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題名：新興經濟體匯率溢酬之研究
作者：楊淑芬
作者(外文)：Shu-Feng Yang
校院名稱：淡江大學
系所名稱：財務金融學系博士班
指導教授：何宗武
學位類別：博士
出版日期：2009
主題關鍵詞：因時而異之風險溢酬期間結構；向量誤差修正模型；遠期溢酬期間結構；time-varying term structure of dollar risk premium；dynamic vector error correction model (VECM)；terms structure of forward premium
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本論文主要研究新興市場國家在不同契約期間下，其風險溢酬期間結構之特性。資料選取係參考MSCI公佈之十三個新興國家各國匯率日資料為主；所設定之遠匯契約到期日期間為：1個月期、3個月期、6個月期及1年期等四種不同的期間結構。實證結果發現，新興市場國家與已開發國家貨幣之風險溢酬期間結構受到共同因子影響，且隨著期間結構增大，風險溢酬共同因子之估計值亦會隨之增加，二者間皆存在因時而異之風險溢酬期間結構(time-varying term structure of dollar risk premium)。
此外，本研究模型可進一步提供本國與他國貨幣的遠期溢酬期間結構(terms structure of forward premium)作為預測即期匯率報酬之有用資訊。研究結果顯示，經由向量誤差修正模型，發現大部份國家均可透過前一期之誤差修正項(遠期溢酬期間結構)調整，有效修正偏離長期均衡的行為；再者，即期匯率報酬亦會受到他國貨幣到期影響，所隱含之意義為他國貨幣之遠期溢酬期間結構可以提供即期匯率未來走向的重要依據。
This thesis is focus on the characteristic of term structure of risk premium under various forward foreign exchange rates. The panel data are selected from 13 announced emerging markets in MSCI, it is examined the panel of forward rate series with 1, 3, 6, and 12 months forward contract maturities. The results reveal that between the development currencies and the emerging markets in the term structure risk premium is significantly affected by the common component, this research also show that the risk premium becomes increment when the term structure makes larger. Both the development currencies and the emerging markets are time-varying term structure of dollar risk premium.
Besides, the term structure of forward premiums for own and other currencies offers an useful information in predicting the return of spot rate of a currency. In order to maintain the long-run equilibrium price relation between spot and forward rate in the foreign exchange market could be completed by the terms structure of forward premium, the error correction at previous term can be adopted in almost markets while the spot rate deviates from long-run equilibrium band, that can be endorsed by using a dynamic vector error correction model (VECM). Further, the spot rate will be affected by the term structure of forward premiums of other currencies. That is, the other currencies’ term structure of forward premiums should afford more orientation to spot rate in future.
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