臺灣博碩士論文加值系統

日本自從1991年泡沫經濟，所造成之長期經濟低迷影響，使得日本政府為了促進經濟，採取了相對於其他國家之長期低利率，因而在國際金融市場中可產生利差交易的產生。而為了企圖解釋預期之超額報酬，本文利用了Campbell and Cochrane(1999)的觀念與Wachter(2006)的消費基礎理論為架構，並且在模型中加入Verdelhan(2005)對實質匯率的看法，利用慣性消費的消費基礎模型與Wachter(2006)之計量方法，試圖說明超額報酬結構的特性。並且以日本為本國的觀點，來觀察投資美國或是英國的債券超額報酬結構式。我們應用慣性消費的消費基礎模型分別推算美元，日幣與英鎊之債券收益率，在樣本期間之美元與-日幣，與英鎊-日幣之債券收益率利差值，不論是實際值與預期值，皆顯示出並無顯著差距。因此我們可以得到一個結論，也就是利差交易應屬假象，而非事實。

第一章 緒論---------------------------------------------------------------------1
第一節 研究動機與目的--------------------------------------------------1
第二節 研究方法-----------------------------------------------------------1
第三節 研究流程-----------------------------------------------------------2
第二章 文獻回顧-----------------------------------------------------------------4
第一節 利率平價-----------------------------------------------------------4
第二節 利差交易-----------------------------------------------------------4
第三節 貨幣超額報酬-----------------------------------------------------7
第四節 慣性消費的消費基礎模型--------------------------------------7
第三章：消費基礎模型與實證方法------------------------------------------10
第一節 模型設定---------------------------------------------------------10
第二節 實證方法---------------------------------------------------------20
第四章：實證結果與分析------------------------------------------------------25
第一節 資料說明---------------------------------------------------------25
第二節 參數估計---------------------------------------------------------26
第三節 預期債券收益率------------------------------------------------32
第四節 債券超額報酬---------------------------------------------------37
第五章：結論---------------------------------------------------------------------41
附錄A 債券價格解法----------------------------------------------------------42
附錄B 一期名目債券收益率展式-------------------------------------------44
參考文獻--------------------------------------------------------------------------46

Abel, A. B. (1990): “Asset Prices under Habit Formation and Catching Up with the Joneses,” American Economic Review, 80(2), 38–42.
Burnside, C. (2007): “The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment.” Working Paper 13129, National Bureau of Economic Research, 1-38.
Campbell, J. Y. and Cochrane, J. H. (1999): “By Force of Habit: A Consumption- Based Explanation of Aggregate Stock Market Behavior,” Journal of Political Economy, 107(2), 205–251.
Chapman, D. A. (1998): "Habit Formation and Aggregate Consumption." Econometrica , 66, 1223-30.
Constantinides, G. M. (1990): “Habit Formation: A Resolution of the Equity Premium Puzzle,” The Journal of Political Economy, 98, 519–543.
Cox, J. C. and Ingersoll, J. E. and Ross, S. A. (1985): “A Theory of the Term Structure of Interest Rates,” Econometrica, 53(2), 385–408.
Deaton, A. (1992)“Understanding Consumption.” New York: Oxford Univ. Press, 19
Deaton, A, and Muellbauer, J.(1980) “Economics and Consumer Behavior.” New York: Cambridge Univ. Press.
Duesenberry, J. S. (1949) “Income, Saving, and the Theory of Consumer Behavior.” Cambridge, Mass.: Harvard Univ. Press.
Fama, E. (1984): “Forward and Spot Exchange Rates,” Journal of Monetary
Economics, 14, 319–338.
Ferson, W. E. and Constantinides, G. M. “Habit Persistence and Durability in Aggregate Consumption: Empirical Tests.” J.FinancialEcon.29 (October 1991):199-240
Gagnon, J. E. and Chaboud, A. P. (2007): “What can the data tell us about carry trades in Japanese yen?” International Finance Discussion Papers, Board of
 
 
47 
 
Governors of the Federal Reserve System.
Galati, G, A Heath and P McGuire (2007): “Evidence of carry trade activity”, BIS Quarterly Review, September, pp 27–41.
Hansen, L. P., and R. J. Hodrick (1980): “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,” Journal of Political Economy, 88(5), 829–853.
Lustig, H., and A. Verdelhan (2007): “The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk,” American Economic Review, 97(1), 89–117.
Meese, R., Rogoff, K., 1983a. “Empirical exchange rate models of the seventies: do they fit out of sample?” Journal of International Economics 14, 3–24.
Mehra, R., Prescott, E., (1985):” The equity premium puzzle.” Journal of
Monetary Economics 15, 145–161.
Pagano, P. (2003):” Habit persistence and the marginal propensity to consume in Japan” Journal of The Japanese and International Economies.
Ryder, Harl E., Jr., and Heal, Geoffrey M. "Optimum Growth with Intertemporally
Dependent Preferences." Rev. Econ. Studies 40 (January1973): 1-33.
Sundaresan, S. (1989): “Intertemporal Dependent Preferences and the Volatility of Consumption and Wealth,” The Review of Financial Studies, 2(1), 73–88.
Wachter, J. A. (2005): “Solving models with external habit,” Finance Research Letters, 2, 210–226.
Wachter, J. (2006): “A Consumption-Based Model of the Term Structure of Interest Rates,” Journal of Financial Economics, 79, 365–399.