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題名 估計台幣╱美元遠期外匯風險溢酬－馬可夫變換模型之應用
作者 陳麗如
Chen, Li-Ju
貢獻者 郭炳伸
Kuo, Biing-Shen
陳麗如
Chen, Li-Ju
關鍵詞 遠期外匯風險溢酬
馬可夫變換模型
risk premium
Markov switching model
日期 2001
上傳時間 18-Apr-2016 16:24:21 (UTC+8)
摘要 在觀察匯率市場是否具有效率性時，大部分文獻透過檢定「遠期匯率是否為未來即期匯率的不偏估計值」來驗證，然而實證結果多不支持。探究原因後，部分學者於是提出，可能是在效率市場的假設上出了問題。原效率市場假設理性預期與風險中立，可是在現實生活中，人們的行為大多顯現風險趨避的特質，學者因而推論「風險溢酬的存在」或許正是造成遠期匯率偏誤的原因。
參考文獻 1.Baillie, R. T. and Bollerslev, T.（1990）, A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets, Journal of International Money and Finance 9, 309-324.
     2.Baillie, R. T. and Osterberg, W. P.（1997）, Central bank intervention and risk in the forward market, Journal of International Economics 43, 483-497.
     3.Domowitz, I. and C. Hakkio（1985）, Conditional variance and the risk premium in the foreign exchange market, Journal of International Economics 19, 47-66.
     4.Engel, C. （1994）, Can the Markov switching model forecast exchange rates?, Journal of International Economics 36, 151-165.
     5.Fama, E. （1984）, Forward and spot exchange rates, Journal of Monetary Economics 14, 319-338.
     6.Garcia, R. （1998）, Asymptotic null distribution of the likelihood ratio test in Markov switching models, International Economy Review 39, 763-788.
     7.Hamilton, J. D.（1989）, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357-384.
     8.Hamilton, J. D.（1990）, Analysis of time series subject to changes in regime, Journal of Econometrics 45, 39-70.
     9.Hamilton, J. D. and R. Susmel（1994）, Autoregressive conditional heteroskedasticity and change in regime, Journal of Econometrics 64, 307-333.
     10.Hansen, L. P. and R. Hodrick（1980）, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy 88, 829-853.
     11.Hansen, L. P. and R. Hodrick（1983）, Risk averse speculation in the forward foreign exchange market: An econometric analysis of linear models, in J. A. Frenkel, ed., Exchange Rate and International Macroeconomics, Chicago University Press, Chicago.
     12.Hodrick, R. J. and S. Srivastava（1984）, An investigation of risk and return in forward foreign exchange, Journal of International Money and Finance 3, 1-29.
     13.Lucas（1982）, Interest Rates and currency prices in a two-country world, Journal of Monetary Economics 10, 335-359.
     14.Mayfield, E. S.（1999）, Estimating the market risk premium, Harvard University Working Paper.
     15.Turner, C. M. , Startz, R. and Nelson, C. R.,（1989）, A Markov model of heteroskedasticity, risk and learning in the stock market, Journal of Financial Economics 25, 3-22.
描述 碩士
國立政治大學
國際經營與貿易學系
88351037
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001512
資料類型 thesis
dc.contributor.advisor 郭炳伸zh_TW
dc.contributor.advisor Kuo, Biing-Shenen_US
dc.contributor.author (Authors) 陳麗如zh_TW
dc.contributor.author (Authors) Chen, Li-Juen_US
dc.creator (作者) 陳麗如zh_TW
dc.creator (作者) Chen, Li-Juen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:24:21 (UTC+8)-
dc.date.available 18-Apr-2016 16:24:21 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:24:21 (UTC+8)-
dc.identifier (Other Identifiers) A2002001512en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85300-
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) 88351037zh_TW
dc.description.abstract (摘要) 在觀察匯率市場是否具有效率性時，大部分文獻透過檢定「遠期匯率是否為未來即期匯率的不偏估計值」來驗證，然而實證結果多不支持。探究原因後，部分學者於是提出，可能是在效率市場的假設上出了問題。原效率市場假設理性預期與風險中立，可是在現實生活中，人們的行為大多顯現風險趨避的特質，學者因而推論「風險溢酬的存在」或許正是造成遠期匯率偏誤的原因。zh_TW
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     第一章 緒論
     第二章 外匯市場風險溢酬模型
     2.1 定義
     2.2 理論模型
     2.3 實證模型
     第三章 馬可夫變換模型
     3.1 變換機率
     3.2 估計方法
     第四章 實證分析
     4.1 實證結果
     4.2 風險溢酬與遠期溢酬偏誤
     4.3 ARCH-M模型
     4.4 模型設定檢定
     第五章 結論
     附錄
     附錄一
     附錄二
     參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001512en_US
dc.subject (關鍵詞) 遠期外匯風險溢酬zh_TW
dc.subject (關鍵詞) 馬可夫變換模型zh_TW
dc.subject (關鍵詞) risk premiumen_US
dc.subject (關鍵詞) Markov switching modelen_US
dc.title (題名) 估計台幣╱美元遠期外匯風險溢酬－馬可夫變換模型之應用zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1.Baillie, R. T. and Bollerslev, T.（1990）, A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets, Journal of International Money and Finance 9, 309-324.
     2.Baillie, R. T. and Osterberg, W. P.（1997）, Central bank intervention and risk in the forward market, Journal of International Economics 43, 483-497.
     3.Domowitz, I. and C. Hakkio（1985）, Conditional variance and the risk premium in the foreign exchange market, Journal of International Economics 19, 47-66.
     4.Engel, C. （1994）, Can the Markov switching model forecast exchange rates?, Journal of International Economics 36, 151-165.
     5.Fama, E. （1984）, Forward and spot exchange rates, Journal of Monetary Economics 14, 319-338.
     6.Garcia, R. （1998）, Asymptotic null distribution of the likelihood ratio test in Markov switching models, International Economy Review 39, 763-788.
     7.Hamilton, J. D.（1989）, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357-384.
     8.Hamilton, J. D.（1990）, Analysis of time series subject to changes in regime, Journal of Econometrics 45, 39-70.
     9.Hamilton, J. D. and R. Susmel（1994）, Autoregressive conditional heteroskedasticity and change in regime, Journal of Econometrics 64, 307-333.
     10.Hansen, L. P. and R. Hodrick（1980）, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy 88, 829-853.
     11.Hansen, L. P. and R. Hodrick（1983）, Risk averse speculation in the forward foreign exchange market: An econometric analysis of linear models, in J. A. Frenkel, ed., Exchange Rate and International Macroeconomics, Chicago University Press, Chicago.
     12.Hodrick, R. J. and S. Srivastava（1984）, An investigation of risk and return in forward foreign exchange, Journal of International Money and Finance 3, 1-29.
     13.Lucas（1982）, Interest Rates and currency prices in a two-country world, Journal of Monetary Economics 10, 335-359.
     14.Mayfield, E. S.（1999）, Estimating the market risk premium, Harvard University Working Paper.
     15.Turner, C. M. , Startz, R. and Nelson, C. R.,（1989）, A Markov model of heteroskedasticity, risk and learning in the stock market, Journal of Financial Economics 25, 3-22.		zh_TW