遠(yuǎn)期匯率溢價論文外匯市場有效性偏離的期限結(jié)構(gòu)研究①.doc

遠(yuǎn)期匯率溢價論文：外匯市場有效性偏離的期限結(jié)構(gòu)研究【中文摘要】匯率是全球資本流動和經(jīng)濟(jì)資源配置的關(guān)鍵載體和要素,在全球經(jīng)濟(jì)金融發(fā)展中扮演著重要角色。外匯市場目前是全球交易量最大、交易最活躍的市場,它的發(fā)展為匯率理論的創(chuàng)新和突破提出了要求。匯率變化中仍然存在傳統(tǒng)匯率理論不能解釋的異象。特別是,在外匯市場有效性問題的討論中,大部分研究結(jié)果顯示遠(yuǎn)期匯率并不是未來即期匯率水平的一個很好的預(yù)測指標(biāo)。但是這些關(guān)于外匯市場有效性檢驗的文獻(xiàn),大部分只是局限于少數(shù)特定到期期限的遠(yuǎn)期匯率和特定匯率制度的檢驗。較少文獻(xiàn)著重討論不同期限的遠(yuǎn)期匯率之間的相互關(guān)系、不同期限遠(yuǎn)期匯率品種的市場有效性檢驗。上述問題構(gòu)成本文研究的重點,以期對現(xiàn)有匯率研究進(jìn)行有益的補充。本文首先采用相關(guān)系數(shù)、絕對預(yù)測偏差比例(MAE)和遠(yuǎn)期溢價OLS回歸方法,總結(jié)外匯市場有效性偏離程度的期限結(jié)構(gòu)特征,統(tǒng)計結(jié)果顯示大部分貨幣小于6個月的遠(yuǎn)期匯率與未來同一時點交割的即期匯率的偏離程度最小,并且在對不同匯率制度的比較中發(fā)現(xiàn),自由浮動匯率制度下,遠(yuǎn)期匯率的偏離程度最小,管理浮動匯率制度次之,而固定匯率制度下,遠(yuǎn)期匯率的偏離程度最大。其次,本文在Hakkio (1980)發(fā)展的遠(yuǎn)期匯率溢價期限結(jié)構(gòu)模型的基礎(chǔ)上對不同到期期限遠(yuǎn)期匯率之間的關(guān)系進(jìn)行研究。實證分析結(jié)果顯示,長期限的遠(yuǎn)期匯率溢價都可以寫成短期限的未來遠(yuǎn)期匯率溢價的幾何平均值。本文還比較不同匯率制度下的遠(yuǎn)期匯率溢價期限結(jié)構(gòu)特征。具體而言:第一,大多數(shù)的幣種6個月的遠(yuǎn)期匯率溢價相對與其他期限的遠(yuǎn)期匯率溢價,更加適合寫成1個月或2個月遠(yuǎn)期匯率溢價的幾何平均值;第二,管理浮動匯率和固定匯率制度比自由浮動匯率制度的幣種更明顯地呈現(xiàn)出遠(yuǎn)期匯率期限結(jié)構(gòu)特征;第三,1年期,2年期和5年期這些長期遠(yuǎn)期匯率產(chǎn)品,選擇3個月、6個月的遠(yuǎn)期匯率溢價作為比較基準(zhǔn)將會更加合理。最后,本文構(gòu)造了基于不同交易者行為特征的外匯市場有效性偏離模型,用于解釋不同到期期限遠(yuǎn)期匯率有效性偏離程度的期限結(jié)構(gòu)。金融衍生產(chǎn)品交易中存在以套期保值和投機套利為的兩種不同的交易行為,其中套期保值者對于信息因素的敏感性較風(fēng)險溢價低,投機套利者則相反,他們對于信息因素的敏感性較風(fēng)險溢價高。而信息因素和風(fēng)險溢價因素與到期期限有關(guān),最終決定了遠(yuǎn)期匯率有效性偏離程度的期限結(jié)構(gòu)曲線。模型討論了外匯市場有效性偏離程度最小時的約束條件,以及可能滿足上述約束條件的三種交易情況?；谀Ｐ头治龅玫降姆抡娼Y(jié)果也進(jìn)一步地驗證了第三章所得到的統(tǒng)計觀測結(jié)果,即隨著到期期限的增加,外匯市場有效性偏離程度最小化約束條件越來越不容易滿足,外匯市場有效性的偏離程度越大?！居⑽恼縀xchange rate is the key element of global capital flows and economic resources allocation, which plays an important role in the financial development. The foreign exchange market is the largest and most liquid financial market in the world, the theory of exchange rate market needs innovation and breakthrough. There is still some phenomenon can not be explained in the field of the traditional exchange rate theory, specifically the rearch of the validity of the foreign exchange market efficiency, studies show that the forward rate is not a good forecast of spot exchange rate in future. However, it is relatively rare at present that the research about the relationship between foreign exchange products with diffirent maturities. This paper focuses on these issues which constitutes the useful complement of current exchange rate rearch.This paper describes the term structure of the foreign exchange market efficiency with the approaches of the correlation coefficien、mean absolute error (MAE) and OLS regression of forward premium, the results show that most of the currenciesdeviation is the smallest with the maturity less than 6 months, and free-floating exchange rate systems deviation is the smallest, fixed exchange rate systems deviation is the largest, and managing the floating exchange rate systems deviation is between free-floating exchange rate systems deviation and fixed exchange rate systems deviation.Secondly, This paper extends the model of the Term Structure of the Forward Exchange Rate Premium developed by Hakkio (1980) , the extended model shows that long-term forward rate premium can be written as a geometric mean of short term forward exchange rate premium, and examine different forward rate term structure premium features under different exchange rate regimes. The empirical results show: First, 6 months forward rate premium relative to other duration of the forward exchange rate premium for most of the currencies, can be written as a geometric mean of 1-month or 2-month forward exchange rate premium;Secondly, the managed floating exchange rate and the fixed exchange rate regimes more clearly shows characteristics of forward rate term structure rather than free-floating exchange regimes; thirdly, 1-year, 2-year and 5-year forward rate more reasonably be written as a geometric mean of 3-month or 6-month forward exchange rate premium.Finally, This paper bulids a model to explain the term structure of the foreign exchange market efficiency based the trading behavior of traders, and looks for which structural features of traders can get the smallest deviation of the foreign exchange market efficiency. The derivative transactions have two functions of hedging and speculative arbitrage. The hedgers is not highly sensitive with the information factor, and speculative arbitrage is just the opposite, they are more sensitive with information factor than risk premium factor. The joint actions of information factors and risk premium factors produce the curve of the term structure of the foreign exchange market efficiency. The model shows the conditions of the minimum deviation of foreign exchange market efficiency. The simulation results further verify the observation in Chapter III, with the duration of forward rate, the conditions of foreign exchange market efficency become harder. The deviation of foreign exchange market efficency is larger.【關(guān)鍵詞】遠(yuǎn)期匯率溢價 外匯市場有效性 期限結(jié)構(gòu) 向量自回歸【英文關(guān)鍵詞】Forward Premium Foreign Exchange Market Efficiency Term Structure Vector Autoregression【目錄】外匯市場有效性偏離的期限結(jié)構(gòu)研究摘要6-8ABSTRACT8-9第一章 緒論12-191.1 選題背景、研究問題和研究意義12-161.1.1 交易日趨活躍的外匯市場需要匯率理論的匹配發(fā)展12-131.1.2 全球匯率戰(zhàn)硝煙漸起對匯率理論的發(fā)展提出客觀要求13-151.1.3 研究問題的提出外匯市場有效性15-161.1.4 外匯市場有效性的研究意義161.2 研究內(nèi)容和章節(jié)安排16-181.3 研究方法和研究工具18-19第二章 文獻(xiàn)綜述19-322.1 外匯市場有效性研究的理論基礎(chǔ)利率平價理論發(fā)展綜述19-222.1.1 凱恩斯古典靜態(tài)利率平價理論192.1.2 艾因齊格古典動態(tài)利率平價理論19-202.1.3 現(xiàn)代利率平價理論20-222.2 外匯市場有效性驗證的研究綜述22-282.2.1 利率平價框架下的理性預(yù)期和風(fēng)險中性的聯(lián)合檢驗分析23-242.2.2 基于理性預(yù)期下的外匯市場有效性失效的解釋分析24-262.2.3 非理性預(yù)期假設(shè)的外匯市場微觀結(jié)構(gòu)分析26-282.3 外匯市場期限結(jié)構(gòu)的研究綜述28-292.4 外匯市場有效性研究的主要成果總結(jié)29-312.5 本文的創(chuàng)新點31-32第三章 外匯市場有效性偏離程度的期限結(jié)構(gòu)特征統(tǒng)計描述32-423.1 分析樣本數(shù)據(jù)描述32-333.2 外匯市場有效性偏離程度測量方法及偏離結(jié)果統(tǒng)計33-423.2.1 外匯市場有效性偏離程度測量結(jié)果：相關(guān)系數(shù)、絕對預(yù)測偏差(MAE)方法33-373.2.2 外匯市場有效性偏離程度測量結(jié)果遠(yuǎn)期溢價OLS 回歸方法37-42第四章 匯率遠(yuǎn)期溢價的期限結(jié)構(gòu)模型以及實證研究42-514.1 匯率遠(yuǎn)期溢價的期限結(jié)構(gòu)的理論建模42-444.2 匯率遠(yuǎn)期溢價的期限結(jié)構(gòu)的實證分析44-514.2.1 檢驗原假設(shè)（H0）的建立44-474.2.2 檢驗統(tǒng)計量的建立47-484.2.3 實證