远期汇率溢价论文外汇市场有效性偏离的期限结构研究①.doc

远期汇率溢价论文：外汇市场有效性偏离的期限结构研究【中文摘要】汇率是全球资本流动和经济资源配置的关键载体和要素,在全球经济金融发展中扮演着重要角色。外汇市场目前是全球交易量最大、交易最活跃的市场,它的发展为汇率理论的创新和突破提出了要求。汇率变化中仍然存在传统汇率理论不能解释的异象。特别是,在外汇市场有效性问题的讨论中,大部分研究结果显示远期汇率并不是未来即期汇率水平的一个很好的预测指标。但是这些关于外汇市场有效性检验的文献,大部分只是局限于少数特定到期期限的远期汇率和特定汇率制度的检验。较少文献着重讨论不同期限的远期汇率之间的相互关系、不同期限远期汇率品种的市场有效性检验。上述问题构成本文研究的重点,以期对现有汇率研究进行有益的补充。本文首先采用相关系数、绝对预测偏差比例(MAE)和远期溢价OLS回归方法,总结外汇市场有效性偏离程度的期限结构特征,统计结果显示大部分货币小于6个月的远期汇率与未来同一时点交割的即期汇率的偏离程度最小,并且在对不同汇率制度的比较中发现,自由浮动汇率制度下,远期汇率的偏离程度最小,管理浮动汇率制度次之,而固定汇率制度下,远期汇率的偏离程度最大。其次,本文在Hakkio (1980)发展的远期汇率溢价期限结构模型的基础上对不同到期期限远期汇率之间的关系进行研究。实证分析结果显示,长期限的远期汇率溢价都可以写成短期限的未来远期汇率溢价的几何平均值。本文还比较不同汇率制度下的远期汇率溢价期限结构特征。具体而言:第一,大多数的币种6个月的远期汇率溢价相对与其他期限的远期汇率溢价,更加适合写成1个月或2个月远期汇率溢价的几何平均值;第二,管理浮动汇率和固定汇率制度比自由浮动汇率制度的币种更明显地呈现出远期汇率期限结构特征;第三,1年期,2年期和5年期这些长期远期汇率产品,选择3个月、6个月的远期汇率溢价作为比较基准将会更加合理。最后,本文构造了基于不同交易者行为特征的外汇市场有效性偏离模型,用于解释不同到期期限远期汇率有效性偏离程度的期限结构。金融衍生产品交易中存在以套期保值和投机套利为的两种不同的交易行为,其中套期保值者对于信息因素的敏感性较风险溢价低,投机套利者则相反,他们对于信息因素的敏感性较风险溢价高。而信息因素和风险溢价因素与到期期限有关,最终决定了远期汇率有效性偏离程度的期限结构曲线。模型讨论了外汇市场有效性偏离程度最小时的约束条件,以及可能满足上述约束条件的三种交易情况。基于模型分析得到的仿真结果也进一步地验证了第三章所得到的统计观测结果,即随着到期期限的增加,外汇市场有效性偏离程度最小化约束条件越来越不容易满足,外汇市场有效性的偏离程度越大。【英文摘要】Exchange 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.【关键词】远期汇率溢价 外汇市场有效性 期限结构 向量自回归【英文关键词】Forward Premium Foreign Exchange Market Efficiency Term Structure Vector Autoregression【目录】外汇市场有效性偏离的期限结构研究摘要6-8ABSTRACT8-9第一章 绪论12-191.1 选题背景、研究问题和研究意义12-161.1.1 交易日趋活跃的外汇市场需要汇率理论的匹配发展12-131.1.2 全球汇率战硝烟渐起对汇率理论的发展提出客观要求13-151.1.3 研究问题的提出外汇市场有效性15-161.1.4 外汇市场有效性的研究意义161.2 研究内容和章节安排16-181.3 研究方法和研究工具18-19第二章 文献综述19-322.1 外汇市场有效性研究的理论基础利率平价理论发展综述19-222.1.1 凯恩斯古典静态利率平价理论192.1.2 艾因齐格古典动态利率平价理论19-202.1.3 现代利率平价理论20-222.2 外汇市场有效性验证的研究综述22-282.2.1 利率平价框架下的理性预期和风险中性的联合检验分析23-242.2.2 基于理性预期下的外汇市场有效性失效的解释分析24-262.2.3 非理性预期假设的外汇市场微观结构分析26-282.3 外汇市场期限结构的研究综述28-292.4 外汇市场有效性研究的主要成果总结29-312.5 本文的创新点31-32第三章 外汇市场有效性偏离程度的期限结构特征统计描述32-423.1 分析样本数据描述32-333.2 外汇市场有效性偏离程度测量方法及偏离结果统计33-423.2.1 外汇市场有效性偏离程度测量结果：相关系数、绝对预测偏差(MAE)方法33-373.2.2 外汇市场有效性偏离程度测量结果远期溢价OLS 回归方法37-42第四章 汇率远期溢价的期限结构模型以及实证研究42-514.1 汇率远期溢价的期限结构的理论建模42-444.2 汇率远期溢价的期限结构的实证分析44-514.2.1 检验原假设（H0）的建立44-474.2.2 检验统计量的建立47-484.2.3 实证