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系統識別號 U0002-1906200915082500
中文論文名稱 新興經濟體匯率溢酬之研究
英文論文名稱 The investingation of foreign exchange rate premia in emerging economies
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 楊淑芬
研究生英文姓名 Shu-Feng Yang
學號 892490136
學位類別 博士
語文別 中文
口試日期 2009-06-19
論文頁數 93頁
口試委員 指導教授-何宗武
共同指導教授-李沃牆
委員-張淑華
委員-聶建中
委員-張倉耀
委員-楊浩彥
委員-陳達新
委員-何宗武
中文關鍵字 因時而異之風險溢酬期間結構  向量誤差修正模型  遠期溢酬期間結構 
英文關鍵字 time-varying term structure of dollar risk premium  dynamic vector error correction model (VECM)  terms structure of forward premium 
學科別分類 學科別社會科學商學
中文摘要 本論文主要研究新興市場國家在不同契約期間下,其風險溢酬期間結構之特性。資料選取係參考MSCI公佈之十三個新興國家各國匯率日資料為主;所設定之遠匯契約到期日期間為:1個月期、3個月期、6個月期及1年期等四種不同的期間結構。實證結果發現,新興市場國家與已開發國家貨幣之風險溢酬期間結構受到共同因子影響,且隨著期間結構增大,風險溢酬共同因子之估計值亦會隨之增加,二者間皆存在因時而異之風險溢酬期間結構(time-varying term structure of dollar risk premium)。
此外,本研究模型可進一步提供本國與他國貨幣的遠期溢酬期間結構(terms structure of forward premium)作為預測即期匯率報酬之有用資訊。研究結果顯示,經由向量誤差修正模型,發現大部份國家均可透過前一期之誤差修正項(遠期溢酬期間結構)調整,有效修正偏離長期均衡的行為;再者,即期匯率報酬亦會受到他國貨幣到期影響,所隱含之意義為他國貨幣之遠期溢酬期間結構可以提供即期匯率未來走向的重要依據。
英文摘要 This thesis is focus on the characteristic of term structure of risk premium under various forward foreign exchange rates. The panel data are selected from 13 announced emerging markets in MSCI, it is examined the panel of forward rate series with 1, 3, 6, and 12 months forward contract maturities. The results reveal that between the development currencies and the emerging markets in the term structure risk premium is significantly affected by the common component, this research also show that the risk premium becomes increment when the term structure makes larger. Both the development currencies and the emerging markets are time-varying term structure of dollar risk premium.
Besides, the term structure of forward premiums for own and other currencies offers an useful information in predicting the return of spot rate of a currency. In order to maintain the long-run equilibrium price relation between spot and forward rate in the foreign exchange market could be completed by the terms structure of forward premium, the error correction at previous term can be adopted in almost markets while the spot rate deviates from long-run equilibrium band, that can be endorsed by using a dynamic vector error correction model (VECM). Further, the spot rate will be affected by the term structure of forward premiums of other currencies. That is, the other currencies’ term structure of forward premiums should afford more orientation to spot rate in future.
論文目次 目錄
中文摘要 I
英文摘要 II
目錄 IV
圖目錄 VI
表目錄 VIII
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 4
第二章 相關文獻探討 5
第一節 新興市場各國匯率制度簡介 5
第二節 國內相關文獻 31
第三節 國外相關文獻 34
第三章 研究設計 43
第一節 樣本資料與資料處理 43
第二節 因時而異之風險溢酬期間結構模型 45
第三節 具有跨國遠期溢酬期間結構ECM模型 47
第四章 實證結果 52
  第一節 基本敘述統計量分析 52
  第二節 即期匯率與遠期匯率序列單根檢定 58
  第三節 即期匯率與遠期匯率序列共整合檢定 58
  第四節 實證分析 61
     一、風險溢酬期間結構模型之實證分析 61
     二、跨國遠期溢酬期間結構ECM模型之實證分析 74
第五章 結論 81
附註 82
參考文獻 89

圖目錄
圖1 巴西貨幣之風險溢酬期間結構與共同因子序列走勢圖 67
圖2 中國貨幣之風險溢酬期間結構與共同因子序列走勢圖 67
圖3 韓國貨幣之風險溢酬期間結構與共同因子序列走勢圖 67
圖4 俄羅斯貨幣之風險溢酬期間結構與共同因子序列走勢圖 68
圖5 台灣貨幣之風險溢酬期間結構與共同因子序列走勢圖 68
圖6 南非貨幣之風險溢酬期間結構與共同因子序列走勢圖 68
圖7 印度貨幣之風險溢酬期間結構與共同因子序列走勢圖 69
圖8 墨西哥貨幣之風險溢酬期間結構與共同因子序列走勢圖 69
圖9 馬來西亞貨幣之風險溢酬期間結構與共同因子序列走勢圖 69
圖10 波蘭貨幣之風險溢酬期間結構與共同因子序列走勢圖 70
圖11 土耳其貨幣之風險溢酬期間結構與共同因子序列走勢圖 70
圖12 泰國貨幣之風險溢酬期間結構與共同因子序列走勢圖 70
圖13 智利貨幣之風險溢酬期間結構與共同因子序列走勢圖 71
圖14 英國貨幣之風險溢酬期間結構與共同因子序列走勢圖 71
圖15 日本貨幣之風險溢酬期間結構與共同因子序列走勢圖 71
圖16 歐盟貨幣之風險溢酬期間結構與共同因子序列走勢圖 72
圖17 加拿大貨幣之風險溢酬期間結構與共同因子序列走勢圖 72
圖18 瑞士貨幣之風險溢酬期間結構與共同因子序列走勢圖 72
圖19 澳洲貨幣之風險溢酬期間結構與共同因子序列走勢圖 73
圖20 香港貨幣之風險溢酬期間結構與共同因子序列走勢圖 73
圖21 新加坡貨幣之風險溢酬期間結構與共同因子序列走勢圖 73

表目錄
表1 2008年MSCI世界指數與新興市場指數之組成國家及權重 44
表2 即期匯率與遠期匯率之敍述統計量 53
表3 遠期溢酬之敍述統計量 56
表4 即期匯率報酬率之敍述統計量 57
表5 即期匯率與遠期匯率之單根檢定 59
表6 Johansen共整合檢定 60
表7 風險溢酬期間結構之模型參數估計值 64
表8 風險溢酬期間結構之單根檢定 65
表9 殘差序列之單根檢定 66
表10 具有遠期溢酬期間結構ECM模式之參數估計值 75
表11 具有跨國遠期溢酬期間結構ECM模式之參數估計值 79
參考文獻 一、中文部分
古永嘉、張瓊嬌,(2002),「SGX 與TAIFEX 台股指數期貨的不偏性與隨機風險溢酬之研究」,輔仁管理評論,第九卷第二期,頁147-176。
吳榮輝(1998),「匯率風險溢酬決定因素之探討」,國立中央大學,碩士論文,民國八十七年六月。
康家瑛,(2001),台灣票券市場隨時間變動期間貼水之實證研究,私立淡江大學碩士論文。
郭炳伸、何祖平、李政峰,(2001),「台幣/美元遠期外匯風險溢酬有多大?」經濟論文叢刊,第29卷第4期,頁383-413。
陳培源,(2003),「金融衝擊和利率期限結構預期理論之實證研究」,私立淡江大學碩士論文。
曾寶磁,(2001),遠期外匯市場風險溢酬之影響因子-GARCH-M 模型之應用,私立淡江大學碩士論文。
蔣嘉惠,(2006),「外匯市場穩定性之研究」,國立高雄應用科技大學碩士論文。

二、英文部分
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Bams, D. and C. C. P. Wolff, (2003), “Risk Premia in the Term Structure of Interest Rates: a Panel Data Approach,” Journal of International Financial Markets, Vol. 13, pp. 211-236.
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Bartholdy, J., G. W. Boyle and R. D. Stover, (2003), “Deposit Insurance and the Risk Premium in Bank Deposit Rates,” Journal of Banking & Finance, Vol. 27, pp. 699-717.
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Cavaglia, S., K. G. Koedijk, W. F. C. Verschoor and C. C. P. Wolff, (1998), “Interest Expectations and Exchange Rates News,” Empirical Economics, Vol. 23, pp. 525-534.
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Cheung, Yin-Wong, (1993), “Exchange Rate Risk Premium,” Journal of International Money and Finance, Vol. 12, pp. 182-194.
Clarida, R. H. and M. P. Taylor, (1997), “The Term Structure of Forward Exchange Premiums and the Forcastability of Spot Exchange Rates:Correcting the Errors,” The Review of Economics and Statistics, Vol. 79, pp. 353-361.
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Engle, R. F., (1996), “The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,” Journal of Empirical Finance, Vol. 3, pp. 123-191.
Fama, E., (1984), “Forward and Spot Exchange Rates,” Journal of Monetary Economics, Vol. 14, pp. 319-338.
Hansen, L. P. and R. Hodrick, (1983), “Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models,” Exchange Rate and International Macroeconomics, Chicago University Press.
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Landon, S. and, C. E. Smith, (2003), “The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate,” Review of International Economics, Vol. 11, pp. 144-158.
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Mark, N., (1988), “Time-Varying Betas and Risk Premia in the Foreign Exchange Contracts,” Journal of Financial Economics, Vol. 22, pp. 335-354.
McCurdy, T. H. and I. Morgan, (1991), “Tests for a Systematic Component in Deviations from Uncovered Interest Rate Parity,” Review of Economics Studied, Vol. 58, pp. 587-602.
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Rudebusch, G. D., B. P. Sack, and E. T. Swanson, (2007), “Macroeconomic Implications of Changes in the Term Premium,” Federal Reserve Bank of St. Louis Review, Vol. 89, pp. 241-269.
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