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題名：臺幣／美元遠期外匯風險溢酬有多大﹖
書刊名：經濟論文
作者：郭炳伸 引用關係／何祖平／李政峰
作者(外文)：Kuo, Biing-shen／Ho, Tzu-ping／Lee, Cheng-feng
出版日期：2001
卷期：29:4
頁次：頁383-413
主題關鍵詞：遠期外匯風險溢酬；GARCH-in-mean模型；資本資產定價模型；Exchange rate risk premium；GARCH-in-mean；Conditional CAPM
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:27
  • 點閱點閱:140
　　　　　外匯風險溢酬的波動性質可能影響即期匯率的變化、央行外匯干預政策的有效性，甚至可能使遠期匯率無法充分反映與未來即期匯率相關之訊息。我們以跨期資本資產定價模型為基本架構，建立雙元GARCH-in-mean計量模型進行分析，實際估計外匯風險溢酬，並驗證出其主要會受市場投資超額報酬與條件風險係數的影響。實證結果顯示，我們所估計的風險溢酬呈現因時而異且具有高度波動的性質。亦即，所估計之風險溢酬的時間數列性質與Fama（1984）理論分析完全相符。
　　　　　This paper examines the existence of a time-varying risk premium for the USD/NTD foreign exchange rate market, based on the intertemporal capital asset pricing model. Under some conditions, the risk premium is shown to be proportional to the conditional covariance of that between the excess return on an uncovered USD currency position and that on a benchmark portfolio. We model the conditional covariance as a bivariate GARCH-in-mean process. Estimation results suggest that the risk premium exhibits a significant time variation, in a magnitude larger than that of forecast errors. This time series property is consistent with Fama (1984) in explaining the forward rate bias with the presence of a risk premium. We also detect a regime shift in the volatility process due to the Asian financial crisis.
期刊論文
1.沈中華(19930300)。臺灣遠期美元外匯市場效率性之再檢定--兩狀態Markov模型的應用。經濟論文，21(1)，87-115。new window  延伸查詢new window
2.吳中書(19880300)。臺灣美元遠期外匯市場效率性之檢定。經濟論文，16(1)，79-112。new window  延伸查詢new window
3.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
4.廖四郎、徐守德、王銘杰(19971000)。臺灣遠期美元外匯市場風險溢酬之研究。中國財務學刊，5(2)，27-57。new window  延伸查詢new window
5.Lucas, R. E.(1982)。Interest Rates and Currency Prices in a Two-country World。Journal of Monetary Economics，10(3)，335-360。  new window
6.黃志典(19980300)。Estimating the Time-Varying Risk Premia in Taiwan's Foreign Exchange Market。管理學報，15(1)，81-99。new window  new window
7.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory，11(1)，122-150。  new window
8.Hodrick, R. J.、Srivastava, S.(1984)。An Investigation of Risk and Return in Forward Foreign Exchange。Journal of International Money and Finance，3(1)，5-29。  new window
9.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica，41(5)，867-887。  new window
10.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics，52(1/2)，5-59。  new window
11.Engle, Charles(1996)。The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence。Journal of Empirical Finance，3(2)，123-192。  new window
12.Fama, Eugene F.(1984)。Forward and Spot Exchange Rates。Journal of Monetary Economics，14(3)，319-338。  new window
13.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance，48(5)，1779-1801。  new window
14.何中達、沈中華(19960100)。我國遠期外匯市場重新開放後之效率性檢定。中國財務學刊，3(2)，63-85。new window  延伸查詢new window
15.沈中華(1995)。檢定外匯市場效率性－三向量自我迴歸模型。中國財務學刊，3(1)，21-47。new window  延伸查詢new window
16.Peruga, R.、Kaminsky, G.(1990)。Can a Time-Varying Risk Premium Explain Excess Returns in the Forward Market for Foreign Exchange?。Journal of International Economics，28，47-70。  new window
17.Mark, N. C.(1985)。On Time-varying Risk Premia in the Foreign Exchange Market: An Econometric Analysis。Journal of Monetary Economics，16(1)，3-18。  new window
18.Frankel, J. A.、Dominguez, K. M.(1993)。Does Foreign Exchange Intervention Matter? The Portfolio Effect。The American Economic Review，83(5)，1356-1369。  new window
19.Hodrick, R. J.、Bekaert, G.(1992)。Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets。The Journal of Finance，47(2)，467-509。  new window
20.蘇之敏、黃柏農(1992)。外匯市場效率性之檢定－多種到期日之分析。中國經濟學會年會論文集，275-300。  延伸查詢new window
21.Backus, D.、Allan, G.、Telmer, C.(1993)。Accounting for Forward Rate in Markets for Foreign Currency。The Journal of Finance，48，1887-1908。  new window
22.Bekaert, G.(1995)。The Time-Variation of Expected Returns and Volatility in Foreign Exchange Markets。Journal of Business & Economic Statistics，13，397-408。  new window
23.Campbell, J. Y.、Clarida, R. H.(1987)。The Term Structure of Euromarket Interest Rate: An Empirical Investigation。Journal of Monetary Economics，19，25-44。  new window
24.Canova, F.、Ito, T.(1991)。The Time-Series Properties of the Risk premium in the Yen/ Dollar Exchange Market。Journal of Applied Econometrics，6，125-142。  new window
25.Cheung, Yin-Wong(1993)。Exchange Rate Risk Premium。Journal of International Money and Finance，12，182-194。  new window
26.Cornell, B.(1989)。The Impact of Data Errors on Measurement of the Foreign Exchange Risk Premium。Journal of International Money and Finance，8，147-157。  new window
27.Froot, K.、Frankel, J. A.(1989)。Forward Discount Bias: Is It an Exchange Risk Premium?。The Quarterly Journal of Economics，104，139-161。  new window
28.Hansen, L. P.、Richard, S. F.(1987)。The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Model。Econometrica，55，586-613。  new window
29.Lewis, K.(1989)。Changing Beliefs and Systematic Rational Forecast Error with Evidence from Foreign Exchange。The American Economic Review，79，621-636。  new window
30.Mark, Nelson C.(1988)。Time-varying Betas and Risk Premia in the Pricing of Forward Foreign Exchange Contracts。Journal of Financial Economics，22(2)，335-354。  new window
31.McCurdy, T. H.、Morgan, I.(1991)。Tests for a Systematic Component in Deviations from Uncovered Interest Rate Parity。The Review of Economic Studies，58，587-602。  new window
圖書
1.Fuller, W. A.(1996)。Introduction to statistical time series。New York：Wiley & Sons。  new window
2.Hansen, L. P.、Hodrick, R. J.(1983)。Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models。Exchange Rates and International Macroeconomics。Chicago, IL。  new window
圖書論文
1.Lewis, K. K.(1995)。Puzzles in International Financial Markets。Handbook of International Economics。Amsterdam：North-Holland。  new window
2.Frankel, J. A.(1983)。Monetary and portfolio-balance models of exchange rate determination。Economic Interdependence and Flexible Exchange Rates。Cambridge, MA：MIT Press。  new window
 
 
 
 
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