未拋補利率平價說與風險溢酬—GARCH-M及GARCH-X模型之應用; Uncovered Interested Parity and Risk Premium—The Application of GARCH-M and GARCH-X model

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Title:	未拋補利率平價說與風險溢酬—GARCH-M及GARCH-X模型之應用;Uncovered Interested Parity and Risk Premium—The Application of GARCH-M and GARCH-X model
Authors:	李國銘;Kuo-Ming Lee
Contributors:	產業經濟研究所
Keywords:	GARCH-X;GARCH-M;風險溢酬;未拋補利率平價說;GARCH-X;GARCH-M;risk premium;UIP
Date:	2007-10-11
Issue Date:	2009-09-22 15:11:01 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	在過去已經有很多對未拋補利率平價說（Uncovered Interested Parity，UIP）作探討的研究，一般有間接檢定及直接檢定兩種方法。間接檢定主要的分析方法為在假設拋補利率平價說（Covered Interested Parity，CIP）先成立下，若遠期利率是未來即期匯率之不偏估計值假設成立，則表示遠期匯率的變動已經包含所有有關未來即期匯率變動之資訊，遠期匯率可準確預測未來即期匯率，此時外匯市場具有效率性，此效率市場表示CIP與UIP同時成立；而直接檢定是對兩國的資產報酬率直接作其是否相等的檢測。在上述的分析結果，往往無法指出匯率與利差有一對一的變動，於是有其他學者便質疑上述分析之風險中立（即無風險溢酬的存在）假設是否合理，之後在許多UIP的研究中，均不再預先有風險中立的假設，而在模型中加入了風險溢酬的變數。本研究主要在探討美國與英國、法國、德國、義大利、瑞士、加拿大、日本間的UIP關係是否成立，結果發現並不成立。接下來再來探討UIP是否存在風險溢酬，主要採用的模型是以GARCH-M及GARCH-X模型來證實是否有風險溢酬的存在。GARCH-M與GARCH-X模型之差別在於：GARCH-X模型乃是將外生變數放進條件異質變異數方程式中，期望此一外生變數能更適切地捕捉到風險溢酬的特性；而本文將外匯存底變動率視為對風險溢酬影響顯著之因素的原因為：就長期而言，兩國間之利率與匯率的關係，可透過外匯存底之變動而達到均衡之狀態，故將外匯存底變動率放入條件異質變異數方程式中而成為GARCH-X模型。最後，由實證結果中可知，不管是一個月期或三個月期之GARCH-M及GARCH-X模型皆存在顯著之風顯溢酬。 Substantial empirical literature has rejected the ‘simple efficiency’ hypothesis of the foreign exchange market. A recognized alternative hypothesis is that a risk premium exists. This paper further uses the hypotheses which assume that people have the same risk-aversion attitude to different countries. This paper attempts to present two empirical models which postulate the risk premium as a function of the conditional variance of market forecast errors. I use GARCH-M and GARCH-X model to model the forecast errors. They have provided a convenient framework for modeling time-varying conditional variance of the prices of financial assets and have been successfully applied to estimate the time-varying risk premium in the assets markets. My estimates provide evidence of a risk premium for all the two conracts covered in this paper.
Appears in Collections:	[Graduate Institute of Industrial Economics] Electronic Thesis & Dissertation

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