臺灣博碩士論文加值系統

本文以條件資本資產定價模型為理論基礎，推導出與時俱變風險溢酬（time-varying risk premia; TVRP）的存在正是造成未拋補利率平價說偏離（deviations from uncovered interest parity）的原因。同時本文使用7個亞太國家外匯市場資料，以研究亞洲金融危機發生後，TVRP是否會因為此次金融風暴的影響而有結構性的改變？因此本文除了針對整個樣本期間進行估計外，並將研究期間劃分為3個區間：金融危機前、金融危機期間與金融危機後。
經由實證結果發現：（1）各國貨幣的風險溢酬，確實會因為此次金融風暴的影響而有結構性的改變。（2）各國貨幣的風險溢酬確實是與時俱變的。（3）強烈拒絕β值為固定的模型，且固定β值的解釋能力較與時俱變條件β值低。

This paper investigates the existence of time-varying risk premia in deviations from uncovered interest parity (UIP) based on a conditional capital asset pricing model (CCAPM) using data from Seven Asia-Pacific foreign exchange markets. At the same time this paper examines the time-varying risk premia and asks whether if there have structural changes or not since the financial storm influence in the periods after Asia financial crisis. So except the whole sample of Asia financial crises, we also break our samples into three sub-periods: before, during and after the financial crisis.
The empirical results indicate that:（1）the time-varying risk premia have structural changes after these financial storm influences.（2）the time-varying risk premia for all currencies are confirmed definitely.（3）the constant beta can be rejected strongly and the explanatory power of the constant beta is considerably lower compared to the time-varying beta.
Keywords: conditional CAPM; time-varying risk premium; uncovered interest parity; time-varying conditional beta.

摘要 iv
英文摘要 v
誌謝 vi
目次 vii
表目錄 viiii
圖目錄 x
第一章 緒論 1
1.1 研究動機 1
1.2 研究目的 4
1.3 研究流程 5
1.4 研究架構 6
第二章 相關理應與文獻探討 7
2.1市場風險係數 7
2.2資本資產定價模式相關文獻 8
2.2.1 資本資產定價模式 8
2.2.2 相關文獻 9
2.3 與時俱變β係數相關文獻探討 10
2.3.1 β係數是否穩定之文獻回顧 10
2.3.1 與時俱變系統風險之估計模型與相關文獻 11
第三章 模型推導 14
第四章 研究方法 19
4.1 單根檢定 19
4.1.1 Augmented Dickey-Fuller(ADF)單根檢定法 19
4.1.2 Phillips-Perron (PP)單根檢定法 20
4.2 一般化自我迴歸條件異質變異數模型 22
4.3 Chow檢定 27
4.3.1 Chow轉變點檢定 27
4.3.2 移動式Chow檢定 28
4.4 概似比檢定 30
第五章 實證結果分析 31
5.1 資料來源與處理 31
5.1.1 研究期間 31
5.1.2 資料來源 31
5.1.3 資料處理 31
5.2 Chow test的結果分析與基本統計分析 33
5.2.1 Chow轉變點檢定 33
5.2.2 移動式Chow檢定 35
5.2.3 UIP偏離程度趨勢圖 40
5.3 單根檢定 42
5.4 雙變量GARCH模型之實證分析 49
5.5 雙變量GARCH模型對不同樣本區間估計續效之評估 63
5.6 與時俱變β序列圖形 64
第六章 結論與建議 70
6.1 結論 70
6.2 建議 71
參考文獻 72
附錄 75

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