本文主張以台幣作為利差交易的主要貨幣, 並以兩種策略來降 低其所承受的風險。一為應用 Berge, Jorda and Taylor (2010)中引進實質面經濟變數的概念,將實質面中影響匯率的重要因素 加入預測式。二為根據台灣匯率制度的特殊性,本文再加入央行干預的替代變數, 構成兩種不同策略來提升利差交易的獲利。本文研究結果不僅開啟了台幣利差交易策略獲利的可能,亦發現央 行干預在短期對於歐元對台幣匯率的重大影響力。利用此影響力不僅讓台幣匯率的可預測性大幅提升,且利用此影響力更可讓台 幣利差交易的報酬提高將近5倍之多, 且此報酬無法被大盤風險溢酬所解釋。

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