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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85300


    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。
    Reference: 1.Baillie, R. T. and Bollerslev, T.（1990）, A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets, Journal of International Money and Finance 9, 309-324.
    2.Baillie, R. T. and Osterberg, W. P.（1997）, Central bank intervention and risk in the forward market, Journal of International Economics 43, 483-497.
    3.Domowitz, I. and C. Hakkio（1985）, Conditional variance and the risk premium in the foreign exchange market, Journal of International Economics 19, 47-66.
    4.Engel, C. （1994）, Can the Markov switching model forecast exchange rates?, Journal of International Economics 36, 151-165.
    5.Fama, E. （1984）, Forward and spot exchange rates, Journal of Monetary Economics 14, 319-338.
    6.Garcia, R. （1998）, Asymptotic null distribution of the likelihood ratio test in Markov switching models, International Economy Review 39, 763-788.
    7.Hamilton, J. D.（1989）, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357-384.
    8.Hamilton, J. D.（1990）, Analysis of time series subject to changes in regime, Journal of Econometrics 45, 39-70.
    9.Hamilton, J. D. and R. Susmel（1994）, Autoregressive conditional heteroskedasticity and change in regime, Journal of Econometrics 64, 307-333.
    10.Hansen, L. P. and R. Hodrick（1980）, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy 88, 829-853.
    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.
    12.Hodrick, R. J. and S. Srivastava（1984）, An investigation of risk and return in forward foreign exchange, Journal of International Money and Finance 3, 1-29.
    13.Lucas（1982）, Interest Rates and currency prices in a two-country world, Journal of Monetary Economics 10, 335-359.
    14.Mayfield, E. S.（1999）, Estimating the market risk premium, Harvard University Working Paper.
    15.Turner, C. M. , Startz, R. and Nelson, C. R.,（1989）, A Markov model of heteroskedasticity, risk and learning in the stock market, Journal of Financial Economics 25, 3-22.
    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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