亞洲金融市場利差交易中的風險溢酬以及影響其波動原因探討

The survey of risk premiums in Asian financial market and its volatility

張寧(Chang Ning)

指導教授 ： 林建秀

國立政治大學/商學院/金融學系/碩士(2019年)

https://doi.org/10.6814/NCCU201900133

摘要

文針對亞洲九個國家的外匯市場進行利差交易的風險溢酬研究，試圖找出風險溢酬的證據並分析影響風險溢酬波動的原因。並將風險溢酬波動分為長波動因子以及短波動因子，進而分析哪個因子對風險溢酬波動影響較大以及分別又是那些變數影響長短波動因子的變化。
為了使研究結果更加顯著，在估計未拋補平價理論是否成立時在估計式中加入國家風險的因子，且成功使估計結果更顯著。研究結果顯示八個國家的外匯市場皆存在風險溢酬且長波動因子較短波動因子影響風險溢酬波動程度大。其中影響長波動因子的變數有基本面變數以及國家風險的變化；影響短波動因子的原因是市場的信心波動以及一些流動性的問題。

關鍵字

利差交易 ； 風險溢酬 ； 波動度 ； CGARCH-M模型 ； 未拋補平價理論

並列摘要

This paper studies risk premium of carry trade in the foreign exchange markets of nine Asian countries, attempting to find the evidence of the existence of risk premiums and analyzing the reasons of volatility in risk premium. The risk premium volatility is divided into long-term volatility factors and short-term volatility factors, and then it is analyzed which factors have a greater impact on the risk premium volatility and those variables affect the long and short volatility factors.
To make the results more significant, this paper put the country risk factor in the estimator of Uncovered Interest Rate Parity(UIP) and the estimated result is successfully being more significant. The results show that there are risk premiums in the foreign exchange markets of all eight countries and that long-term volatility factors have more effects on the volatility of risk premiums than short-term volatility factors. The variables affecting long-term volatility factors are fundamental variables and changes in country risks; the reasons for short-term volatility factors are market confidence fluctuations and some liquidity problems.

並列關鍵字

none

參考文獻

中文文獻

金秀琴(2010) 。全球金融風暴對東南亞國家經濟之衝擊與因應。經濟研究，第10期，頁299-320。

英文文獻

Aysun, U., & Lee, S. (2014). Can time-varying risk premiums explain the excess returns in the interest rate parity condition? Emerging Markets Review. 18, 78-100.

Bilson, J. F. O. (1981). The ‘speculative efficiency’ hypothesis. Journal of Business, 54, 435-451.