논문 상세보기
pp.1-15
선물환율이 미래현물환율의 물편추정치가 되지 못하는 것은 시장의 기대가 비합리적이거나 위험할증이 존재하기 때문인 것으로 알려져 있다. 본고는 위험할증의 존재여부, 위험할증의 성격, 위험할증이 선물편의에 미치는 영향 등을 밝힌다. 먼저 GARCH, GARCH-M, EGARCH, A GARCH, GJR 모형을 추정하여 EGARCH모형을 제외한 모형은 부적합함을 보인다. 이에 따라 EGARCH 모형을 통해 도출한 위험할증에 중격을 가하여 선물편의가 위험할증 충격에 큰 쪽으로 장기에 걸쳐 영향받음을 밝힌다.
Tests on the ability of forward foreign exchange rates to predict changes in future spot rates have been the subject of a considerable amount of research. Researchers, however, have reached little agreement on this controversial subject. There is also a substantial research on whether forward rates contain a risk premium. Again, there has been little consensus While virtually all of the studies that employed the level specification have failed to reject the unbiased forward rate hypothesis, more recent studies that use the percentage change specification have rejected the efficient market hypothesis. The attempt to account for systematic divergences between forward rates and future spot rates by appeal to time-varying risk premia has not met with much success. Theoretical and econometrically estimated models of risk do not seem to generate sufficiently variable premia to account for the bias. In this paper, the existence of a risk premium in the foreign exchange market on the conditional variance of market forecast error is examined, Our paper models the conditional variance based on the GARCH specification, showing that our estimates provide some evidence of a nonzero constant risk premia for all currencies. We fails in finding the time-varying risk premia. This paper also applies impulse-response functions that provide the dynamic responses of forward exchange rates to the innovations of risk premium. The results show that the forward exchange rates respond with very great amplitude and disappear very slowly.
