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題名 二十一世紀的未拋補利率平價：以日幣為例
Uncovered Interest Rate Parity in 21st Century: Evidence from Japanese Yen
作者 呂意晴
Lu, Yi-Ching
貢獻者 郭炳伸
Kuo, Biing-Shen
呂意晴
Lu, Yi-Ching
關鍵詞 匯率
未拋補利率平價說
波動風險溢酬
樣本外預測
Uncovered interest rate parity
Forward premium puzzle
Exchange rate predictability puzzle
Variance risk premium
日期 2022
上傳時間 2-Sep-2022 14:41:32 (UTC+8)
摘要 本文利用 21 世紀後美元與日幣的時間序列日資料，重新審視了未拋補利率平價說 (下稱UIP)在實證上的有效性，並確認「遠匯溢酬之謎」及「匯率預測之謎」是否存續到現今。與過去文獻不同的是，本研究沒有發現遠匯溢酬之謎，即在這組資料中，匯率不再與兩國的利差反向移動。更甚者，本研究也沒有發現匯率預測之謎，無論是哪個預測區間，UIP模型如今在樣本外通常能以極小的均方差與極高的走勢方向命中率打敗隨機漫步模型。當選擇越小的樣本內資料筆數，模型的樣本外預測表現越好，而日資料的運用使其變得可行。另外，本研究也發現可以代表未預期到的市場波動的「波動風險溢酬」有助於改善了樣本外預測，代表著有用的資訊包含於其中。
This study re-examines the empirical validity of uncovered interest rate parity (UIP) using a daily US dollar/Japanese yen time series spanning the early twenty-first century, to check whether the forward premium puzzle and the exchange rate predictability puzzle continue to exist in this new dataset. In contrast to the literature, this study does not find the forward premium puzzle. In other words, the exchange rate is found to no longer co-move with the interest rate differential of the countries in the samples. More, the predictability puzzle is also not found. Noticeably, and by a much smaller mean squared error and higher directional hitting rate, the UIP model can beat a random walk in out-of-sample forecasts, regardless of prediction horizons. The UIP model offers better forecast performance when smaller window sizes are selected, made feasible in this study by using daily data. The study further finds that the variance risk premium, a proxy for unexpected volatility in markets, leads to improvements in out-of-sample forecast performance, implying that variance risk premium contains useful information.
參考文獻 Alquist, R. and Chinn, M. D. (2008). Conventional and unconventional approaches to exchange rate modelling and assessment. International Journal of Finance & Economics,13(1):2–13.
Alun, J. (2022). Analysis: Japan’s yen back in favour as a funding currency, but withmore risks. https://www.reuters.com/markets/rates-bonds/japans-yen-back-favour-funding-currency-with-more-risks-2022-02-15/.
Bansal, R. and Dahlquist, M. (2000). The forward premium puzzle: different tales fromdeveloped and emerging economies. Journal of International Economics, 51(1):115–144.
Bollerslev, T., Tauchen, G., and Zhou, H. (2009). Expected Stock Returns and Variance Risk Premia. The Review of Financial Studies, 22(11):4463–4492.
Bussiere, M., Chinn, M. D., Ferrara, L., and Heipertz, J. (2018). The new fama puzzle.Working Paper 24342, National Bureau of Economic Research.
Carr, P. and Wu, L. (2008). Variance Risk Premiums. The Review of Financial Studies,22(3):1311–1341.
Chaboud, A. P. and Wright, J. H. (2005). Uncovered interest parity: it works, but not forlong. Journal of International Economics, 66(2):349–362
Cheung, Y.-W., Chinn, M., and Garcia Pascual, A. (2005). Empirical exchange rate models of the nineties: Are any fit to survive? Journal of International Money and Finance, 24(7):1150–1175.
Clark, T. E. and West, K. D. (2006). Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. Journal of Econometrics, 135(1-2):155–186.
Della Corte, P., Ramadorai, T., and Sarno, L. (2016). Volatility risk premia and exchange rate predictability. Journal of Financial Economics, 120(1):21–40.
Drechsler, I. and Yaron, A. (2010). What’s vol got to do with it. The Review of Financial Studies, 24(1):1–45.
Engel, C. (1996). The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance, 3(2):123–192.
Engel, C. (2014). Exchange rates and interest parity. In Gopinath, G. and Helpman, E., editors, Handbook of International Economics, volume 4, pages 453–522. Amsterdam: North-Holland.
Engel, C. (2016). Exchange rates, interest rates, and the risk premium. American Economic Review, 106(2):436–74.
Engel, C., Kazakova, E., Wang, M., and Xiang, N. (2021). A reconsideration of the failure of uncovered interest parity for the u.s. dollar. Working Paper 28420, National Bureau of Economic Research.
Evans, M. D. (1996). 21 peso problems: Their theoretical and empirical implications. In Statistical Methods in Finance, volume 14 of Handbook of Statistics, pages 613–646. Elsevier.
Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3):319–338.
Frankel, J. and Rose, A. (1995). Empirical research on nominal exchange rates. In Grossman, G. M. and Rogoff, K., editors, Handbook of International Economics, volume 3, chapter 33, pages 1689–1729. Elsevier, 1st edition.
Froot, K. and Frankel, J. (1989). Forward discount bias: Is it an exchange risk premium?The Quarterly Journal of Economics, 104(1):139–161.
Gagnon, J. and Chaboud, A. (2007). What can the data tell us about carry trades in japanese yen? International Finance Discussion Paper, 2007:1–31.
Hirtenstein, A. (2021). Falling dollar shows resurgence of infamous carry trade. https://www.wsj.com/articles/falling-dollar-shows-resurgence-of-infamous-carry-trade-11638268315.
Lewis, K. (1995). Puzzles in international financial markets. In Grossman, G. M. and Rogoff, K., editors, Handbook of International Economics, volume 3, chapter 37, pages 1913–1971. Elsevier, 1st edition.
Li, J. and Zinna, G. (2018). The variance risk premium: Components, term structures, and stock return predictability. Journal of Business & Economic Statistics, 36(3):411–425.
Londono, J. M. and Zhou, H. (2017). Variance risk premiums and the forward premiumpuzzle. Journal of Financial Economics, 124(2):415–440.
Lothian, J. and Wu, L. (2011). Uncovered interest-rate parity over the past two centuries. Journal of International Money and Finance, 30(3):448–473.
Mark, N. C. (1995). Exchange rates and fundamentals: Evidence on long-horizon predictability. The American Economic Review, 85(1):201–218.
Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics, 14(1):3–24.
Molodtsova, T., Nikolsko-rzhevskyy, A., and Papell, D. H. (2011). Taylor rules and the euro. Journal of Money, Credit and Banking, 43(2–3):535–552.
Molodtsova, T. and Papell, D. H. (2009). Out-of-sample exchange rate predictability with taylor rule fundamentals. Journal of International Economics, 77(2):167–180.
Qi, M. and Wu, Y. (2003). Nonlinear prediction of exchange rates with monetary fundamentals. Journal of Empirical Finance, 10(5):623–640.
Richardson, M. and Smith, T. (1991). Tests of financial models in the presence of overlapping observations. Review of Financial Studies, 4(2):227–54.
Rossi, B. (2013). Exchange rate predictability. Journal of Economic Literature, 51(4):1063–1119.
Rossi, B. and Inoue, A. (2012). Out-of-sample forecast tests robust to the choice of window size. Journal of Business & Economic Statistics, 30(3):432–453.
描述 碩士
國立政治大學
國際經營與貿易學系
109351005
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109351005
資料類型 thesis
dc.contributor.advisor 郭炳伸zh_TW
dc.contributor.advisor Kuo, Biing-Shenen_US
dc.contributor.author (Authors) 呂意晴zh_TW
dc.contributor.author (Authors) Lu, Yi-Chingen_US
dc.creator (作者) 呂意晴zh_TW
dc.creator (作者) Lu, Yi-Chingen_US
dc.date (日期) 2022en_US
dc.date.accessioned 2-Sep-2022 14:41:32 (UTC+8)-
dc.date.available 2-Sep-2022 14:41:32 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2022 14:41:32 (UTC+8)-
dc.identifier (Other Identifiers) G0109351005en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141528-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 109351005zh_TW
dc.description.abstract (摘要) 本文利用 21 世紀後美元與日幣的時間序列日資料，重新審視了未拋補利率平價說 (下稱UIP)在實證上的有效性，並確認「遠匯溢酬之謎」及「匯率預測之謎」是否存續到現今。與過去文獻不同的是，本研究沒有發現遠匯溢酬之謎，即在這組資料中，匯率不再與兩國的利差反向移動。更甚者，本研究也沒有發現匯率預測之謎，無論是哪個預測區間，UIP模型如今在樣本外通常能以極小的均方差與極高的走勢方向命中率打敗隨機漫步模型。當選擇越小的樣本內資料筆數，模型的樣本外預測表現越好，而日資料的運用使其變得可行。另外，本研究也發現可以代表未預期到的市場波動的「波動風險溢酬」有助於改善了樣本外預測，代表著有用的資訊包含於其中。zh_TW
dc.description.abstract (摘要) This study re-examines the empirical validity of uncovered interest rate parity (UIP) using a daily US dollar/Japanese yen time series spanning the early twenty-first century, to check whether the forward premium puzzle and the exchange rate predictability puzzle continue to exist in this new dataset. In contrast to the literature, this study does not find the forward premium puzzle. In other words, the exchange rate is found to no longer co-move with the interest rate differential of the countries in the samples. More, the predictability puzzle is also not found. Noticeably, and by a much smaller mean squared error and higher directional hitting rate, the UIP model can beat a random walk in out-of-sample forecasts, regardless of prediction horizons. The UIP model offers better forecast performance when smaller window sizes are selected, made feasible in this study by using daily data. The study further finds that the variance risk premium, a proxy for unexpected volatility in markets, leads to improvements in out-of-sample forecast performance, implying that variance risk premium contains useful information.en_US
dc.description.tableofcontents 誌謝 i
摘要 ii
Abstract iii
Contents iv
List of Figures v
List of Tables vi
1 Introduction 1
2 UIP and Data 6
2.1 Uncovered Interest Rate Parity 6
2.2 Data Source 7
3 In-Sample Empirical Results 10
4 Out-of-Sample Forecasts 20
4.1 Out-of-sample Prediction with UIP 21
4.2 Variance Risk Premium 24
5 Conclusion 29
Reference 30		zh_TW
dc.format.extent 1952323 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109351005en_US
dc.subject (關鍵詞) 匯率zh_TW
dc.subject (關鍵詞) 未拋補利率平價說zh_TW
dc.subject (關鍵詞) 波動風險溢酬zh_TW
dc.subject (關鍵詞) 樣本外預測zh_TW
dc.subject (關鍵詞) Uncovered interest rate parityen_US
dc.subject (關鍵詞) Forward premium puzzleen_US
dc.subject (關鍵詞) Exchange rate predictability puzzleen_US
dc.subject (關鍵詞) Variance risk premiumen_US
dc.title (題名) 二十一世紀的未拋補利率平價：以日幣為例zh_TW
dc.title (題名) Uncovered Interest Rate Parity in 21st Century: Evidence from Japanese Yenen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Alquist, R. and Chinn, M. D. (2008). Conventional and unconventional approaches to exchange rate modelling and assessment. International Journal of Finance & Economics,13(1):2–13.
Alun, J. (2022). Analysis: Japan’s yen back in favour as a funding currency, but withmore risks. https://www.reuters.com/markets/rates-bonds/japans-yen-back-favour-funding-currency-with-more-risks-2022-02-15/.
Bansal, R. and Dahlquist, M. (2000). The forward premium puzzle: different tales fromdeveloped and emerging economies. Journal of International Economics, 51(1):115–144.
Bollerslev, T., Tauchen, G., and Zhou, H. (2009). Expected Stock Returns and Variance Risk Premia. The Review of Financial Studies, 22(11):4463–4492.
Bussiere, M., Chinn, M. D., Ferrara, L., and Heipertz, J. (2018). The new fama puzzle.Working Paper 24342, National Bureau of Economic Research.
Carr, P. and Wu, L. (2008). Variance Risk Premiums. The Review of Financial Studies,22(3):1311–1341.
Chaboud, A. P. and Wright, J. H. (2005). Uncovered interest parity: it works, but not forlong. Journal of International Economics, 66(2):349–362
Cheung, Y.-W., Chinn, M., and Garcia Pascual, A. (2005). Empirical exchange rate models of the nineties: Are any fit to survive? Journal of International Money and Finance, 24(7):1150–1175.
Clark, T. E. and West, K. D. (2006). Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. Journal of Econometrics, 135(1-2):155–186.
Della Corte, P., Ramadorai, T., and Sarno, L. (2016). Volatility risk premia and exchange rate predictability. Journal of Financial Economics, 120(1):21–40.
Drechsler, I. and Yaron, A. (2010). What’s vol got to do with it. The Review of Financial Studies, 24(1):1–45.
Engel, C. (1996). The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance, 3(2):123–192.
Engel, C. (2014). Exchange rates and interest parity. In Gopinath, G. and Helpman, E., editors, Handbook of International Economics, volume 4, pages 453–522. Amsterdam: North-Holland.
Engel, C. (2016). Exchange rates, interest rates, and the risk premium. American Economic Review, 106(2):436–74.
Engel, C., Kazakova, E., Wang, M., and Xiang, N. (2021). A reconsideration of the failure of uncovered interest parity for the u.s. dollar. Working Paper 28420, National Bureau of Economic Research.
Evans, M. D. (1996). 21 peso problems: Their theoretical and empirical implications. In Statistical Methods in Finance, volume 14 of Handbook of Statistics, pages 613–646. Elsevier.
Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3):319–338.
Frankel, J. and Rose, A. (1995). Empirical research on nominal exchange rates. In Grossman, G. M. and Rogoff, K., editors, Handbook of International Economics, volume 3, chapter 33, pages 1689–1729. Elsevier, 1st edition.
Froot, K. and Frankel, J. (1989). Forward discount bias: Is it an exchange risk premium?The Quarterly Journal of Economics, 104(1):139–161.
Gagnon, J. and Chaboud, A. (2007). What can the data tell us about carry trades in japanese yen? International Finance Discussion Paper, 2007:1–31.
Hirtenstein, A. (2021). Falling dollar shows resurgence of infamous carry trade. https://www.wsj.com/articles/falling-dollar-shows-resurgence-of-infamous-carry-trade-11638268315.
Lewis, K. (1995). Puzzles in international financial markets. In Grossman, G. M. and Rogoff, K., editors, Handbook of International Economics, volume 3, chapter 37, pages 1913–1971. Elsevier, 1st edition.
Li, J. and Zinna, G. (2018). The variance risk premium: Components, term structures, and stock return predictability. Journal of Business & Economic Statistics, 36(3):411–425.
Londono, J. M. and Zhou, H. (2017). Variance risk premiums and the forward premiumpuzzle. Journal of Financial Economics, 124(2):415–440.
Lothian, J. and Wu, L. (2011). Uncovered interest-rate parity over the past two centuries. Journal of International Money and Finance, 30(3):448–473.
Mark, N. C. (1995). Exchange rates and fundamentals: Evidence on long-horizon predictability. The American Economic Review, 85(1):201–218.
Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics, 14(1):3–24.
Molodtsova, T., Nikolsko-rzhevskyy, A., and Papell, D. H. (2011). Taylor rules and the euro. Journal of Money, Credit and Banking, 43(2–3):535–552.
Molodtsova, T. and Papell, D. H. (2009). Out-of-sample exchange rate predictability with taylor rule fundamentals. Journal of International Economics, 77(2):167–180.
Qi, M. and Wu, Y. (2003). Nonlinear prediction of exchange rates with monetary fundamentals. Journal of Empirical Finance, 10(5):623–640.
Richardson, M. and Smith, T. (1991). Tests of financial models in the presence of overlapping observations. Review of Financial Studies, 4(2):227–54.
Rossi, B. (2013). Exchange rate predictability. Journal of Economic Literature, 51(4):1063–1119.
Rossi, B. and Inoue, A. (2012). Out-of-sample forecast tests robust to the choice of window size. Journal of Business & Economic Statistics, 30(3):432–453.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202201223en_US