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研究生： 陳慕璇
Chen, Mu-hsuan
論文名稱： 遠期外匯的偏誤是由於Peso Problem嗎?
Are Forward Rate Biases Due To Peso Problem?
指導教授： 王澤世
Wang, Alan T.
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2007
畢業學年度： 95
語文別： 英文
論文頁數： 61
中文關鍵詞： 遠期匯率偏誤 、風險貼水 、隱含波動率
外文關鍵詞： peso problem, forward rate biases, risk premium, implied volatility
相關次數： 點閱：120  下載：4 
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    • 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.

    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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