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研究生:何祖平
論文名稱:遠期溢酬偏誤─理論與實證
指導教授:郭炳伸郭炳伸引用關係
學位類別:博士
校院名稱:國立政治大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:114
中文關鍵詞:風險溢酬資本資產定價模型馬可夫狀態轉換模型
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本論文主要探討台幣/美元外匯風險溢酬的波動性質,以及總體經濟面之貨幣政策不確定性與遠期溢酬偏誤的關聯性。文中以跨期資本資產定價模型為基本分析架構,並依模型推導結果進行實證與模擬分析。本論文包含三篇文章。
第一篇分析外匯風險溢酬的波動性質。外匯風險溢酬的波動性質可能影響即期匯率的變化、央行外匯干預政策的有效性,甚至可能使遠期匯率無法充分反映與未來即期匯率相關之訊息。文中以跨期資本資產定價模型為基本架構,建立雙元GARCH-in-Mean計量模型進行分析,實際估計外匯風險溢酬,並驗證出其主要會受市場投資超額報酬與條件風險係數的影響。實證結果顯示,我們所估計的風險溢酬呈現因時而異且具有高度波動的性質。亦即,所估計之風險溢酬的時間數列性質與Fama(1984)理論分析完全相符。
第二篇探討總體經濟面之貨幣政策不確定性與遠期溢酬偏誤的關聯性。文中以Lucas(1982) 跨期資產定價模型分析「狀態轉換」貨幣面衝擊與遠期溢酬偏誤的理論關係。根據推導結果可知,即期匯率變動率、遠期溢酬與均衡超額報酬時間數列之理論性質受貨幣供給變動在不同狀態下之條件變異數、條件平均值及狀態轉換機率之影響。這與傳統文獻中止允許單一狀態之貨幣衝擊所導出者大異其趣。在實證上,我們發現台灣及美國之貨幣供給變動率可以狀態轉換模型良好配適。亦即,非線性的貨幣面衝擊獲得實證上的支持。在理論模型的資料配適程度上,本研究模擬分析即期匯率變動、遠期溢酬與均衡超額報酬時間數列的動差條件。結果發現,台幣 /美元之即期匯率變動率、遠期溢酬與外匯超額報酬之平均值與實際資料相去不遠,但其波動略小於實際資料的變異數。同時若以模擬資料進行遠期外匯不偏性假說檢定,亦發現如實際資料所顯示的偏誤現象。
第三篇則是探討更一般化的狀態轉換貨幣供給變動與遠期溢酬偏誤的關聯性。此一般化貨幣供給變動包括因時而異的轉換機率與條件變異數。文中以第二篇為理論模型基礎,根據推導結果可知,即期匯率變動率、遠期溢酬與預期超額利潤時間數列之理論性質受貨幣供給在不同狀態下之條件平均值、因時而異的狀態轉換機率與條件變異數之影響。當與固定轉換機率的貨幣供給變動設定比較時,一般化狀態轉換貨幣供給變動下的最適化問題,由於多考慮因時而異的狀態轉換機率與條件變異數之不確定性,故投資人將可能為彌補其所多承擔的風險,
而要求更高的超額報酬。在實證方面,本章模擬分析即期匯率變動、遠期溢酬與均衡超額報酬時間數列的動差條件。結果發現,台幣/美元之即期匯率變動率、遠期溢酬與外匯超額報酬之平均值,各變數在不同的狀態轉換模型下,模擬資料之平均數更接近於實際資料之平均數。其中考慮因時而異狀態轉換機率與條件變異數的設定方式最為接近。模擬資料之標準差則略小於實際資料的標準差。而其中預期超額報酬的模擬標準差,以考慮因時而異狀態轉換機率與條件變異數的設定方式之模擬值相對較高。同時若以模擬資料進行遠期外匯不偏性假說檢定,
亦發現如實際資料所顯示的偏誤現象。
第一章 導論
第二章 台幣/美元遠期外匯風險溢酬大小之衡量
2.1 研究動機與目的
2.2 風險溢酬與條件資本資產定價模型
2.3 計量模型之設定
2.4資料與實證結果
2.4.1 資料來源
2.4.2 實證結果
2.4.3 風險溢酬大小
2.5 結論
第三章 非線性貨幣政策與遠期溢酬
3.1研究動機與目的
3.2遠期溢酬偏誤現象
3.3 狀態轉換遠期溢酬之理論模型
3.3.1貨幣供給過程
3.3.2均衡解
3.4 實證結果與模擬分析
3.4.1 資料來源與說明
3.4.2 馬可夫轉換模型估計
3.4.3 台幣/美元匯率之模擬分析
3.5 結論
第四章 一般化貨幣供給變動與風險溢酬
4.1 研究動機與目的
4.2貨幣供給變動之一般化狀態轉換過程
4.3 狀態轉換風險溢酬模型
4.3.1 均衡解
4.3.2 遠期溢酬偏誤
4.4 模擬分析
4.4.1 台幣/美元匯率之模擬分析
4.4.2 遠期溢酬偏誤模擬分析
4.5 結論
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