臺灣博碩士論文加值系統

論文摘要
　　
本研究主要運用多變量GARCH in Mean 模型，探討通貨膨脹下跨期資產的定價行為，早期資產定價模型只考慮市場性風險，近年來資產定價的研究更考慮到跨期行為的對沖風險，但對於通貨膨脹的風險卻不重視。本研究以Campbell (1993)的模型為延續，加入對物價風險的考量，以明瞭跨期模型下資產定價所面臨的真正風險。
本研究以美國道瓊指數為資料，資料選取期間為1990年1月至1999年12月共計120筆，計量方法以近似最大概似估計法估算多變量GARCH in Mean模型，其結論得出不包含物價風險下，資產的風險溢酬明顯低估，因此在跨期模型下，應考慮物價風險，才能正確衡量一個資產的真正風險。

1．續論………………………………………………………………………4
2．文獻回顧…………………………………………………………………7
2.1 以消費為基礎的資產定價模型……………………………………8
2.2 通貨膨脹下的資產定價模型………………………………………13
3．資產定價模型…………………………………………………………18
3.1 效用極大化…………………………………………………………18
3.1.1 跨期預算限制式………………………………………………18
3.1.2 Non-Expected 效用…………………………………………19
3.1.3 Euler 方程式…………………………………………………20
3.1.4 跨期邊際替代率………………………………………………25
3.2 對數線性化Euler方程式 …………………………………………28
3.2.1 實質消費成長與市場報酬…………………………………29
3.2.2 無風險報酬率………………………………………………30
3.2.3 包含消費影響的三因子CAPM模型和其問題………………32
3.3 對數線性化跨期預算限制式………………………………………33
3.3.1 跨期預算限制式(不包含財富)………………………………34
3.3.2 修正後的跨期預算限制式……………………………………34
3.4 不包含消費的三因子資產定價……………………………………36
3.4.1 市場風險的影響………………………………………………37
3.4.2 對沖風險的影響………………………………………………37
3.4.3 物價風險的影響………………………………………………38
4．計量方法………………………………………………………………40
4.1 VAR估計法…………………………………………………………40
4.1.1 狀態變數VAR模型中的市場報酬……………………………40
4.1.2狀態變數VAR模型中的通貨膨脹率……………………………41
4.1.3 二階動差的動態性質…………………………………………43
5．資料與實證結果…………………………………………………………49
5.1 資料與時間數列……………………………………………………49
5.2 實證結果 ……………………………………………………………50
5.2.1 預測未來市場報酬之狀態變數的動態性質…………………50
5.2.2 預測未來通貨膨脹之狀態變數的動態性質…………………50
5.2.3 風險係數估計結果……………………………………………51
5.2.4 名目風險係數估計結果………………………………………51
5.2.5 風險溢酬估計…………………………………………………52
6．結論………………………………………………………………………59

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