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    Title: 估計台幣╱美元遠期外匯風險溢酬-馬可夫變換模型之應用
    Authors: 陳麗如
    Chen, Li-Ju
    Contributors: 郭炳伸
    Kuo, Biing-Shen
    陳麗如
    Chen, Li-Ju
    Keywords: 遠期外匯風險溢酬
    馬可夫變換模型
    risk premium
    Markov switching model
    Date: 2001
    Issue Date: 2016-04-18 16:24:21 (UTC+8)
    Abstract: 在觀察匯率市場是否具有效率性時,大部分文獻透過檢定「遠期匯率是否為未來即期匯率的不偏估計值」來驗證,然而實證結果多不支持。探究原因後,部分學者於是提出,可能是在效率市場的假設上出了問題。原效率市場假設理性預期與風險中立,可是在現實生活中,人們的行為大多顯現風險趨避的特質,學者因而推論「風險溢酬的存在」或許正是造成遠期匯率偏誤的原因。
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    11.Hansen, L. P. and R. Hodrick(1983), Risk averse speculation in the forward foreign exchange market: An econometric analysis of linear models, in J. A. Frenkel, ed., Exchange Rate and International Macroeconomics, Chicago University Press, Chicago.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    88351037
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001512
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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