新興經濟體匯率溢酬之研究

The investingation of foreign exchange rate premia in emerging economies

楊淑芬(Shu-Feng Yang)

指導教授 ： 何宗武

共同指導教授 ： 李沃牆(Wo-Chiang Lee)

淡江大學/商學院/財務金融學系博士班/博士(2009年)

https://doi.org/10.6846/TKU.2009.01340

摘要

本篇摘要未授權

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

並列摘要

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並列關鍵字

time-varying term structure of dollar risk premium ； dynamic vector error correction model (VECM) ； terms structure of forward premium

參考文獻

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。

Akaike, H., (1973), Information Theory and an Extension of the Maximum Likelihood Principle, Budapest: Akademiai Kiado.

Aroskar, R., S. K. Sarkar, and P. E. Swanson, (2004), “European Foreign Exchange Market Efficiency: Evidence Based on Crisis and Noncrisis Periods,” International Review of Financial Analysis, Vol. 13, pp. 333-347.

Backus, D., G. Allan and C. Telmer, (1993), “Accounting for Forward Rate in Markets for Foreign Currency,” Journal of Finance, Vol. 48, pp. 1887-1908.

Bakshi, G., P. Carr, and L. Wu, (2008), “Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies,” Journal of Financial Economics, Vol. 87, pp. 132-156.