基于随机贴现因子的人民币与新台币汇率风险溢价研究

发布时间：2018-02-11 19:36

本文关键词： 人民币与新台币汇率 NDF 随机贴现因子风险溢价压力测试　出处：《福州大学》2013年硕士论文　论文类型：学位论文

【摘要】：大陆与台湾经贸往来至今已有30多年历史,近些年来更是发展迅速,贸易额不断扩大。但与两岸贸易相比差距较大的是两岸金融合作,存在着“经济热,金融冷”的不均衡局面。随着ECFA和《海峡两岸货币清算合作备忘录》的签署,两岸货币清算机制正式建立,这标志着两岸货币合作进入了新的发展阶段。现今人民币与新台币汇率定价仍是通过第三方美元来标价,并没有形成直接的定价机制,这成为建立两岸货币清算机制亟需要解决的问题。本文将人民币与新台币汇率视为一项资产,基于资产定价理论,运用随机贴现因子方法研究人民币与新台币汇率风险溢价,为人民币与新台币实现双向直接兑换提供依据。本文首先运用无套利定价方法和随机贴现因子方法研究人民币与新台币的即期汇率与随机贴现因子、远期汇率之间的关系,并提出适用于人民币与新台币汇率定价的公式。然后基于Fama(1984)理论进一步将人民币与新台币汇率远期溢价分为预期的贬(升)值率和汇率风险溢价,构建远期汇率风险溢价模型。选取大陆和台湾地区基准利率和CPI同比指数作为对人民币与新台币汇率主要的影响因素,将预期贬(升)值率和远期汇率风险溢价分别表示为含各自影响因素的随机贴现因子的表达式。本文选取2003年1月到2012年6月大陆与台湾地区的基准利率和CPI同比指数作为汇率变化的影响因素,并用人民币兑美元NDF(无本金交割远期汇率)和新台币兑美元NDF求出的人民币兑新台币NDF作为远期汇率数据。运用GMM(广义矩估计)方法对预期贬(升)值率和远期风险溢价模型进行参数估计,并将估计的参数拓展到利率期限结构上,我们可以发现两地基准利率差值和CPI同比指数差值对汇率风险溢价的影响随着期限增大而逐渐增大。由于远期汇率风险主要由不确定的部分即远期风险溢价引起,因此我们对远期风险溢价建立VAR模型和脉冲响应函数,发现对两地区利率差异和CPI同比指数差异施加冲击对不同期限的远期风险溢价是有影响的,但随着时间的增加影响会逐渐减弱。最后,对远期汇率风险溢价进行压力测试。基于远期风险溢价模型构建压力测试模型,根据历史数据设定参考情景,研究影响因素极端变化下不同期限远期汇率风险溢价的变化程度,并提出人民币与新台币汇率风险管理的相关建议。
[Abstract]:Economic and trade exchanges between the mainland and Taiwan have a history of more than 30 years. In recent years, the trade volume has been growing rapidly and the volume of trade has been expanding. However, compared with cross-strait trade, the big gap is cross-strait financial cooperation, and there is a "hot economy". The unbalanced situation of the financial cold. With the signing of the ECFA and the Memorandum of Cooperation on currency Clearing between the two sides of the Taiwan Strait, the mechanism of currency clearing on both sides of the Taiwan Strait was formally established. This marks a new stage in the development of cross-strait monetary cooperation. Today, RMB and NT exchange rates are still priced through third-party US dollars, and there is no direct pricing mechanism. In this paper, the exchange rate of RMB and NT is regarded as an asset, and based on the theory of asset pricing, the risk premium between RMB and NT is studied by using the method of stochastic discount factor. This paper first uses the no-arbitrage pricing method and the random discount factor method to study the relationship between the spot exchange rate and the random discount factor, the forward exchange rate, and the forward exchange rate. Then, the forward premium between RMB and NT is further divided into expected depreciation rate and exchange rate risk premium based on Fama1984) theory. Based on the model of forward exchange rate risk premium, the benchmark interest rate and CPI index in mainland China and Taiwan are selected as the main influencing factors to the exchange rate of RMB and NT. The expected depreciation (appreciation) rate and forward exchange rate risk premium are expressed as the expressions of random discount factors with their respective influencing factors respectively. The benchmark interest rates and CPI of the mainland and Taiwan from January 2003 to June 2012 are selected in this paper. Ratio index as a factor of exchange rate change, The forward exchange rate data of RMB / NT NDF calculated by RMB / US dollar NDF and RMB / US dollar NDF are used as forward exchange rate data. GMM (generalized moment estimation) method is used to devalue (rise) rate and forward rate of expected value. The risk premium model is used to estimate the parameters. And extend the estimated parameters to the term structure of interest rates, We can find that the effect of the difference between the base interest rate and the CPI index on the exchange rate risk premium increases gradually with the increase of maturity, because the forward exchange rate risk is mainly caused by the uncertain part, that is, the forward risk premium. Therefore, we establish VAR model and impulse response function to the forward risk premium, and find that the impact on the forward risk premium of different term is affected by the impact on the interest rate difference between the two regions and the difference of the CPI year-on-year index. Finally, the forward exchange rate risk premium is tested. Based on the forward risk premium model, the stress test model is constructed, and the reference scenario is set up according to the historical data. This paper studies the change degree of forward exchange rate risk premium of different maturity under the extreme change of influencing factors, and puts forward some suggestions on RMB and NT exchange rate risk management.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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