隨著近十年來歐債危機引起各界對於主權債違約風險之關注，本文旨在研究主權違約風險對無拋補利率平價理論所造成之影響。我們在實證中採用七個東亞地區新興貨幣作為樣本，樣本期間取自2007年12月至2016年8月，並且以主權信用違約交換（CDS）之權利金作為國家違約風險的代理變數。
在線性及非線性回歸的結果中，我們發現主權違約風險的提升可能會降低貨幣利差交易（Currency Carry Trade）的獲利能力，而這項影響在經濟衰退時加劇。我們接著從Fama回歸中得證，違約風險的提升會導致該國貨幣貶值，在經濟衰退時期影響幅度亦較大。此外，實證結果亦顯示全球經濟波動與利差交易之報酬呈現負相關。若將CDS權利金作為自變數加入Fama回歸模型中，將能夠充分提升模型的解釋力。這些結果都能夠充分說明主權違約風險對利率平價理論及利差交易的影響力。

As the European debt crisis in the recent decade has raised the concern of a country’s default risk, this paper is intended to investigate the impact of sovereign default risk on the UIP. We empirically examine this correlation on a sample of 7 East Asian emerging currencies over the period from December 2007 to August 2016. The default risk is proxied by the sovereign CDS premium.
Relying on the linear and nonlinear regressions, we find that sovereign default risk may reduce the profitability of currency carry trade, and this effect is especially stronger in a recession. Afterwards, we turn to the Fama regression and demonstrate that the default risk causes the currency depreciation, especially in a recession. Also, empirical results show that global financial volatility is negatively related to the gain on carry trade in the pooled panel data. As the CDS increases the explanatory power of Fama regression model, the findings lead to the conclusion that the influence of sovereign default risk should be emphasized in the discussion of UIP and carry trades.

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