摘要
非抛补利率平价之谜的传统检验模型忽视了远期汇率变化和利率差这两项,而基于抛补利率平价公式推导出的扩展检验模型则表明应包括这两项。经传统检验模型和扩展检验模型进行的实证检验表明,发达经济体和新兴经济体的回归系数都介于0到1之间;非抛补利率平价主要在发达经济体成立,而在新兴经济体不成立。扩展检验模型要优于传统检验模型,部分发达经济体基于传统检验模型的非抛补利率平价不成立,但基于扩展检验模型的非抛补利率平价成立,表明已有文献中一些发达经济体非抛补利率平价不成立的原因可能是传统检验模型本身所导致的。
The traditional test model of the puzzle of uncovered interest rate parity has neglected the two items of forward exchange rate changes and interest rate differentials, while the extended test model deduced from the formula of covered interest rate parity shows that the two items should be included. The empirical tests of this paper based on the traditional test model and extended test mod- el show that the regression coefficients of both the developed and emerging economic entities are be- tween 0 and 1; the uncovered interest rate parity is mostly established in the developed economic en- tities, but not in emerging economic entities. The extended test model is better than the traditional test model; the uncovered interest parity based on the traditional test model is not established in some developed economic entities, while based on the extended test model it is true, which implies that the results in the existing literatures that uncovered interest rate parity is not established in some devel- oped economies may be caused by the traditional test model itself.
出处
《当代财经》
CSSCI
北大核心
2013年第2期47-57,共11页
Contemporary Finance and Economics
基金
教育部人文社会科学研究青年基金项目(10YJC790088)
中央高校基本科研业务费专项资金预研项目(ZY2011E01
ZY2012E02)
关键词
非抛补利率平价之谜
抛补利率平价
远期溢价
the puzzle of uncovered interest rate parity
covered interest rate parity
forward pre-mium
