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

【摘要】：根據(jù)利率平價(jià)理論,當(dāng)外國的無風(fēng)險(xiǎn)利率高于本國的無風(fēng)險(xiǎn)利率時(shí),風(fēng)險(xiǎn)中性及理性投資者預(yù)期外國貨幣相對(duì)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(xiǎn)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(shí)際外匯市場(chǎng)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(jià)理論,本文對(duì)此展開研究。本文以外國無風(fēng)險(xiǎn)利率高低為依據(jù)構(gòu)建的八個(gè)外匯組合的超額收益率(指相對(duì)于美國無風(fēng)險(xiǎn)收益率的超額收益率)為研究對(duì)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(duì)高低利率外匯組合間的超額收益率之差進(jìn)行解釋。本文用基于耐用消費(fèi)品的長期風(fēng)險(xiǎn)模型來解釋不同組合間的外匯風(fēng)險(xiǎn)溢價(jià),并對(duì)現(xiàn)有文獻(xiàn)中的基于耐用消費(fèi)品的長期風(fēng)險(xiǎn)模型進(jìn)行改進(jìn),將一般長期風(fēng)險(xiǎn)模型中包含的波動(dòng)性風(fēng)險(xiǎn)沖擊作為一個(gè)獨(dú)立的風(fēng)險(xiǎn)因子引入模型,采用Fama-MacBeth兩步法和樣本外預(yù)測(cè)兩種方法對(duì)本文的模型進(jìn)行檢驗(yàn)。比對(duì)基于耐用消費(fèi)品的長期風(fēng)險(xiǎn)模型和現(xiàn)有文獻(xiàn)中解釋外匯風(fēng)險(xiǎn)溢價(jià)的模型,本文發(fā)現(xiàn)在樣本內(nèi),基于耐用消費(fèi)品的長期風(fēng)險(xiǎn)模型通過兩步法能得到顯著的風(fēng)險(xiǎn)溢價(jià),對(duì)外匯組合超額收益率的定價(jià)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(fèi)品相關(guān)的風(fēng)險(xiǎn)是解釋外匯風(fēng)險(xiǎn)溢價(jià)的關(guān)鍵。同時(shí)和現(xiàn)有文獻(xiàn)中解釋外匯風(fēng)險(xiǎn)溢價(jià)的模型相比,本文的模型在可置信區(qū)間的風(fēng)險(xiǎn)偏好參數(shù)更為合理,這是本文模型的重要優(yōu)勢(shì)。這是因?yàn)殚L期風(fēng)險(xiǎn)模型的向前看的本質(zhì)更加符合消費(fèi)者的行為,當(dāng)期沖擊的產(chǎn)生不僅會(huì)影響消費(fèi)者對(duì)當(dāng)期的經(jīng)濟(jì)的預(yù)期,也會(huì)影響消費(fèi)者對(duì)未來的經(jīng)濟(jì)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(dān)的風(fēng)險(xiǎn),在我們的基于耐用消費(fèi)品的長期風(fēng)險(xiǎn)模型下,這一風(fēng)險(xiǎn)主要來源于耐用品的長期風(fēng)險(xiǎn)和經(jīng)濟(jì)波動(dòng)的總體風(fēng)險(xiǎn)。在樣本外,從平均預(yù)測(cè)誤差看,基于耐用消費(fèi)品的長期風(fēng)險(xiǎn)模型對(duì)預(yù)測(cè)外匯超額收益率有一定優(yōu)勢(shì),但是從均方誤差看,該模型的預(yù)測(cè)能力和ICAPM等模型類似,這與長期風(fēng)險(xiǎn)模型在股票市場(chǎng)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(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.9

【共引文獻(xiàn)】

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本文編號(hào)：1671964