政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/69547

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政大典藏 > College of Commerce > Department of Money and Banking > NSC Projects > Item 140.119/69547

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/69547

Title:	外匯市場風險溢酬訂價模型與MARKOV狀態變換
Other Titles:	Pricing Foreign Exchange Risk Premium and Markov Switching Model.
Authors:	沈中華
Contributors:	銀行學系
Keywords:	風險溢價;Markov狀態變換;外匯市場 Risk premium;Markvo switching;Foreign exchange market
Date:	1997
Issue Date:	2014-09-02 09:00:40 (UTC+8)
Abstract:	This paper examines whether the foreign exchange-equity risk premium are supported by the US and its major five foreign countries or not. The paper contains three parts. First, we argue that Chiang`s (1991) and MP`s (1997) results are misleading owing to the incorrect scaling method adopted. When correct scaling method is applied, the results are not favorable to the hypothesis.< Next, the time-varying parameters approach is conducted. Though parameters vary, the varying ranges are small. Results are again not supportive. The final model is based on the Markov switching model. Judging from the results from Markov Switching model, though the exchange-equity risk premium hypothesis are not supported for the most of the time, it is not wholly rejected. For some periods of time, the hypothesis cannot be rejected.<
Relation:	行政院國家科學委員會計畫編號NSC86-2415-H004-010
Data Type:	report
Appears in Collections:	[Department of Money and Banking] NSC Projects

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