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系統識別號 U0026-0812200913390264
論文名稱(中文) 遠期外匯的偏誤是由於Peso Problem嗎?
論文名稱(英文) Are Forward Rate Biases Due To Peso Problem?
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 95
學期 2
出版年 96
研究生(中文) 陳慕璇
研究生(英文) Mu-hsuan Chen
電子信箱 mimosa_884@hotmail.com
學號 r8694102
學位類別 碩士
語文別 英文
論文頁數 61頁
口試委員 指導教授-王澤世
口試委員-陳俊男
口試委員-陳怡凱
中文關鍵字 遠期匯率偏誤  風險貼水  隱含波動率 
英文關鍵字 peso problem  forward rate biases  risk premium  implied volatility 
學科別分類
中文摘要 none
英文摘要 Poor performance of forward exchange rates to predict future spot rates has caused researchers to analyze other approaches to exchange rate determination. Because peso problem may occur when the economy faces the instability, in this situation using historical data to predict the future is difficult. Then, we adopt the implied volatility as new variables to test the forward exchange unbiasedness. Two different methods are used to account for the unobservable risk premium. Results suggest that the implied volatility does not significantly influence exchange rates for the three currencies on U.S. dollar basis (British Pound, Japanese yen, Euro). However, we also empirically evidence the existence of the risk premium. The risk premium using the equity of markets model and the general Equilibrium model are not significantly different from zero.
論文目次 Ⅰ. Introduction
1.1 Research background and Motivation……………………………….…...…1
1.2 Objectives……………………………………………………………...……3
1.3 The important findings…………………………………………………...…5
1.4 The structure of this paper……………………………………………...….…5
Ⅱ. Literature Review
2.1 The bias of the forward rates…………………………………………………7
2.1 List of the important literature………………………………………………10
Ⅲ. Methodology
3.1 The risk premium model……………………………………………...…… 15
3.2 Models for foreign exchange risk premium………………………...………19
3.2.1 The General Equilibrium model
3.2.2 The Equity Market Risks model
Ⅳ. Data
4.1 Data statistics summary…………………………………………….……….22
4.2 Unit roots test and the first order autocorrelation……………………..…….27
4.3 Co-integration……………………………………………………….………30
Ⅴ. Empirical Results
5.1 Simple regression model estimation………………………………….....….32
5.1.1 Tests for umbiasedness
5.1.2 Tests for umbiasedness included the implied volatility
5.2 Risk premium model PART 1…………………………………………….....34
5.2.1 The Equity Market Risks model
5.2.2 Risk Premium Model included the implied volatility
5.2.3 Risk Premium Model using the Seemingly
Unrelated Regression model (SUR)
5.2.4 The GMM Alternative
5.3 Risk premium model PART2..........................................................................51
5.3.1 Risk Premium model included the implied volatility.
5.3.2 Risk Premium Model using the Seemingly
Unrelated Regression model (SUR)
Ⅵ. Conclusion.............................................................................................................56
Ⅶ. References.............................................................................................................58
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