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題名 亞洲金融市場利差交易中的風險溢酬以及影響其波動原因探討
The survey of risk premiums in Asian financial market and its volatility
作者 張寧
Chang, Ning
貢獻者 林建秀
Lin, Chien-Hsiu
張寧
Chang, Ning
關鍵詞 利差交易
風險溢酬
波動度
CGARCH-M模型
未拋補平價理論
日期 2019
上傳時間 1-Jul-2019 10:49:03 (UTC+8)
摘要 文針對亞洲九個國家的外匯市場進行利差交易的風險溢酬研究，試圖找出風險溢酬的證據並分析影響風險溢酬波動的原因。並將風險溢酬波動分為長波動因子以及短波動因子，進而分析哪個因子對風險溢酬波動影響較大以及分別又是那些變數影響長短波動因子的變化。
為了使研究結果更加顯著，在估計未拋補平價理論是否成立時在估計式中加入國家風險的因子，且成功使估計結果更顯著。研究結果顯示八個國家的外匯市場皆存在風險溢酬且長波動因子較短波動因子影響風險溢酬波動程度大。其中影響長波動因子的變數有基本面變數以及國家風險的變化；影響短波動因子的原因是市場的信心波動以及一些流動性的問題。
This paper studies risk premium of carry trade in the foreign exchange markets of nine Asian countries, attempting to find the evidence of the existence of risk premiums and analyzing the reasons of volatility in risk premium. The risk premium volatility is divided into long-term volatility factors and short-term volatility factors, and then it is analyzed which factors have a greater impact on the risk premium volatility and those variables affect the long and short volatility factors.
To make the results more significant, this paper put the country risk factor in the estimator of Uncovered Interest Rate Parity(UIP) and the estimated result is successfully being more significant. The results show that there are risk premiums in the foreign exchange markets of all eight countries and that long-term volatility factors have more effects on the volatility of risk premiums than short-term volatility factors. The variables affecting long-term volatility factors are fundamental variables and changes in country risks; the reasons for short-term volatility factors are market confidence fluctuations and some liquidity problems.
參考文獻 中文文獻
金秀琴(2010) 。全球金融風暴對東南亞國家經濟之衝擊與因應。經濟研究，第10期，頁299-320。
英文文獻
Aysun, U., & Lee, S. (2014). Can time-varying risk premiums explain the excess returns in the interest rate parity condition? Emerging Markets Review. 18, 78-100.
Bilson, J. F. O. (1981). The ‘speculative efficiency’ hypothesis. Journal of Business, 54, 435-451.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Economics, 31, 307-327.
Bollerslev, T., Engle, R. F., & Wooldridge, J.M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96, 116-131.
Coudert, V., & Mignon, V. (2013). The ‘‘forward premium puzzle” and the sovereign default risk. Journal of International Money and Finance, 32, 491-511.
Engel, C. (1996). The forward discount anomaly and the risk premium: a survey of recent evidence. Journal of Empirical Finance, 3, 123-192.
Engel, C., & West, K. D. (2005). Exchange rates and fundamentals. Journal of Political Economy, 113, 485-517.
Engle, R. F., Lilien, D. M., & Robins, R.P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391-407.
Engle, R. F., & Lee, G. G. L. (1999). A long-run and short-run component model of stock return volatility. In: Engle, R.F., White, H. (Eds.), Cointegration, Causality,
and Forecasting: Festschrift in Honour of Clive W.J. Granger. Oxford University Press, Oxford.
Fama, E. F. (1984). Forward and spot exchange rate. Journal of Monetary Economics, 14, 319-338.
Flood, R. P., & Rose, A. K. (1996). Fixes: of the forward discount puzzle. Review of Economics and Statistics, 78, 748-752.
Frankel, J. A. (1992). Measuring International Capital Mobility: A Review . American Economic Review, 82(2), 197-202.
Frankel, J. A., & Chinn, M. D. (1993). Exchange rate expectations and the risk premium: test for a cross section of 17 currencies. Review of International Economics, 1, 136-144.
Froot, K. A., & Thaler, R. H. (1990). Anomalies: foreign exchange. The Journal of Economic Perspectives, 4, 179-192.
Garcia, M., & Olivares, G. (2001). O Prêmio de Risco da Taxa de Câmbio no Brasil durante o Plano Real. Revista Brasileira de Economia, 55, 151-182.
Glosten, L. R., Jagannathan, R., and Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
Hansen, L. P., & Hodrick, Robert J. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy, 88, 829-853.
Hodrick, R. J., & Srivastava, S. (1984). An investigation of risk and return in forward foreign exchange. Journal of International Money and Finance, 3, 1-29.
Hsieh, D. A. (1984). Tests of rational expectations and no risk premium in forward exchange markets. Journal of International Economics, 17, 173-184.
Jabeen, M., & Khan, S. A. (2014). Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan. International Econometric Review, 6, 58-76.
Li, D., Ghoshray, A., & Morley, B. (2012). Measuring the risk premium in uncovered interest parity using the component GARCH-M model. International Review of Economics & Finance, 24, 167–176.
Lustig, H., Roussanov, N., & Verdelhan, A. (2010). Countercyclical currency risk premia. Unpublished working paper, MIT, UCLA, and Wharton.
Pramor, M., & Tamirisa, N. T. (2006). Common volatility trends in the Central and Eastern European currencies and the euro. IMF Working Paper, 206, Washington, DC.
Santos, M. B. C., Klotzle, M. C., & Pinto, A. C. F. (2016). Evidence of Risk Premiums in Emerging Market Carry Trade Currencies. Journal of International Financial Markets, Institutions & Money , 44, 103-115.
Sarno, L., Schneider, P., Wagner, C. (2012). Properties of foreign exchange risk premiums. The Journal of Finance Economics, 105, 279-310.
Živkov, D., Njegić, j., Momčilović, M., & Milenković, I. (2016). Prague Economic Papers, 2016(3), 253-270.
描述 碩士
國立政治大學
金融學系
106352012
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1063520121
資料類型 thesis
dc.contributor.advisor 林建秀zh_TW
dc.contributor.advisor Lin, Chien-Hsiuen_US
dc.contributor.author (Authors) 張寧zh_TW
dc.contributor.author (Authors) Chang, Ningen_US
dc.creator (作者) 張寧zh_TW
dc.creator (作者) Chang, Ningen_US
dc.date (日期) 2019en_US
dc.date.accessioned 1-Jul-2019 10:49:03 (UTC+8)-
dc.date.available 1-Jul-2019 10:49:03 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2019 10:49:03 (UTC+8)-
dc.identifier (Other Identifiers) G1063520121en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124148-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 106352012zh_TW
dc.description.abstract (摘要) 文針對亞洲九個國家的外匯市場進行利差交易的風險溢酬研究，試圖找出風險溢酬的證據並分析影響風險溢酬波動的原因。並將風險溢酬波動分為長波動因子以及短波動因子，進而分析哪個因子對風險溢酬波動影響較大以及分別又是那些變數影響長短波動因子的變化。
為了使研究結果更加顯著，在估計未拋補平價理論是否成立時在估計式中加入國家風險的因子，且成功使估計結果更顯著。研究結果顯示八個國家的外匯市場皆存在風險溢酬且長波動因子較短波動因子影響風險溢酬波動程度大。其中影響長波動因子的變數有基本面變數以及國家風險的變化；影響短波動因子的原因是市場的信心波動以及一些流動性的問題。		zh_TW
dc.description.abstract (摘要) This paper studies risk premium of carry trade in the foreign exchange markets of nine Asian countries, attempting to find the evidence of the existence of risk premiums and analyzing the reasons of volatility in risk premium. The risk premium volatility is divided into long-term volatility factors and short-term volatility factors, and then it is analyzed which factors have a greater impact on the risk premium volatility and those variables affect the long and short volatility factors.
To make the results more significant, this paper put the country risk factor in the estimator of Uncovered Interest Rate Parity(UIP) and the estimated result is successfully being more significant. The results show that there are risk premiums in the foreign exchange markets of all eight countries and that long-term volatility factors have more effects on the volatility of risk premiums than short-term volatility factors. The variables affecting long-term volatility factors are fundamental variables and changes in country risks; the reasons for short-term volatility factors are market confidence fluctuations and some liquidity problems.		en_US
dc.description.tableofcontents 目錄
第一章 緒論 1
第一節 研究背景與研究動機 1
第二節 研究目的 2
第二章 文獻探討 3
第一節 風險溢酬 3
第二節 Component GARCH-M 模型 5
第三章 研究方法 7
第一節 未拋補利率平價說(Uncovered Interest Rate Parity) 7
第二節 CGARCH-M 模型 9
第三節 分析風險溢酬波動度因子 10
第四章 研究資料 12
第一節 資料概述 12
第二節 資料分析 13
第五章 實證結果 19
第一節 外匯風險溢酬 19
第二節 影響風險溢酬波動度因子分析 24
第六章 結論 29
參考文獻 31		zh_TW
dc.format.extent 1855305 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1063520121en_US
dc.subject (關鍵詞) 利差交易zh_TW
dc.subject (關鍵詞) 風險溢酬zh_TW
dc.subject (關鍵詞) 波動度zh_TW
dc.subject (關鍵詞) CGARCH-M模型zh_TW
dc.subject (關鍵詞) 未拋補平價理論zh_TW
dc.title (題名) 亞洲金融市場利差交易中的風險溢酬以及影響其波動原因探討zh_TW
dc.title (題名) The survey of risk premiums in Asian financial market and its volatilityen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文文獻
金秀琴(2010) 。全球金融風暴對東南亞國家經濟之衝擊與因應。經濟研究，第10期，頁299-320。
英文文獻
Aysun, U., & Lee, S. (2014). Can time-varying risk premiums explain the excess returns in the interest rate parity condition? Emerging Markets Review. 18, 78-100.
Bilson, J. F. O. (1981). The ‘speculative efficiency’ hypothesis. Journal of Business, 54, 435-451.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Economics, 31, 307-327.
Bollerslev, T., Engle, R. F., & Wooldridge, J.M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96, 116-131.
Coudert, V., & Mignon, V. (2013). The ‘‘forward premium puzzle” and the sovereign default risk. Journal of International Money and Finance, 32, 491-511.
Engel, C. (1996). The forward discount anomaly and the risk premium: a survey of recent evidence. Journal of Empirical Finance, 3, 123-192.
Engel, C., & West, K. D. (2005). Exchange rates and fundamentals. Journal of Political Economy, 113, 485-517.
Engle, R. F., Lilien, D. M., & Robins, R.P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391-407.
Engle, R. F., & Lee, G. G. L. (1999). A long-run and short-run component model of stock return volatility. In: Engle, R.F., White, H. (Eds.), Cointegration, Causality,
and Forecasting: Festschrift in Honour of Clive W.J. Granger. Oxford University Press, Oxford.
Fama, E. F. (1984). Forward and spot exchange rate. Journal of Monetary Economics, 14, 319-338.
Flood, R. P., & Rose, A. K. (1996). Fixes: of the forward discount puzzle. Review of Economics and Statistics, 78, 748-752.
Frankel, J. A. (1992). Measuring International Capital Mobility: A Review . American Economic Review, 82(2), 197-202.
Frankel, J. A., & Chinn, M. D. (1993). Exchange rate expectations and the risk premium: test for a cross section of 17 currencies. Review of International Economics, 1, 136-144.
Froot, K. A., & Thaler, R. H. (1990). Anomalies: foreign exchange. The Journal of Economic Perspectives, 4, 179-192.
Garcia, M., & Olivares, G. (2001). O Prêmio de Risco da Taxa de Câmbio no Brasil durante o Plano Real. Revista Brasileira de Economia, 55, 151-182.
Glosten, L. R., Jagannathan, R., and Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
Hansen, L. P., & Hodrick, Robert J. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy, 88, 829-853.
Hodrick, R. J., & Srivastava, S. (1984). An investigation of risk and return in forward foreign exchange. Journal of International Money and Finance, 3, 1-29.
Hsieh, D. A. (1984). Tests of rational expectations and no risk premium in forward exchange markets. Journal of International Economics, 17, 173-184.
Jabeen, M., & Khan, S. A. (2014). Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan. International Econometric Review, 6, 58-76.
Li, D., Ghoshray, A., & Morley, B. (2012). Measuring the risk premium in uncovered interest parity using the component GARCH-M model. International Review of Economics & Finance, 24, 167–176.
Lustig, H., Roussanov, N., & Verdelhan, A. (2010). Countercyclical currency risk premia. Unpublished working paper, MIT, UCLA, and Wharton.
Pramor, M., & Tamirisa, N. T. (2006). Common volatility trends in the Central and Eastern European currencies and the euro. IMF Working Paper, 206, Washington, DC.
Santos, M. B. C., Klotzle, M. C., & Pinto, A. C. F. (2016). Evidence of Risk Premiums in Emerging Market Carry Trade Currencies. Journal of International Financial Markets, Institutions & Money , 44, 103-115.
Sarno, L., Schneider, P., Wagner, C. (2012). Properties of foreign exchange risk premiums. The Journal of Finance Economics, 105, 279-310.
Živkov, D., Njegić, j., Momčilović, M., & Milenković, I. (2016). Prague Economic Papers, 2016(3), 253-270.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU201900133en_US