| dc.contributor | 銀行學系 | en_US |
| dc.creator (作者) | 沈中華 | zh_TW |
| dc.date (日期) | 1997 | en_US |
| dc.date.accessioned | 2-Sep-2014 09:00:40 (UTC+8) | - |
| dc.date.available | 2-Sep-2014 09:00:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Sep-2014 09:00:40 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/69547 | - |
| dc.description.abstract (摘要) | This paper examines whether the foreign exchange-equity risk premium are supported by the US and its major five foreign countries or not. The paper contains three parts. First, we argue that Chiang`s (1991) and MP`s (1997) results are misleading owing to the incorrect scaling method adopted. When correct scaling method is applied, the results are not favorable to the hypothesis.< Next, the time-varying parameters approach is conducted. Though parameters vary, the varying ranges are small. Results are again not supportive. The final model is based on the Markov switching model. Judging from the results from Markov Switching model, though the exchange-equity risk premium hypothesis are not supported for the most of the time, it is not wholly rejected. For some periods of time, the hypothesis cannot be rejected.< | en_US |
| dc.format.extent | 225 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 行政院國家科學委員會 | en_US |
| dc.relation (關聯) | 計畫編號NSC86-2415-H004-010 | en_US |
| dc.subject (關鍵詞) | 風險溢價;Markov狀態變換;外匯市場 | en_US |
| dc.subject (關鍵詞) | Risk premium;Markvo switching;Foreign exchange market | en_US |
| dc.title (題名) | 外匯市場風險溢酬訂價模型與MARKOV狀態變換 | zh_TW |
| dc.title.alternative (其他題名) | Pricing Foreign Exchange Risk Premium and Markov Switching Model. | en_US |
| dc.type (資料類型) | report | en |
