基于耐用消费品的长期风险模型：来自外汇市场的证据

发布时间：2018-03-27 14:46

本文选题：长期风险　切入点：耐用消费品　出处：《厦门大学》2014年硕士论文

【摘要】：根据利率平价理论,当外国的无风险利率高于本国的无风险利率时,风险中性及理性投资者预期外国货币相对于本国货币贬值,贬值的幅度正好能够抵消外国货币较高的无风险利率带来的收益,因此投资者不能通过该套利获得超额收益,但在实际外汇市场中,两国利率之差越大,投资者所能获得的超额收益越高,这一现象违反了利率平价理论,本文对此展开研究。本文以外国无风险利率高低为依据构建的八个外汇组合的超额收益率(指相对于美国无风险收益率的超额收益率)为研究对象,发现高利率外汇组合的超额收益率高于低利率外汇组合的超额收益率,并对高低利率外汇组合间的超额收益率之差进行解释。本文用基于耐用消费品的长期风险模型来解释不同组合间的外汇风险溢价,并对现有文献中的基于耐用消费品的长期风险模型进行改进,将一般长期风险模型中包含的波动性风险冲击作为一个独立的风险因子引入模型,采用Fama-MacBeth两步法和样本外预测两种方法对本文的模型进行检验。比对基于耐用消费品的长期风险模型和现有文献中解释外汇风险溢价的模型,本文发现在样本内,基于耐用消费品的长期风险模型通过两步法能得到显著的风险溢价,对外汇组合超额收益率的定价能力优于其他模型,可以很好地解释不同外汇组合间的超额收益率之差,其中耐用消费品相关的风险是解释外汇风险溢价的关键。同时和现有文献中解释外汇风险溢价的模型相比,本文的模型在可置信区间的风险偏好参数更为合理,这是本文模型的重要优势。这是因为长期风险模型的向前看的本质更加符合消费者的行为,当期冲击的产生不仅会影响消费者对当期的经济的预期,也会影响消费者对未来的经济增长和不确定性的预期,汇率作为一种资产其收益来源于它承担的风险,在我们的基于耐用消费品的长期风险模型下,这一风险主要来源于耐用品的长期风险和经济波动的总体风险。在样本外,从平均预测误差看,基于耐用消费品的长期风险模型对预测外汇超额收益率有一定优势,但是从均方误差看,该模型的预测能力和ICAPM等模型类似,这与长期风险模型在股票市场的样本外表现一致。
[Abstract]:According to the interest rate parity theory, when the foreign risk-free interest rate is higher than the domestic risk-free interest rate, the risk-neutral and rational investors expect the foreign currency to depreciate relative to the local currency. The magnitude of the devaluation can offset the gains from the riskless interest rates higher in foreign currencies, so investors cannot get excess returns through that arbitrage, but in real foreign exchange markets, the difference between the two countries' interest rates is wider. The higher the excess return that investors can get, the more it violates the theory of interest rate parity. Based on the foreign risk-free interest rate, this paper takes the excess return rate of eight foreign exchange portfolios (which refers to the excess rate of return relative to the risk-free rate in the United States) as the research object. It is found that the excess rate of return of the foreign exchange portfolio with high interest rate is higher than that of the foreign exchange portfolio with low interest rate. This paper uses the long-term risk model based on consumer durable goods to explain the foreign exchange risk premium between different combinations. The long-term risk model based on consumer durable goods is improved, and the volatility risk impact included in the general long-term risk model is introduced as an independent risk factor. This paper uses Fama-MacBeth two-step method and extrasample prediction method to test the model. Comparing the long-term risk model based on consumer durable goods with the model that explains the foreign exchange risk premium in the existing literature, we find that in the sample, The long-term risk model based on consumer durable goods can get a significant risk premium by two-step method, and the pricing ability of foreign exchange portfolio excess return is better than other models, which can explain the difference of excess return rate between different foreign exchange portfolio. The risk related to consumer durable goods is the key to explain the foreign exchange risk premium. This is an important advantage of this model. This is because the forward-looking nature of the long-term risk model is more in line with consumer behavior, and the impact of the current period will not only affect consumers' expectations of the current economy. It also affects consumers' expectations of future economic growth and uncertainty. Exchange rates, as an asset, derive their income from the risks they take, in our long-term risk model based on consumer durables. This risk is mainly derived from the long-term risk of durable goods and the overall risk of economic fluctuations. From the average prediction error, the long-term risk model based on consumer durable goods has certain advantages in predicting excess foreign exchange returns. However, from the mean square error point of view, the prediction ability of the model is similar to that of the ICAPM model, which is consistent with the long-term risk model in the stock market.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9

【共引文献】