주가위험요인이 환위험프리미엄에 미치는 영향에 관한 연구

다국어 초록 (Multilingual Abstract)

The notion of exchange risk premium has derived from the study to test the efficiency of foreign exchange market. By replacing the risk-neutral hypothesis to the risk-averted hypothesis, exchange risk premium is considered as compensation for the market participants in return for bearing the risk of future spot exchange rate uncertainty. Under this hypothesis, forward rate has a systematic difference with the future spot rate. On the other hand, exchange risk premium is derived from developing the portfolio balance model of the determination of the equilibrium exchange rate. The portfolio balance model postulates that domestic and foreign bonds are imperfect substitutes, such that ‘International Fisher Effect(IFE)’does not hold. Therefore, exchange risk premium is related to the relative share of that country’s assets which make up the overall portfolio. That is, exchange risk premium is the value subtracting the differences of nominal interest rate between domestic and foreign bonds from exchange rate change. Considering interest rate parity theorem, two different approach on exchange risk premium explained above produce the same value.Three approach have been developed to explain exchange risk premium. First, there is the international portfolio balance approach proposed by Dornbusch(1983) and Frankel (1982, 1986). This approach has its roots in the imperfect bond substitution and recognizes exchange risk premium as a compensation for holding a greater share of a particular country’s assets. However, testing the model in several major foreign exchange markets found that the risk-neutral hypothesis cannot be rejected by the data. The second approach was to invoke a time-varying parameter methodology. Fama(1984), for example, tries to explain time varying risk premium in the foreign exchange market. However, no concrete evidence has been given that a significant relationship exists between exchange risk premium and risk factors and the results was limited to relying on econometrical approach. The third approach, due to Robicheck and Eaker(1978), Giovannini and Jorion(1987) and most recently, Chiang(1991) has been to relate the foreign exchange market risk premium to the stock market excess returns. This approach assumes that the foreign exchange markets and equity markets are interrelated such that the risk premium identified in one market may be related to the risk or excess return in another. For example, Chiang(1991) used International Asset Parity(IAP) Condition to theoretically derive the equation explaining exchange risk premium with domestic and foreign equity risk premia.This paper addresses whether domestic and foreign equity risk premia, based on the IAP equation, are the decision factors to explain the exchange risk premium. and how the foreign exchange market risk premium and the stock market risk premia are interrelated. Behavioral relationships between exchange risk premium and equity risk premia and additional empirical analysis on the validity of IAP will be discussed.First of all, APT model was applied to IAP equation in place of the equity return to explain exchange risk premium with domestic and foreign equity risk premia. Efforts have been made to test whether the exchange risk premium of the 5 developed countries(US, UK, Japan, Canada, Germany) can be actually explained by domestic and foreign equity risk premia. As a result of the empirical test using factor analysis and regression analysis, exchange risk premium is explained by several domestic and foreign equity risk premia, which are statistically significant. Additional results about exchange risk premium revealed from the test were, firstly, the domestic and foreign equity risk premia do not always influence exchange risk premium simultaneously. Secondly, each domestic equity risk premium that is statistically significant displays identical sign as the domestic currency dominated exchange risk premia in all case. A further study on the validity of In

참고문헌 (Reference)

1 "주가위험요인이 환위험프리미엄에 미치는 영향에 관한 연구" 2004

2 "국제자본시장의 통합성과 국제자산가격 결정요인에 관한 연구" 국제무역경영연구원 2000

3 "” Journal of Monetary Economics" (v) : 319-338, 1984

4 "” Journal of InternationalMoney And Finance 10" 349-364, 1991

5 "” Journal of Finance" 163-182, 1986

6 "” Journal of Finance" 1011-1018, 1978

7 "” Journal of Business" “eco (“eco): 383-403, 1986

8 "“theportfolio-balance model of exchange rate" 255-275, 1976

9 "“the theory of flexibleexchange rate regimes and macroeconomicpolicy ” Scandinavian Journal of EconomicsMay" 255-275, 1976

10 "“an Investigation of risk and return inForward Foreign Exchange" 5-29, 1985

11 "“Volatility and Links Between NationalStock Markets" ” eco (” eco): 901-934, 1994

12 "“Time-varying betas andrisk premia in the pricing of forwardforeign exchange contracts ” Journal of FinancialEconomics" 335-354, 1988

13 "“The Relation among equitymarkets A study of share price comovementsin the United States" 839-855, 1972

14 "“The Pricing of ForwardContracts for Foreign Exchange" 346-368, 1985

15 Grubel, "“The Interdependence of International EquityMarkets ” Journal of Finance" 89-94, 1971

16 "“Sources of risk and expected returns inglobal equity markets ” Journal of BankingAnd Finance" 775-803, 1994

17 "“On the Efficiency of Markets forForeign Exchange" 257-262, 1979

18 "“Multivariate timeseries study of excess returns on equityand foreign exchange markets" 2 3-3 35, 1995

19 "“Interest ratesand risk premia in the stock market andin the foreign exchange market" 107-123, 1987

20 "“In search of the exchangerate risk premium" 255-274, 1982

21 "“ForwardExchange Rates as Optimal Predictors ofFuture Spot Rates ”Journal of Political Economy 88" 839-853, 1980

22 "“Equityrisk premia and the pricing of foreignexchange risk ” Journal of InternationalEconomics" 3-4, 1992199-219

23 "“Conditionalvariance and the risk premium in theforeign exchange market ” Journal of InternationalEconomics 19" 47-66, 1985

24 "“CharacterizingPredictable Components in Excess Returnson Equity and Foreign Exchange Markets ”Journal of Finance 47" 467-511, 1992

25 "“A dynamic model of forwardexchange risk with estimates for threemajor exchange rates" 55-68, 1988

26 "Time-varying risk premiain foreign exchange and equity markets:evidence from Asia--Pacific countries" 9 (9): 291-316, 1999

27 "Joint Testof Market Segmentation and ExchangeRisk Factor in International Capital Markets" 29-49, 1997

28 "Is the Correlationin International Equity Returns Constant:1970-1990" 3-26, 1995

29 "How big is the premium for currencyrisk?" 49 (49): 375-412, 1998

30 "ForeignExchange Risk and Common Stock Returns:A Note on International Evidence" 23 (23): 473-480, 1996

31 "Exchange rate and foreigninflation risk premiums in global equityreturns" 19 (19): 433-470, 2000

32 "Estimationand simulation of risk premia inequity and foreign exchange markets" 19 (19): 561-582, 2000

33 "Deviations from daily uncovered interestrate parity and the role of intervention" 10 (10): 363-379, 2000

34 "Assetpricing and foreign exchange risk: econometricevidence for the G-7" 17 (17): 317-329, 1998

35 "A multivariate GARCHmodel of risk premia in foreign exchangemarkets" 14 (14): 61-79, 1997