臺灣博碩士論文加值系統

本文旨在探討外匯市場風險溢價變異之來源。首先藉由Lucas(1982)之兩國、跨期資產定價模型之最適消費理論為基礎推導出風險溢價方程式，發現風險溢價為貨幣供給和工業產出的函數，國內外貨幣供給和工業產出的不確定性為外匯市場遠期契約風險溢價之來源。實證上運用Engle and Kroner(1995)所提出的一般正定多變量GARCH模型推導出二變量風險溢價模型，以貨幣供給和工業產出的條件變異數和條件共變異數說明外匯市場之風險溢價。
本文更深入考慮貨幣供給的組成方式，進一步運用四變量GARCH模型，以央行對政府債權之國內信用、對金融機構債權之國內信用、國外資產淨額和工業產出四總體變數之條件變異數和條件共變異數來說明外匯市場之風險溢價。本文不同於以往文獻之受限於單變量及二變量模式，提出四變量風險溢價模型，同時以四種總體經濟變數的異質波動情形來說明外匯市場之風險溢價。實證結果指出，二變量風險溢價模型的符號與理論模型之推論仍有很大的差異，而四變量風險溢價模型其符號大致符合理論模型之推論，顯然本文納入更多總體變數進行聯立估計之方式，更能清楚地說明總體經濟環境影響外匯市場風險溢價變異來源之全貌。

The main purpose of this thesis is to investigate the volatility resources of the risk premium in the foreign exchange market. Based on Lucas (1982) two country, intertemporal asset pricing model to show risk premium equation which is the function of money supply and production. The uncertainty of money supply and production to the two country is the resources of the risk premium on a forward foreign exchange contract. Empirically, the thesis applies the theory of the generalized positive definite multi-variate GARCH model proposed by Engle and Kroner (1995) to derive bi-variate risk premium model. To utilize the conditional variance and covariance of money supply and production explain the risk premium in the foreign exchange market.
This thesis deeply takes account of the component parts of money supply. More further ahead apply four-variate GARCH model, first derives four-variate risk premium model. To utilize conditional variance and covariance of four macroeconomic variances ─ domestic credit of claims on government, domestic credit of claims on enterprises, net foreign assets and production explain the risk premium in the foreign exchange market. The empirical results find that the signs on the coefficients in bi-variate risk premium model yet are large difference from the theoretical model’s, while the signs on the coefficients in four-variate risk premium model meet the theoretical model’s on the whole. It is shows that the four-variate risk premium model proposed by this thesis can clearly insights into the overall picture of the volatility resources of the risk premium affected by the macroeconomic environment.

第一章 緒論……………………………………………………………………1
第一節 研究背景與動機……………………………………………………1
第二節 研究目的……………………………………………………………2
第三節 研究大綱……………………………………………………………3
第二章 相關理論及文獻回顧…………………………………………………6
第一節 市場效率性假說之相關理論……………………………………..6
第二節 風險溢價之文獻回顧…………………………………………….10
第三章 理論模型…………………………………………………………….20
第一節 風險溢價與總體經濟變數之理論基礎………………………….20
第二節 二變量風險溢價模型…………………………………………….27
第三節 四變量風險溢價模型…………………………………………….37
第四章 計量方法…………………………………………………………….48
第一節 定態與非定態…………………………………………………….48
第二節 單根檢定………………………………………………………….49
第三節 異質變異數時間序列模型……………………………………….51
第五章 資料來源與說明…………………………………………………….62
第六章 實證分析…………………………………………………………….65
第一節 二變量GARCH模型實證分析……………………………………..65
第二節 四變量GARCH模型實證分析……………………………………..70
第七章 結論與建議………………………………………………………….77
第一節 結論………………………………………………………………….77
第二節 後續研究建議…………………………………………………….78
參考文獻………………………………………………………………………80

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王毓敏，以總體經濟不確定性說明外匯市場的風險貼水，中山大學財務管理研究所博士論文，民國八十八年七月。
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