未拋補利率平價說與風險溢酬—GARCH-M及GARCH-X模型之應用

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：56

、訪客IP：3.141.29.145

姓名

李國銘(Kuo-Ming Lee) 查詢紙本館藏

畢業系所

產業經濟研究所

論文名稱

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)

相關論文

★ 經發會前後台股指數、期貨指數、電子指數與金融指數之關聯性	★ 期間利差與經濟衰退之預測模型-理性預期假設之驗證
★ 台灣、美國總經月數據與台股股價指數之關聯性	★ 台灣資訊電子產業異質性及利潤率之探討
★ 中小企業案件逾期放款之預測	★ 台灣半導體產業經營效率分析－三階段資料包絡分析法之應用
★ 台灣車輛產業經濟附加價值之研究－兼論影響信通交通器材公司經濟附加價值之因素	★ 外人直接投資與研發活動之關聯性-台灣電子相關產業之實證研究
★ 消費性信用貸款授信評量模式之研究	★ 二順位房貸產品風險預警分析
★ 新產品商業化流程之個案研究–以美商3M公司為例	★ 國際原油投資報酬與資金行情之探討-GARCH模型
★ 電子商務對企業經營績效之影響	★ 高淨值客戶風險屬性與共同基金投資報酬率之實證研究
★ 台灣加權指數與指數股票型基金風險值之歷史模擬法分析	★ 國際油價、匯率與利率之動態關聯—VECM與VECM-GARCH之應用

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ GARCH-X
★ GARCH-M
★ 風險溢酬
★ 未拋補利率平價說

關鍵字(英)

★ GARCH-X
★ GARCH-M
★ risk premium
★ UIP

論文目次

第一章緒論…………………………………………………………1
第一節研究動機與目的………………………………………1
第二節研究架構………………………………………………3
第二章理論介紹與文獻回顧………………………………………5
第一節理論介紹………………………………………………5
第二節相關文獻回顧…………………………………………10
第三章計量方法與模型介紹………………………………………21
第一節時間序列之定態與非定態……………………………21
第二節單根檢定………………………………………………22
第三節一般化自我迴歸條件異質變異數模型………………25
第四章實證結果分析………………………………………………33
第一節資料來源與處理………………………………………33
第二節實證模型………………………………………………34
第五章結論與建議…………………………………………………50
第一節結論……………………………………………………50
第二節未來研究方向…………………………………………51
參考文獻………………………………………………………………73

參考文獻

一、中文文獻：
王銘杰、徐守德、廖四郎（1997），「台灣遠期美元外匯市場風險溢酬之研究」，中國財務學報，第五卷、第2期，頁27-57。
王穎笙（1999），「台灣拋補利率平價理論之實證研究」，淡江大學財務金融學系金融碩士班碩士論文。
何中達和沈中華（1996），「我國遠期外匯市場重新開放後之效率性檢定」，中國財務學會年會論文集，第三卷第二期，頁63-85。
沈中華（1992），「用「無拋補利率平價說」解釋台灣利率與對美元匯率的變動」，
企銀季刊，第十六卷，第一期，頁111-125。
吳林順（2006），「國際資產定價模型與未拋補利率平價說之分析比較-訊息擷取法之應用」，中央大學產業經濟研究所碩士班碩士論文
陳鴻之（2006），「兩國間實質利率之風險溢酬研究－以台灣為例」，台灣大學商學研究所碩士班碩士論文。
黃志典（1998），「台灣遠期美元市場風險溢酬之估測」，管理學報，第十五卷第一期，頁81-99。
黃德芬（1997），「台灣地區風險利率平價說之驗證-解除外匯管制前後之比較」，台灣銀行台灣經濟金融月刊，第33 卷第1 期，20，頁14-27。
廖四郎、徐守德、王銘杰（1997），「台灣遠期美元外匯市場風險溢酬之研究」，Journal of Financial Studies，Vol. 5, No. 2, pp. 28-43.
廖原益（1996），「台灣地區資本移動自由化之衡量與探討」，東華大學國際經濟研究所碩士論文。
二、英文文獻：
Alexius, A. (2001), “Uncovered Interest Parity Revisited,” Review of International Economics, 9(3): 505-517.
Anker, P. (1999), “Uncovered Interest Parity, Monetary Policy and Time-varying Risk Premia.” Journal of International Monetary and Finance, Vol. 18, pp. 835-851.
Ayuso, J. and F. Restory (1996), “Interest rate Parity and Foreign Exchange Risk Premia in the ERM,” Journal of International Money and Finance, Vol. 15, No. 3, pp. 369-382.
Baillie, R.T., R.E. Lippens, and P.C. McMahon (1983), “Testing Rational Expectations and Efficient in the Foreign Exchange Market,” Econometrica, Vol.51, pp. 1331-1337.
Bekaert, G.,M. Wei and Y. Xing (2002), “Uncovered Interest Rate Parity and the Term Structure,” NBER Working Paper No. 8795 (February).
Berk, J.M. and K.H.W. Knot (2001), “Testing for long horizon UIP using PPP-based Exchange Rate Expectation,” Journal of Banking and Finance, No. 25, pp. 377-391.
Bernhardsen, T. (2000), “The Relationship between Interest Rate Differential and Macroeconomic Variables：A Penal Data Study for European countries,” Journal of International Money and Finance, Vol. 19, pp. 289-308.
Bhatti, R.H. and I. A. Moosa (1995), “An Alternative Approach to Testing Uncovered Interest Parity,” Applied Economics Letter, Vol. 2, pp. 478-481.
Black, F. (1976), “Studies in stock price volatility changes,” In: Proceedings of American Statistical Association, Business andEconomic Statistics Section, pp. 177–181.
Bollerslev T. (1986), “Generalized autoregressive conditional heteroskedasticity,” Journal of Economics, 31: 307-327.
Brown, D.P. and Gibbons, M.R. (1985), “A Simple Econometric Approach for Utility-based Asset Pricing Models,” Journal of Finance, Vol. 40, 359–381.
Canarella, G., and S.K. Pollard (1988), “Efficiency in Foreign Exchange Market：a Vector Autoregression Approach,” Journal of International Money and finance, Vol.7, pp.331-346.
Chaboud, A.P. and J.H. Wright (2003), “Uncovered Interest Parity: It Works, But Not For Long,” International Finance and Discussion Papers (January).
Chinn, M. and J. Frankel (1994), “Patterns in Exchange Rate Forecasts for Twenty-five Currencies,” Journal of Money, Credit, and Banking, Vol. 26, No. 4, pp. 759-70.
Chinn, M. and J. Frankel (2002), “Survey Data on Exchange Rate Expectations: More Currencies, More Horizons, More Tests,” in W. Allen and D. Dickinson (editors), Monetary Policy, Capital Flows and Financial Market Developments in the Era of Financial Globalisation: Essays in Honour of Max Fry, Routledge, London: 145-67.
Chinn M. and G. Meredith (1999), “Long-Horizon Uncovered Interest Parity,” NBER Working Papers, No. 6797.
Chinn, M. and G. Meredith (2004), “Monetary Policy and Long Horizon Uncovered Interest Parity,” IMF Staff Papers, Vol. 51 No. 3, November, pp. 409-430.
Chinn, M. and G. Meredith (2005), “Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era,” NBER Working Papers, No. 11077.
Christensen, M. (1999), “Uncovered Interest Parity and Policy Behavior: New Evidence,” Economics Letter, No. 69, pp. 81-87.
Christie, A. A. (1982), “The stochastic behavior of common stock variances: Value, leverage, and interest rate effects,” Journal of financial Economics,10, pp.407-432.
Cumby, R.E., and M. Obstfeld (1981), “A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hhypothesis,” Journal of Finance, 36, 697–704.
Domowitz, I. and Hakkio, C. S. (1985) “Conditional Variance and the Risk Premium in the Foreign Exchange Market,” Journal of International Economics, Vol.19,7-66.
Durlauf, S.N. and R.E. Hall (1989), “Bounds on the Variances of Specification Errors in Models with Expectations,” NBER working Paper, No. 2936.
Durlauf, S.N. and M.A. Hooker (1994), “Misspecification versus Bubbles in the Cagan Hyperinflation Model,” in Colin P. Hargreaves ed., Nonstationary Time Series Analysis and Cointegration, Oxford University Press.
Durlauf, S.N. and L.J. Maccini (1995), “Measuring Noise in Inventory Models,” Journal of Monetary Economics, 36, 65-89.
Engle, R. F. (1982) “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation,” Econometrica, 50：987-1007
Engel, C. (1996) “The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,” Journal of Empirical Finance, Vol. 3, June, pp. 123-92.
Epstein, L.G. and Zin, S.E. (1991), “Substitution, Risk Aversion and the Temporal Behavior of Asset Returns,” Journal of Political Economy, Vol. 99, 263–286.
Evans, M.D.D. and K.K. Lewis (1995) “Do Long Term Swings in the Dollar Affect Estimates of the Risk Premium?” Review of Financial Studies, Vol. 8, No. 3, Sept., pp. 709-742.
Fama, Eugene F. (1965) “The Behavior of Stock-Market Prices,” Journal of Business, 38(1), pp. 34-105.
Fama, Eugene F. (1984) “Forward and Spot Exchange Rates”, Journal of Monetary Economics, 14, 319-38.
Frankel, J. A. (1992), “Measuring International Capital Mobility: A Review”, American Economics Review, vol. 82, pp. 197-202.
Frenkel, J.A. (1981), “Flexible Exchange Rates, Price, and the Role of ‘News’：Lesson from the 1970s.” Journal of Political Economy, Vol.89 ,pp. 655-705.
Froot, K.A. and R.H. Thaler (1990), “Foreign Exchange,” Journal of Economic Perspectives, Vol. 4, No. 3, pp. 179-192.
Giddy, I.H. and G. Dufey (1975), “The Random Behavior of Flexible Exchange Rates,” Journal of International Business Studies, Vol. 6, pp. 1-32.
Gregory, Allan W. and Gregor W. Smith (1990), “Calibration as Estimation,” Econometric Reviews, 9(1), pp. 57-89.
Hakkio, C.S. and M. Rush (1989), “Market Efficiency and Cointergration：An Application to the sterling and Deutschemark Exchange Markets,” Journal of International Money and Finance, Vol.8, pp.75-88.
Hansen, L.P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, Vol. 50, No. 4, pp. 1029-54.
Hansen, L.P. and R.J. Hodrick (1980), “Forward Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,” Journal of Political Economy, Vol. 88, pp. 829-53.
Hansen, L.P. and R.J. Hodrick (1983), “Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models.” In: Frenkel, J.A. (Ed.), Exchange Rates and International Macroeconomics, University of Chicago Press, Chicago .
Hansen, L.P., J.Heaton and E.G.J. Luttmer (1995), “Econometric Evaluation of Asset Pricing Models, Review of Financial Studies, 8, 237-374.
Hansen, L.P. and K. Singleton (1982), “Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models,” Econometrica, 50, 1269–1286.
Head, A.C. and G.W. Smith (2003), “The CCAPM meets Euro-interest rate persistence, 1960-2000,” Journal of International Economics, Vol. 59, pp. 349-366.
Hodrick, R.J. (1981), “International Asset Pricing with Time-Varying Risk Premia,” Journal of International Money and Finance, Vol.3, pp.1-29.
Huisman, R., K. Koedijk, C. Kool and F. Nissen (1998), “Extreme Support for Uncovered Interest Parity,” Journal of International Money and Finance, Vol. 17, No. 1, pp. 211-228.
Isard, P. (1995), Exchange Rate Economics, Cambridge: Cambridge University Press.
Ito, Takatoshi (1988), “Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity”, The Review of Economics and Statistics, pp. 296-305.
Kohlhagen, S.W. (1975), ”The Behavior of Foreign Exchange Markets：A Critical Survey of the Empirical Literature,” New York University Monograph Series in finance and Economics, No.3, Salomon Brothers center.
Konuki, T (1999), “Measuring Noise in Exchange Rate Models,” Journal of International Economics, Vol. 48, pp. 255-270.
Lai, K.S., and M. Lai (1991), “A Cointegration Test for Market Efficiency,” Journal of Futures Markets, Vol.11, pp.567-575.
Levich, R. (1979), ”The Efficiency of the Market Foreign Exchange：A Review and Extension,” in International Financial Management, ed. By Lessard, Boston, pp.243-277.
Longworth, D. (1981), “Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium,” Journal of Finance, Vol. 36, No. 1, pp. 43-49.
Lucas, R.E. Jr. (1978), “Asset Pricing in an Exchange Economy,” Econometrica, Vol.46, pp. 1429-1445.
Mandelbrot B.B. (1963), “The variation of certain speculative prices,” Journal of Business, 26:394-419.
Mark, N.C., Wu, Y., (1998), “Rethinking Deviations from Uncovered Interest Parity: the Role of Covariance Risk and Noise,” The Economic Journal, 108, pp. 1686–1706.
McCallum, B.T. (1994), “A Reconsideration of the Uncovered Interest Parity Relationship,” Journal of Monetary Economics, Vol. 33, pp. 105-132.
Merton, R.C.(1980), “ On estimating the expectedreturn on the market: an exploratory investigation,” Journal of Financial Economics, 8 (4), 323–361.
Nelson, D. B. (1991), “Conditional heteroskedasticity in asset returns: A new approach,” Econometrica, 59: 347-370.
Newey, W., (1985), “Generalized Method of Moments Specification Testing,” Journal of Econometrics, Vol. 29, pp. 229–256.
Sentana E. and Wadhwani S. (1992), “Feedback traders and stock return autocorrelations:evidence from a century of daily data,” The Economic Journal, 102：415-425.
Tauchen, George (1986), “Statistical Properties of Generalized Method of Moments Estimators of Structural Parameters Obtained from Financial Market Data,” Journal of Business and Economic Statistics, 4(4), pp. 397-416.
Taylor, M.P. (1987) “Covered Interest Parity: A High-Frequency, High-Quality Data”, Economica, 54, pp. 429-38.
Taylor, M.P. (1987) “Risk Premia and Foreign Exchange: A Multiple Time Series Approach to Testing Uncovered Interest-Rate Parity”, Weltwirtsch aftliches Archiv, 123, pp. 579-90.

指導教授

陳禮潭、陳忠榮
(Lii-tarn Chen、CHEN JONG-RONG)

審核日期

2007-10-16

推文