本文關(guān)鍵詞： 人民幣與新臺(tái)幣匯率 NDF 隨機(jī)貼現(xiàn)因子 風(fēng)險(xiǎn)溢價(jià) 壓力測(cè)試　出處：《福州大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：大陸與臺(tái)灣經(jīng)貿(mào)往來(lái)至今已有30多年歷史,近些年來(lái)更是發(fā)展迅速,貿(mào)易額不斷擴(kuò)大。但與兩岸貿(mào)易相比差距較大的是兩岸金融合作,存在著“經(jīng)濟(jì)熱,金融冷”的不均衡局面。隨著ECFA和《海峽兩岸貨幣清算合作備忘錄》的簽署,兩岸貨幣清算機(jī)制正式建立,這標(biāo)志著兩岸貨幣合作進(jìn)入了新的發(fā)展階段�，F(xiàn)今人民幣與新臺(tái)幣匯率定價(jià)仍是通過(guò)第三方美元來(lái)標(biāo)價(jià),并沒(méi)有形成直接的定價(jià)機(jī)制,這成為建立兩岸貨幣清算機(jī)制亟需要解決的問(wèn)題。本文將人民幣與新臺(tái)幣匯率視為一項(xiàng)資產(chǎn),基于資產(chǎn)定價(jià)理論,運(yùn)用隨機(jī)貼現(xiàn)因子方法研究人民幣與新臺(tái)幣匯率風(fēng)險(xiǎn)溢價(jià),為人民幣與新臺(tái)幣實(shí)現(xiàn)雙向直接兌換提供依據(jù)。本文首先運(yùn)用無(wú)套利定價(jià)方法和隨機(jī)貼現(xiàn)因子方法研究人民幣與新臺(tái)幣的即期匯率與隨機(jī)貼現(xiàn)因子、遠(yuǎn)期匯率之間的關(guān)系,并提出適用于人民幣與新臺(tái)幣匯率定價(jià)的公式。然后基于Fama(1984)理論進(jìn)一步將人民幣與新臺(tái)幣匯率遠(yuǎn)期溢價(jià)分為預(yù)期的貶(升)值率和匯率風(fēng)險(xiǎn)溢價(jià),構(gòu)建遠(yuǎn)期匯率風(fēng)險(xiǎn)溢價(jià)模型。選取大陸和臺(tái)灣地區(qū)基準(zhǔn)利率和CPI同比指數(shù)作為對(duì)人民幣與新臺(tái)幣匯率主要的影響因素,將預(yù)期貶(升)值率和遠(yuǎn)期匯率風(fēng)險(xiǎn)溢價(jià)分別表示為含各自影響因素的隨機(jī)貼現(xiàn)因子的表達(dá)式。本文選取2003年1月到2012年6月大陸與臺(tái)灣地區(qū)的基準(zhǔn)利率和CPI同比指數(shù)作為匯率變化的影響因素,并用人民幣兌美元NDF(無(wú)本金交割遠(yuǎn)期匯率)和新臺(tái)幣兌美元NDF求出的人民幣兌新臺(tái)幣NDF作為遠(yuǎn)期匯率數(shù)據(jù)。運(yùn)用GMM(廣義矩估計(jì))方法對(duì)預(yù)期貶(升)值率和遠(yuǎn)期風(fēng)險(xiǎn)溢價(jià)模型進(jìn)行參數(shù)估計(jì),并將估計(jì)的參數(shù)拓展到利率期限結(jié)構(gòu)上,我們可以發(fā)現(xiàn)兩地基準(zhǔn)利率差值和CPI同比指數(shù)差值對(duì)匯率風(fēng)險(xiǎn)溢價(jià)的影響隨著期限增大而逐漸增大。由于遠(yuǎn)期匯率風(fēng)險(xiǎn)主要由不確定的部分即遠(yuǎn)期風(fēng)險(xiǎn)溢價(jià)引起,因此我們對(duì)遠(yuǎn)期風(fēng)險(xiǎn)溢價(jià)建立VAR模型和脈沖響應(yīng)函數(shù),發(fā)現(xiàn)對(duì)兩地區(qū)利率差異和CPI同比指數(shù)差異施加沖擊對(duì)不同期限的遠(yuǎn)期風(fēng)險(xiǎn)溢價(jià)是有影響的,但隨著時(shí)間的增加影響會(huì)逐漸減弱。最后,對(duì)遠(yuǎn)期匯率風(fēng)險(xiǎn)溢價(jià)進(jìn)行壓力測(cè)試�；谶h(yuǎn)期風(fēng)險(xiǎn)溢價(jià)模型構(gòu)建壓力測(cè)試模型,根據(jù)歷史數(shù)據(jù)設(shè)定參考情景,研究影響因素極端變化下不同期限遠(yuǎn)期匯率風(fēng)險(xiǎn)溢價(jià)的變化程度,并提出人民幣與新臺(tái)幣匯率風(fēng)險(xiǎn)管理的相關(guān)建議。
[Abstract]:Economic and trade exchanges between the mainland and Taiwan have a history of more than 30 years. In recent years, the trade volume has been growing rapidly and the volume of trade has been expanding. However, compared with cross-strait trade, the big gap is cross-strait financial cooperation, and there is a "hot economy". The unbalanced situation of the financial cold. With the signing of the ECFA and the Memorandum of Cooperation on currency Clearing between the two sides of the Taiwan Strait, the mechanism of currency clearing on both sides of the Taiwan Strait was formally established. This marks a new stage in the development of cross-strait monetary cooperation. Today, RMB and NT exchange rates are still priced through third-party US dollars, and there is no direct pricing mechanism. In this paper, the exchange rate of RMB and NT is regarded as an asset, and based on the theory of asset pricing, the risk premium between RMB and NT is studied by using the method of stochastic discount factor. This paper first uses the no-arbitrage pricing method and the random discount factor method to study the relationship between the spot exchange rate and the random discount factor, the forward exchange rate, and the forward exchange rate. Then, the forward premium between RMB and NT is further divided into expected depreciation rate and exchange rate risk premium based on Fama1984) theory. Based on the model of forward exchange rate risk premium, the benchmark interest rate and CPI index in mainland China and Taiwan are selected as the main influencing factors to the exchange rate of RMB and NT. The expected depreciation (appreciation) rate and forward exchange rate risk premium are expressed as the expressions of random discount factors with their respective influencing factors respectively. The benchmark interest rates and CPI of the mainland and Taiwan from January 2003 to June 2012 are selected in this paper. Ratio index as a factor of exchange rate change, The forward exchange rate data of RMB / NT NDF calculated by RMB / US dollar NDF and RMB / US dollar NDF are used as forward exchange rate data. GMM (generalized moment estimation) method is used to devalue (rise) rate and forward rate of expected value. The risk premium model is used to estimate the parameters. And extend the estimated parameters to the term structure of interest rates, We can find that the effect of the difference between the base interest rate and the CPI index on the exchange rate risk premium increases gradually with the increase of maturity, because the forward exchange rate risk is mainly caused by the uncertain part, that is, the forward risk premium. Therefore, we establish VAR model and impulse response function to the forward risk premium, and find that the impact on the forward risk premium of different term is affected by the impact on the interest rate difference between the two regions and the difference of the CPI year-on-year index. Finally, the forward exchange rate risk premium is tested. Based on the forward risk premium model, the stress test model is constructed, and the reference scenario is set up according to the historical data. This paper studies the change degree of forward exchange rate risk premium of different maturity under the extreme change of influencing factors, and puts forward some suggestions on RMB and NT exchange rate risk management.
【學(xué)位授予單位】：福州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.6

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