远期溢价之谜与抛补利率平价理论之偏差:基于主权风险的新解释  

The Puzzle of Forward Premium and the Deviation of the Covered Interest Rate Parity:A New Interpretation Based on Sovereign Risk

作　　者：陈奉先[1] 郭玲玉 CHEN Feng-xian;GUO Ling-yu(Institute of Finance,Capital University of Economics and Business,Beijing 100070,China)

机构地区：[1]首都经济贸易大学金融学院,北京100070

出　　处：《现代财经（天津财经大学学报）》2021年第2期3-28,共26页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：北京市属高校高水平教师队伍建设支持计划青年拔尖人才培育计划项目(CIT&TCD201704100);首都经济贸易大学研究生科技创新资助项目。

摘　　要：本文选取10个主要经济体2000年至2019年的季度数据,考察了主权风险变动对汇率远期溢价的影响,并进一步探讨了这种影响在方向和幅度上的非对称性、异质性以及门限效应特征。研究发现,主权风险不仅是引致远期溢价的主要原因,而且风险上升对远期溢价的边际影响大于风险下降的边际影响。同时,随着市场波动的加剧以及经济体主权信用评级的上升,主权风险变动对汇率远期溢价的影响更大。研究结论在修正抛补利率平价偏差、有效应对主权风险冲击、更好地预测远期汇率走势、实现经济体内外均衡等方面具有重要的现实意义。Using quarterly data from 10 major economies from 2000 to 2019,this paper examines the impact of changes in sovereign risk on forward premiums of exchange rate,and further discusses the asymmetry,heterogeneity and threshold effect characteristics of the influence in direction and amplitude.It is found that,not only the sovereign risk is the main cause of the forward premium,but also the marginal effect of the rising risk on the forward premium is greater than that of the falling risk.In the meanwhile,with the aggravation of market fluctuation and the rise of sovereign credit rating of economies,the change of sovereign risk has a greater impact on the forward premium of exchange rate.The conclusion is of great practical significance to deal with the impact of sovereign risk effectively,predict the trend of forward exchange rate better and realize the internal and external equilibrium of economy.

关 键 词：主权风险 信用评级 汇率远期溢价 非对称性 门限效应 

分 类 号：F831[经济管理—金融学]