台灣遠期美元外匯市場風險溢酬之研究

The Studies of Risk Premium of Taiwan's U. S. Dollar Forward Exchange Market

廖四郎(Szu-Lang Liao) ； 徐守德(David Shyu) ； 王銘杰(Ming-Chieh Wang)

《中國財務學刊》 5卷2期 (1997/10) Pp. 27-57

https://doi.org/10.6545/JoFS.1997.5(2).2

摘要

本文係針對台灣這期美元外匯市場進行風險溢酬的相關研究。有關遠期美元外匯是否符合簡單市場效率性的假設，在文中並無定論，不過可確定在遠期美元市場重新開放後，其投率性提高了，同時央行對市場干預程度亦減少。遠期美元的風險貼水並無法由本身過去的條件變異數來解釋，在納入其他市場因素下，無風險利率與遠期美元市場並無關聯，而考慮股票市場後，其超額報酬與遠期市場間存有關聯。但由單因子隱含變數模型可知兩市場肉末存在長期共整關係，可能係因市場彼此影響因素不同所致。

關鍵字

市場效率性假說 ； 風險貼水 ； 單因子隱含變數模型 ； 長期共整

並列摘要

This paper attempt s to test the risk premium of Taiwan's U.S. dollar forward exchange market. This study doesn't come to conclusive results about the efficiency of Taiwan's U.S. dollar forward exchange market. While this research finds that the market after reopening becomes more efficient than the market before reopening, and the degree of central bank intervention has been decreasing. The risk premium cannot be explained by their conditional variances. In addition, the empirical results show that the riskless rate is not a good predictor of the risk premium for the forward exchange market. But after taking the stock market into consideration, this paper finds that there exists a relation between the excess return s of the forward exchange market and the stock market. It also finds that the forward exchange market and the stock market doesn't exist a long-term cointegration by using single latent variable model.

並列關鍵字

Efficiency Market Hypothesis(EMH) ； Risk Premium ； Single Latent Variable Model ； Long-term cointegration