汇率波动是否增加了投资者的风险--理论与实证  

Does the Volatility of Exchange Rate Increase the Risk of Investor?

作　　者：吴贾[1,2] 黄霖[3] 张睿[4] 

机构地区：[1]香港中文大学深圳研究院,广东深圳518057 [2]浙江大学公共管理学院,浙江杭州310058 [3]西南财经大学经济与管理研究院,四川成都610074 [4]长盛基金,北京100088

出　　处：《金融研究》2014年第8期64-79,共16页Journal of Financial Research

基　　金：2012年度教育部人文社会科学重点研究基地重大项目(批准号:12JJD790044);中国博士后基金(批准号:2013M540666)的资助

摘　　要：本文建立了一个开放经济下的资产定价模型(OEAP),通过求解消费者的最优化问题推导出包含汇率的随机折现因子,从理论和实证上研究了汇率对资产风险的影响。首先,模型预测当国内产品与进口产品的跨期替代弹性小于替代弹性时,汇率波动性的提高会增加资产的风险。其次,基于中国数据对模型估计的结果验证了参数的上述关系,并且估计结果说明OEAP模型有效避免了无风险利率之谜和股权溢价之谜。最后,基于0EAP模型我们推导出对应的线性因子模型,并用汇率因子成功地对股票收益率在横截面上的差异性以及时间序列上的反周期性进行了解释。This paper provides an open economy asset pricing （OEAP） model. By solving the representative consumer＇s optimal consumption and portfolio choice problem, we derive the stochastic discount factor which contains an exchange rate factor and study the impact of exchange rate on asset risk from both theoretical and empirical viewpoint. First, when the elasticity of intertemporal substitution between domestic goods and imports is smaller than the elasticity of substitution, the model predicts that the volatility of the exchange rate will in- crease the risk of asset. Second, we estimate the model based on Chinese stock market dataset and verify the a- bove relationship among the parameters. Furthermore, the OEAP model is shown to avoid risk premium puzzle and equity premium puzzle. At last, we derive the linear factor model based on OEAP model, and propose a simple explanation in both cross - sectional and countercyclical variation in the equity premium.

关 键 词：汇率波动 OEAP 模型随机折现因子 资产风险 

分 类 号：F832.6[经济管理—金融学] F224