基于宏观因素的远期汇率风险溢价期限结构

发布时间：2018-03-18 02:09

本文选题：基准利差　切入点：CPI同比指数差值　出处：《管理工程学报》2010年02期 　论文类型：期刊论文

【摘要】：本文主要考察宏观因素对远期汇率风险溢价期限结构的影响,并探讨远期汇率风险溢价的期限结构特征。基于美日基准利率差和CPI同比指数的差值,利用随机折现方法,建立了远期汇率风险溢价的宏观理论模型,进一步将宏观模型推广到整个期限,建立风险溢价关于期限的函数。实证部分利用GMM方法估计风险溢价宏观模型的参数,并进一步利用风险溢价的VAR模型,考察了宏观因素对不同到期期限风险溢价的影响和不同到期限风险溢价之间的相互关系,发现风险溢价绝对值的均值随期限的增大而增大,但两国基准利差和CPI同比指数差值仅对风险溢价的期限结构短端的影响较大,说明期限较短的远期汇率风险溢价受两国货币政策的影响较大。
[Abstract]:This paper mainly investigates the influence of macroeconomic factors on the foreign exchange risk premium of the term structure, and to explore the characteristics of term structure of the forward exchange rate risk premium. The difference between the benchmark interest rate difference and an index based on CPI, using the stochastic discount method, established a macro theoretical model of foreign exchange risk premium, the macro model is extended to the entire period, function the establishment of the risk premium on the period. Empirical part uses the GMM method to estimate the risk premium parameter macro model, and using the VAR model of the risk premium, exploring the relationship between macro factors on different maturity and different influence to the risk premium term risk premium, it was found that increasing the mean absolute value of the risk premium with time limit increases, but a greater impact on the two benchmark spread and CPI an index difference only on the risk premium of the term structure of the short end, said The short term risk premium of long term exchange rate is greatly influenced by the two countries' monetary policy.

【作者单位】：上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金资助项目(70771066) 上海市教育委员会、上海市教育发展基金会“曙光计划”资助项目(07SG17)
【分类号】：F830.7;F224

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