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題名 | 不完全市場下外匯期貨之定價--理論與實證=The Pricing Model of Currency Futures in Imperfect Markets--Theory and Empirical Evidence |
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作者姓名(中文) | 許溪南; 黃清滿; | 書刊名 | 經濟研究. 臺北大學經濟學系 |
卷期 | 37:1 2001.01[民90.01] |
頁次 | 頁31-67 |
分類號 | 561.76 |
關鍵詞 | 不完全市場; 外匯期貨定價模式; 持有成本模式; 穩含成長率; 預期成長率; Imperfect markets; Pricing model of currency futures; Cost of carry model; Implied growth rate; Expected growth rate; |
語文 | 中文(Chinese) |
中文摘要 | 現實資本市場是不完美的,套利是不完全的,本研究的目的有四:(1)推導不完全市場下外匯期貨之定價模式,(2)檢定持有成本定價理論之適用性,(3)分析影響外匯期貨預期成長率之因素,和(4)比較外匯期貨之持有成本模式與不完全市場下定價模式之預測績效。結果顯示本文模式對個外匯實際資料之配適度相當良好(□高達0.99以上),而且持有成本模式隱含著價格預期成長率為無風險利率的假設並不恰當。至於影響預期成長率之解釋變數以現貨實際成長率(g1t)影響最大。最後,本文模式之預測績效顯著優於持有成本模式,尤其是以隱含成長率之預測績效特別明顯。 |
英文摘要 | Capital markets in the real world are not perfect and arbitrage not be complete. The purposes of this paper are: (1) to derive a pricing model of currency futures in imperfect markets; (2) to test the adequacy of the cost of carry model in imperfect markets; (3) to analyze factors affecting expected growth rate of currency futures; and (4) to compare the performance of cost of carry model and our model for currency futures. Results show that our model fits well (□ is higher than 0.99) for five currency futures examined and the assumption under the cost of carry model that the expected growth rate equals the risk-free rate is not adequate. Moreover, actual spot growth rate (g1t) is the most important variable in affecting expected growth rate. Finally, it is displayed that our model performs much better than the cost of carry model based on the perfect-market assumption. We also find that the best method for estimating expected growth rates is the method of implied growth rate. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。