| 人民币/美元远期外汇风险溢酬的研究 |
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| 引用本文： | 徐剑刚,吴轶,张晓蓉.人民币/美元远期外汇风险溢酬的研究[J].复旦学报(自然科学版),2009(6). |
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| 作者姓名： | 徐剑刚 吴轶 张晓蓉 |
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| 作者单位： | 复旦大学管理学院; |
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| 基金项目： | 国家自然科学基金资助项目(70741010); 上海市哲学社会科学规划课题资助项目(2008BJB016) |
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| 摘 要： | 以跨期资本资产定价模型为基本框架,利用二元GARCH-M模型,估计了人民币/美元外汇风险溢酬.结果表明外汇风险溢酬是时变的,且呈波动集群性,条件β是影响外汇风险溢酬波动的主要因素.
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| 关 键 词： | 外汇风险溢酬 跨期资本资产定价模型 二元GARCH-M模型 |
RMB/USD Forward Exchange Risk Premium:an Empirical Research |
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| XU Jian-gang,WU Yi,ZHANG Xiao-rong.RMB/USD Forward Exchange Risk Premium:an Empirical Research[J].Journal of Fudan University(Natural Science),2009(6). |
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| Authors: | XU Jian-gang WU Yi ZHANG Xiao-rong |
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| Institution: | XU Jian-gang,WU Yi,ZHANG Xiao-rong(School of Management,Fudan University,Shanghai 200433,China) |
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| Abstract: | Based on the Intertemporal Capital Asset Pricing Model,the RMB/USD forward risk premium is estimated with bivariate GARCH-in-mean model.Major results show that the estimated foreign exchange risk premium is time-varying with clusters of volatility persistence. |
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| Keywords: | foreign exchange risk premium Intertemporal CAPM bivariate GARCH-M model |
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