利差交易行为、市场波动与远期溢价之谜
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摘要
从利差交易者行为的视角解释了远期溢价之谜。利用马尔科夫机制转换模型对汇率未来变动和远期溢价之间的关系进行建模,其中时变转换概率是关于市场波动率指数(VIX)的函数。研究结果表明:当市场波动较小,投资者情绪平稳,利差交易者进入市场,远期溢价之谜存在;当市场波动剧烈,恐慌情绪加强,利差交易者出于避险情绪平仓,最终促使市场回复UIP均衡,远期溢价之谜消失。
This paper demonstrates that carry trade is the explanation of the forward premium puzzle. The formal analysis uses a two-regime Markov switching technique, with time varying transition probabilities related to VIX. The results confirm that the forward premium anomaly exists in one regime where carry trades are rampant with the stable market volatility and investor sentiment, and uncovered interest parity is found to hold in the other regime where carry trades appear to be not profitable, as the market fluctuates acutely and the panic has grown.
This paper demonstrates that carry trade is the explanation of the forward premium puzzle. The formal analysis uses a two-regime Markov switching technique, with time varying transition probabilities related to VIX. The results confirm that the forward premium anomaly exists in one regime where carry trades are rampant with the stable market volatility and investor sentiment, and uncovered interest parity is found to hold in the other regime where carry trades appear to be not profitable, as the market fluctuates acutely and the panic has grown.
引文
[1]Spronk R,Verschoor W F C,Zwinkels R C J.Carry trade and foreign exchange rate puzzles[J].European Economic Review,2013,60:17-31.
[2]Brunnermeier M K,Nagel S,Pedersen L H.Carry trades and currency crashes[R].NBER Working Paper No.14473,November,2008.
[3]Baillie R T,Change S.Carry trades,momentum trading and the forward premium anomaly[J].Journal of Financial Markets,2011,14:441-464.
[4]孙立坚.汇率理论发展的最新动态[J].金融参考,2003(1):1-8.
[5]Bansal R,Dahlquist M.The forward premium puzzle:Different tales from developed and emerging economies[J].Journal of International Economies,1999,51:115-144.
[6]Roll R,Yan S.An explanation of the forward premium puzzle[J].European Financial Management,2000(6):121-148.
[7]Chinn M D,Meredith G.Monetary policy and longhorizon uncovered interest parity[J].IMF Staff Papers,2004,51:409-430.
[8]Zhou S,Beladi H,Chen C.Does the forward premium anomaly depend on the sample period used or on the sign of the premium?[J]International Review of Economics and Finance,2005,14:17-25.
[9]陈蓉,郑振龙.结构突变、推定预期与风险溢酬[J].世界经济,2009(6):64-76.
[10]李小平,冯芸,吴冲锋.基于宏观因素的远期汇率风险溢价期限结构[J].管理工程学报,2010(2):139-145.
[11]吴蕾,文占雅.中国银行间外汇市场远期汇率信息含量与定价偏差研究[J].世界经济,2017(4):167-192.
[12]Burnside C,Eichembaum M,Rebelo S.Carry trade and momentum in currency markets[J].Annual Review of Financial Economics,2011(3):511-535.
[13]Darvas Z.Leveraged carry trade portfolios[J].Journal of Banking and Finance,2008,33:944-957.
[14]Baillie R T,Kilic R.Do asymmetric and nonlinear adjustments explain the forward premium anomaly?[J].Journal of International Money and Finance,2006,25:22-47.
[15]Copeland L,Lu W.Dodging the steamroller:Fundamentals versus the carry trade[J].Journal of International Financial Markets,Institutions&Money,2016,42:115-131.
[16]Hamilton J D.A new approach to the economic analysis of nonstationary time series and the business cycle[J].Econometrica,1989,57:357-384.
[17]Cavallo M.Interest rates,carry traders,and exchange rate movements[J].FRBSF Economic Letters,2006,31:1-3.
1)远期溢价之谜意味着高利率货币未来倾向于不贬值,甚至升值,这和无抵补利率平价理论刚好相反,因此也被称为“UIP偏离之谜”[17]
2)VIX指数,全称是芝加哥期权交易所波动率指数,反映了期权投资者对未来股票市场波动性的预期,VIX指数越高,显示投资者预期未来股价指数的波动性越剧烈。诸多研究表明,在金融全球化的背景下,美国作为全球最大经济体,其资本市场波动会对全球资本市场产生影响。因此,VIX指数可以作为表征全球市场情绪和风险偏好的指标,而并不仅限于股票和股票期权市场;同时,VIX也被称为“全球市场恐慌指数”
[2]Brunnermeier M K,Nagel S,Pedersen L H.Carry trades and currency crashes[R].NBER Working Paper No.14473,November,2008.
[3]Baillie R T,Change S.Carry trades,momentum trading and the forward premium anomaly[J].Journal of Financial Markets,2011,14:441-464.
[4]孙立坚.汇率理论发展的最新动态[J].金融参考,2003(1):1-8.
[5]Bansal R,Dahlquist M.The forward premium puzzle:Different tales from developed and emerging economies[J].Journal of International Economies,1999,51:115-144.
[6]Roll R,Yan S.An explanation of the forward premium puzzle[J].European Financial Management,2000(6):121-148.
[7]Chinn M D,Meredith G.Monetary policy and longhorizon uncovered interest parity[J].IMF Staff Papers,2004,51:409-430.
[8]Zhou S,Beladi H,Chen C.Does the forward premium anomaly depend on the sample period used or on the sign of the premium?[J]International Review of Economics and Finance,2005,14:17-25.
[9]陈蓉,郑振龙.结构突变、推定预期与风险溢酬[J].世界经济,2009(6):64-76.
[10]李小平,冯芸,吴冲锋.基于宏观因素的远期汇率风险溢价期限结构[J].管理工程学报,2010(2):139-145.
[11]吴蕾,文占雅.中国银行间外汇市场远期汇率信息含量与定价偏差研究[J].世界经济,2017(4):167-192.
[12]Burnside C,Eichembaum M,Rebelo S.Carry trade and momentum in currency markets[J].Annual Review of Financial Economics,2011(3):511-535.
[13]Darvas Z.Leveraged carry trade portfolios[J].Journal of Banking and Finance,2008,33:944-957.
[14]Baillie R T,Kilic R.Do asymmetric and nonlinear adjustments explain the forward premium anomaly?[J].Journal of International Money and Finance,2006,25:22-47.
[15]Copeland L,Lu W.Dodging the steamroller:Fundamentals versus the carry trade[J].Journal of International Financial Markets,Institutions&Money,2016,42:115-131.
[16]Hamilton J D.A new approach to the economic analysis of nonstationary time series and the business cycle[J].Econometrica,1989,57:357-384.
[17]Cavallo M.Interest rates,carry traders,and exchange rate movements[J].FRBSF Economic Letters,2006,31:1-3.
1)远期溢价之谜意味着高利率货币未来倾向于不贬值,甚至升值,这和无抵补利率平价理论刚好相反,因此也被称为“UIP偏离之谜”[17]
2)VIX指数,全称是芝加哥期权交易所波动率指数,反映了期权投资者对未来股票市场波动性的预期,VIX指数越高,显示投资者预期未来股价指数的波动性越剧烈。诸多研究表明,在金融全球化的背景下,美国作为全球最大经济体,其资本市场波动会对全球资本市场产生影响。因此,VIX指数可以作为表征全球市场情绪和风险偏好的指标,而并不仅限于股票和股票期权市场;同时,VIX也被称为“全球市场恐慌指数”
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