台幣／美元遠期外匯風險溢酬有多大？

How Large Is the Foreign Exchange Risk Premium for USD/NTD?

郭炳伸(Biing-Shen Kuo) ； 何祖平(Tzu-Ping Ho) ； 李政峰(Cheng-Feng Lee)

《經濟論文》 29卷4期 (2001/12) Pp. 383-413

https://doi.org/10.29628/AEP.200112.0001

摘要

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。我們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)理論分析全相符。

關鍵字

遠期外匯風險溢酬 ； GARCH-in-mean模型 ； 資本資產定價模型

並列摘要

This paper examines the existence of a time-varying risk premium for the USD/NTD foreign exchange rate market, based on the intertemporal capital asset pricing model. Under some conditions, the risk premium is shown to be proportional to the conditional covariance of that between the excess return on an uncovered USD currency position and that on a benchmark portfolio. We model the conditional covariance as a bivariate GARCH-in-mean process. Estimation results suggest that the risk premium exhibits a significant time variation in a magnitude larger than that of forecast errors. This time-series property is consistent with Fama (1984) in explaining the forward rate bias with the presence of a risk premium. We also detect a regime shift in the volatility process due to the Asian financial crisis.

並列關鍵字

Exchange rate risk premium ； GARCH-in-mean ； Conditional CAPM

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