政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/69547

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 110118/141060 (78%)
Visitors : 46527258 Online Users : 210

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 國科會研究計畫 > Item 140.119/69547

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/69547

Title:	外匯市場風險溢酬訂價模型與MARKOV狀態變換
Other Titles:	Pricing Foreign Exchange Risk Premium and Markov Switching Model.
Authors:	沈中華
Contributors:	銀行學系
Keywords:	風險溢價;Markov狀態變換;外匯市場 Risk premium;Markvo switching;Foreign exchange market
Date:	1997
Issue Date:	2014-09-02 09:00:40 (UTC+8)
Abstract:	This paper examines whether the foreign exchange-equity risk premium are supported by the US and its major five foreign countries or not. The paper contains three parts. First, we argue that Chiang`s (1991) and MP`s (1997) results are misleading owing to the incorrect scaling method adopted. When correct scaling method is applied, the results are not favorable to the hypothesis.< Next, the time-varying parameters approach is conducted. Though parameters vary, the varying ranges are small. Results are again not supportive. The final model is based on the Markov switching model. Judging from the results from Markov Switching model, though the exchange-equity risk premium hypothesis are not supported for the most of the time, it is not wholly rejected. For some periods of time, the hypothesis cannot be rejected.<
Relation:	行政院國家科學委員會計畫編號NSC86-2415-H004-010
Data Type:	report
Appears in Collections:	[金融學系] 國科會研究計畫

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	1219	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...