非線性貨幣衝擊與台幣／美元遠期溢酬

本研究主要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。我們以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。這與傳統文獻中只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各動差模擬值的中位數與實際資料相去不遠。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。

關鍵字

遠期外匯超額報酬；馬可夫轉換模型,資本資產定價模型

並列摘要

This study investigates the impact of non-linear uncertainty in money supply shocks on the NTD/USD forward premium. We show that by subjecting it to exogenous regime-dependent monetary shocks, the two-country asset pricing model of Lucas (1982) could considerably better account for the time series properties of the data. In sharp contrast to that with linear monetary shocks, the equilibrium expected profit derived is characterized by a persistent time-varying level and volatility. Empirical evidence lends strong support for the Markov-switching nature of the Taiwan and U.S. monetary aggregates. When simulated using the estimated parameters, the model is able to reproduce quite a few salient features of the data. Remarkably, simulated forward rates exhibit biasedness in predicting simulated future spot rates as in the real data.

並列關鍵字

Forward premium ； Markov-switching model ； Asset pricing model

參考文獻

Anker, P.(1999).Uncovered Interest Parity, Monetary Policy and Time-Varying Risk Premia.Journal of International Money and Finance.18

Google Scholar

Backus, D., Allan, G., Telmer, C.(1993).Accounting for Forward Rate in Markets for Foreign Currency.Journal of Finance.48

Google Scholar

Baillie, R. T., Bollerslev, T.(2000).The Forward Premium Anomaly Is Not As Bad As You Think.Journal of International Money and Finance.19

Google Scholar

Bekaert, G., Hodrick, R. J., Marshall, D.(1997).The Implications of First-order Risk-Aversion for Asset Market Risk Premium.Journal of Monetary Economics.40