二十一世紀的未拋補利率平價：以日幣為例

Uncovered Interest Rate Parity in 21st Century: Evidence from Japanese Yen

呂意晴(Lu Yi-Ching)

指導教授 ： 郭炳伸

國立政治大學/商學院/國際經營與貿易學系/碩士(2022年)

https://doi.org/10.6814/NCCU202201223

摘要

本文利用 21 世紀後美元與日幣的時間序列日資料，重新審視了未拋補利率平價說 (下稱UIP)在實證上的有效性，並確認「遠匯溢酬之謎」及「匯率預測之謎」是否存續到現今。與過去文獻不同的是，本研究沒有發現遠匯溢酬之謎，即在這組資料中，匯率不再與兩國的利差反向移動。更甚者，本研究也沒有發現匯率預測之謎，無論是哪個預測區間，UIP模型如今在樣本外通常能以極小的均方差與極高的走勢方向命中率打敗隨機漫步模型。當選擇越小的樣本內資料筆數，模型的樣本外預測表現越好，而日資料的運用使其變得可行。另外，本研究也發現可以代表未預期到的市場波動的「波動風險溢酬」有助於改善了樣本外預測，代表著有用的資訊包含於其中。

關鍵字

匯率 ； 未拋補利率平價說 ； 波動風險溢酬 ； 樣本外預測

並列摘要

This study re-examines the empirical validity of uncovered interest rate parity (UIP) using a daily US dollar/Japanese yen time series spanning the early twenty-first century, to check whether the forward premium puzzle and the exchange rate predictability puzzle continue to exist in this new dataset. In contrast to the literature, this study does not find the forward premium puzzle. In other words, the exchange rate is found to no longer co-move with the interest rate differential of the countries in the samples. More, the predictability puzzle is also not found. Noticeably, and by a much smaller mean squared error and higher directional hitting rate, the UIP model can beat a random walk in out-of-sample forecasts, regardless of prediction horizons. The UIP model offers better forecast performance when smaller window sizes are selected, made feasible in this study by using daily data. The study further finds that the variance risk premium, a proxy for unexpected volatility in markets, leads to improvements in out-of-sample forecast performance, implying that variance risk premium contains useful information.

並列關鍵字

Uncovered interest rate parity ； Forward premium puzzle ； Exchange rate predictability puzzle ； Variance risk premium

參考文獻

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