB 變動有限，本研究指出，套利資本限制確實會放大 FX swap 市場的價格反應，進而影響 CCB 的變動。

This study examines the impact of changes in FX swap demand by institutional investors in Taiwan on the USD/TWD cross-currency basis (CCB), and further analyzes whether market responses differ under varying conditions of global arbitrage capital (GAC). When market capital is abundant, FX swap demand can be absorbed more effectively; conversely, when capital is tight, it may amplify price fluctuations, causing more severe deviations in the basis.

The dataset covers monthly data from 2014 to 2024, including changes in FX swap transaction volumes by institutional investors in Taiwan, the OFR Financial Stress Index (FSI), the USD/TWD cross-currency basis, and various control variables. This study adopts the local projection method to empirically analyze the impact of FX swap demand shocks on basis movements across different maturities ( 1M, 3M, 6M, 12M ).

The empirical results show that when market arbitrage capital is insufficient, the impact of demand shocks on the basis is more pronounced and persistent, with the basis worsening over time, especially at medium- to long-term maturities. In contrast, under capital-abundant conditions, market responses are more stable and basis fluctuations are limited. This study finds that arbitrage capital constraints do indeed amplify price responses in the FX swap market, thereby affecting cross-currency basis movements.

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