臺灣博碩士論文加值系統

遠期匯率的期限越長，其變異數越大，即風險(變異數)越高。當外國消費成長率因不景氣而低於本國時，投資外國的資產風險會小於本國；因此，本國資產的風險貼水就必需高於外國，人們才願意持有。故本國利率會高於外國利率，並帶動本國通貨升值，形成本國通貨遠匯貼水(forward discount)。所以遠期匯率會高於即期匯率。故當本國與外國的消費成長率差距越大時，其遠期匯率貼水越高。
本文以Campbell and Cochrane (1999)的消費基礎模型理論架構為基礎，延伸Wachter(2006)的利率期限結構模型至遠期外匯市場，旨在解釋遠期匯率期限結構的特徵。消費基礎模型的特色在於國際資產價格變動之背後的推力是，不同時間下，各國的慣性消費(habit consumption)所產生的風險價格，並藉此說明消費成長和通貨膨脹是解釋匯率波動的因素。因此遠期匯率的期限結構取決於慣性消費成長之景氣循環。
以美元兌加拿大幣遠期匯率為個案，本消費基礎模型的三個月期與六個月期的遠期匯率風險貼水之數值推算(calibration)結果，捕捉到釵h實際短期和長期數據的波動，統計上高於利息平價假說；且在遠期匯率期限結構方面，此消費基礎模型也與實際數據具有相同之特徵。因此，此消費基礎模型有解釋遠期匯率的期限結構的能力。

The longer the term of the forward exchange rate makes a variance greater, namely the risk is higher. When foreign consumption growth rate of increase is lower than this country because of being depressed, it is will be smaller than this country to invest in the foreign assets risk; So, the risk agio of national assets must be higher than foreign country, people like to hold. So the national interest rate will be higher than the foreign interest rate, driving the national currency to appreciate, cost forward discount. Forward exchange rate will be higher than the spot rate. So when national country and the foreign consumption growth of increase disparity it is the greater, the higher forward exchange rate agio is.
This text is with Consumption-based model of Campbell and Cochrane (1999) last theory of structures model of interest rate of Wachter(2006) , by foreign exchange market, it accounts for many features of the term structure of forward exchange rate. The thrust of back that the characteristic of consumption-based model lies in the change of the international assets price is, under different time, the habit consumption of risk prices produced, and state and consumption growth and the inflation is the factor explained and exchanged rate fluctuate. So the term structure of the forward exchange rate depends on that consumes the prosperous circulation that grew up in inertia.
The long-term exchange rate of the Canadian coin as the case with U.S. dollar, the result of calibration of risk premiumof forward exchange rate with three month and six month, catch many fluctuations of a short time of a lot of reality and long-term data, is higher than the par hypothesis of the interest on counting; and in term structure of forward exchange rate, it have the same characteristics with the real data that this consumption-based model. So, this has ability of term structure to explain the forward exchange rate to consumption-based model.

第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究方法 2
第三節 研究流程及架構 3
第貳章 文獻回顧 4
第一節 遠匯貼水的形成 5
第二節 遠期匯率期限結構的決定因素 6
第三節 消費基礎模型 7
第參章 消費基礎模型與實証方法 12
第一節 慣性偏好 12
第二節 遠期匯率貼水與期限結構模型解 16
第肆章 實證結果與分析 20
第一節 資料來源與資料處理 20
第二節 傳統預期學說下的遠期匯率期限結構 21
第三節 消費基礎下的遠期匯率期限結構及其風險貼水 24
第伍章 結論與後續建議 42
第一節 結論 42
第二節 後續建議 43

參考文獻 48

附錄A 45

圖表目錄
《表一》檢定在90天期下預期180天期的遠期匯率期限結構 23
《表二》檢定在180天期下預期360天期的遠期匯率期限結構 23
《表三》參數的估計 26
《表四》偏好參數的估計 30
《表五》加拿大總合市場對實際和模擬的季資料之統計 33
《表六》美國總合市場對實際和模擬的季資料之統計 34
《表七》加拿大和美國零息債券的平均收益 34
《表八》模型誤差與利率平價理論誤差之paired-t test 39
《表九》檢定模型的遠期匯率期限結構 40
《表十》遠期匯率期限結構係數 40
《圖一》加拿大預期(模型)和實際通貨膨脹 26
《圖二》美國預期(模型)和實際通貨膨脹 27
《圖三》加拿大過去消費成長和短期利率 31
《圖四》美國過去消費成長和短期利率 31
《圖五》三個月期遠期匯率風險貼水 37
《圖六》六個月期遠期匯率風險貼水 38
《圖七》一年期遠期匯率風險貼水 38

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