Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/58870


Title: 台灣外匯市場報酬風險抵換關係
The Risk-Return Trade-Off in the Foreign Exchange Market in Taiwan.
Authors: 許紹偉
Contributors: 饒秀華
徐士勛

許紹偉
Keywords: 外匯市場
風險報酬抵換關係
實際波動度
實際偏態系數
風險價值
Date: 2012
Issue Date: 2013-07-11 18:03:21 (UTC+8)
Abstract: 風險與報酬的抵換關係一直是廣為討論的議題,以往的文獻中大多以股票市場為探討對象,但實證研究上股票市場的風險報酬抵換關係並無一致的結果。有別於以往文獻,本研究以外匯市場為主,並以美元、英鎊及日幣三種外匯做為探討對象,採用的樣本期間從1990年7月至2012年12月的外匯日資料,經過計算後求得超額報酬、實際波動度、實際偏態係數絕對值及風險價值。本研究採用GARCH(1,1)模型探討三種風險衡量指標與外匯超額報酬的抵換關係。研究結果顯示,同時使用三種風險衡量指標的模型,其配適度優於只使用一種風險衡量指標的模型,並發現在多變數風險抵換報酬模型中,三種外匯的實際波動度及風險價值呈現顯著,其中實際波動度為負向抵換關係,風險價值為正向抵換關係,實際偏態係數絕對值只有美元些微顯著,英鎊及日幣則是不顯著。除此之外,本研究更利用加入金融風暴虛擬變數及將時間分段兩種方式,探討金融風暴對台灣外匯市場的風險報酬抵換關係影響,推論出金融風暴後美元的風險報酬抵換程度上升,而英鎊及日幣的風險報酬抵換程度則是下降。
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Description: 碩士
國立政治大學
經濟學系
100258011
101
Source URI: http://thesis.lib.nccu.edu.tw/record/#G1002580112
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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