發(fā)布時間：2018-03-27 14:46

  本文選題：長期風(fēng)險　切入點：耐用消費品　出處：《廈門大學(xué)》2014年碩士論文

【摘要】：根據(jù)利率平價理論,當外國的無風(fēng)險利率高于本國的無風(fēng)險利率時,風(fēng)險中性及理性投資者預(yù)期外國貨幣相對于本國貨幣貶值,貶值的幅度正好能夠抵消外國貨幣較高的無風(fēng)險利率帶來的收益,因此投資者不能通過該套利獲得超額收益,但在實際外匯市場中,兩國利率之差越大,投資者所能獲得的超額收益越高,這一現(xiàn)象違反了利率平價理論,本文對此展開研究。本文以外國無風(fēng)險利率高低為依據(jù)構(gòu)建的八個外匯組合的超額收益率(指相對于美國無風(fēng)險收益率的超額收益率)為研究對象,發(fā)現(xiàn)高利率外匯組合的超額收益率高于低利率外匯組合的超額收益率,并對高低利率外匯組合間的超額收益率之差進行解釋。本文用基于耐用消費品的長期風(fēng)險模型來解釋不同組合間的外匯風(fēng)險溢價,并對現(xiàn)有文獻中的基于耐用消費品的長期風(fēng)險模型進行改進,將一般長期風(fēng)險模型中包含的波動性風(fēng)險沖擊作為一個獨立的風(fēng)險因子引入模型,采用Fama-MacBeth兩步法和樣本外預(yù)測兩種方法對本文的模型進行檢驗。比對基于耐用消費品的長期風(fēng)險模型和現(xiàn)有文獻中解釋外匯風(fēng)險溢價的模型,本文發(fā)現(xiàn)在樣本內(nèi),基于耐用消費品的長期風(fēng)險模型通過兩步法能得到顯著的風(fēng)險溢價,對外匯組合超額收益率的定價能力優(yōu)于其他模型,可以很好地解釋不同外匯組合間的超額收益率之差,其中耐用消費品相關(guān)的風(fēng)險是解釋外匯風(fēng)險溢價的關(guān)鍵。同時和現(xiàn)有文獻中解釋外匯風(fēng)險溢價的模型相比,本文的模型在可置信區(qū)間的風(fēng)險偏好參數(shù)更為合理,這是本文模型的重要優(yōu)勢。這是因為長期風(fēng)險模型的向前看的本質(zhì)更加符合消費者的行為,當期沖擊的產(chǎn)生不僅會影響消費者對當期的經(jīng)濟的預(yù)期,也會影響消費者對未來的經(jīng)濟增長和不確定性的預(yù)期,匯率作為一種資產(chǎn)其收益來源于它承擔的風(fēng)險,在我們的基于耐用消費品的長期風(fēng)險模型下,這一風(fēng)險主要來源于耐用品的長期風(fēng)險和經(jīng)濟波動的總體風(fēng)險。在樣本外,從平均預(yù)測誤差看,基于耐用消費品的長期風(fēng)險模型對預(yù)測外匯超額收益率有一定優(yōu)勢,但是從均方誤差看,該模型的預(yù)測能力和ICAPM等模型類似,這與長期風(fēng)險模型在股票市場的樣本外表現(xiàn)一致。
[Abstract]:According to the interest rate parity theory, when the foreign risk-free interest rate is higher than the domestic risk-free interest rate, the risk-neutral and rational investors expect the foreign currency to depreciate relative to the local currency. The magnitude of the devaluation can offset the gains from the riskless interest rates higher in foreign currencies, so investors cannot get excess returns through that arbitrage, but in real foreign exchange markets, the difference between the two countries' interest rates is wider. The higher the excess return that investors can get, the more it violates the theory of interest rate parity. Based on the foreign risk-free interest rate, this paper takes the excess return rate of eight foreign exchange portfolios (which refers to the excess rate of return relative to the risk-free rate in the United States) as the research object. It is found that the excess rate of return of the foreign exchange portfolio with high interest rate is higher than that of the foreign exchange portfolio with low interest rate. This paper uses the long-term risk model based on consumer durable goods to explain the foreign exchange risk premium between different combinations. The long-term risk model based on consumer durable goods is improved, and the volatility risk impact included in the general long-term risk model is introduced as an independent risk factor. This paper uses Fama-MacBeth two-step method and extrasample prediction method to test the model. Comparing the long-term risk model based on consumer durable goods with the model that explains the foreign exchange risk premium in the existing literature, we find that in the sample, The long-term risk model based on consumer durable goods can get a significant risk premium by two-step method, and the pricing ability of foreign exchange portfolio excess return is better than other models, which can explain the difference of excess return rate between different foreign exchange portfolio. The risk related to consumer durable goods is the key to explain the foreign exchange risk premium. This is an important advantage of this model. This is because the forward-looking nature of the long-term risk model is more in line with consumer behavior, and the impact of the current period will not only affect consumers' expectations of the current economy. It also affects consumers' expectations of future economic growth and uncertainty. Exchange rates, as an asset, derive their income from the risks they take, in our long-term risk model based on consumer durables. This risk is mainly derived from the long-term risk of durable goods and the overall risk of economic fluctuations. From the average prediction error, the long-term risk model based on consumer durable goods has certain advantages in predicting excess foreign exchange returns. However, from the mean square error point of view, the prediction ability of the model is similar to that of the ICAPM model, which is consistent with the long-term risk model in the stock market.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F830.9

【共引文獻】

相關(guān)期刊論文 前6條

1 陳國進;黃偉斌;;國際股票市場價值溢價——基于世界長期風(fēng)險模型的解釋[J];當代財經(jīng);2014年01期

2 陳國進;黃偉斌;;不同經(jīng)濟開放度下的中國股票資產(chǎn)定價——基于長期風(fēng)險模型的研究[J];財貿(mào)研究;2014年02期

3 杜龍波;;經(jīng)濟不確定衡量及對股票市場的影響——基于網(wǎng)絡(luò)信息檢索技術(shù)[J];技術(shù)經(jīng)濟與管理研究;2014年03期

4 鄒平;肖慶憲;;基于STFIGARCH模型的權(quán)證定價研究[J];上海理工大學(xué)學(xué)報;2014年02期

5 朱佳青;楊倩;;農(nóng)產(chǎn)品期貨持倉量對股市收益率的預(yù)測能力分析[J];商;2013年19期

6 交通銀行上海市分行課題組;;利率市場化下國債期貨在商業(yè)銀行利率管理中的應(yīng)用[J];上海金融;2013年11期

相關(guān)博士學(xué)位論文 前4條

1 張壬癸;基于情緒的消費資本資產(chǎn)定價模型[D];華南理工大學(xué);2013年

2 邵喜高;基于統(tǒng)計學(xué)習(xí)理論的多核預(yù)測模型研究及應(yīng)用[D];中南大學(xué);2013年

3 黃偉斌;宏觀經(jīng)濟長期風(fēng)險與資產(chǎn)定價[D];廈門大學(xué);2014年

4 周春波;景區(qū)旅游資源經(jīng)濟價值評估研究[D];廈門大學(xué);2014年

相關(guān)碩士學(xué)位論文 前7條

1 王琳;中國外匯市場動量效應(yīng)研究[D];東北財經(jīng)大學(xué);2013年

2 丁晨辰;全球視野下的跨期替代彈性：一種新估計[D];廈門大學(xué);2014年

3 宋競男;基于中國“股權(quán)溢價之謎”的再檢驗以及運用宏觀長期風(fēng)險模型進行解釋[D];廈門大學(xué);2014年

4 楊中煌;耐用品長期風(fēng)險模型的實證檢驗[D];廈門大學(xué);2014年

5 黃文強;國債超額收益與波動率分解[D];廈門大學(xué);2014年

6 于金楊;一個帶有災(zāi)難性風(fēng)險的長期風(fēng)險模型[D];廈門大學(xué);2014年

7 王楊;基于VaR和CVaR的我國開放式基金績效評價[D];浙江工商大學(xué);2013年

，

本文編號：1671964