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首页> 外文期刊>International Review of Financial Analysis >Looking for risk premium and contagion in Asia-Pacific foreign exchange markets
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Looking for risk premium and contagion in Asia-Pacific foreign exchange markets

机译：在亚太外汇市场中寻找风险溢价和传染性

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This article tests pure contagion effects among four Asian foreign exchange markets, namely, Japan, Hong Kong, Singapore, and Taiwan during the 1997 Asian crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals or systematic risks. The empirical results show strong contagion effects in both conditional means and volatilities of those markets after systematic risks have been accounted for. Specifically, the contagion-in-mean effects are mainly driven by the past return shocks in Hong Kong, Singapore, and Taiwan. As for contagion in volatility, the lead/lag relationships appear to be multidirectional among Japan, Singapore, and Taiwan, but between Hong Kong and Singapore, and between Hong Kong and Taiwan, they are unidirectional, with Hong Kong playing the dominant role in generating negative volatility shocks. In addition, the conditional ICAPM with asymmetric multivariate general autoregressive conditional heteroscedastic in mean (MQARCH(1,1)-M) structure is able to explain/predict on average 17.28% of the return variations in those markets. Therefore, this study provide a further evidence that the time-varying risk premium is a very strong candidate in explaining the predictable excess return puzzle [Lewis, K. K. (1994). Puzzles in international financial markets. NBER Working Paper No. 4951] since the risk premia founded in this article are not only statistically significant but also economically significant.
机译：本文测试了1997年亚洲金融危机期间四个亚洲外汇市场（日本，香港，新加坡和台湾）之间的纯粹传染效应。在没有购买力平价（PPP）的情况下，国际资本资产定价模型（ICAPM）的条件版本用于控制经济基本面或系统风险。实证结果表明，在考虑了系统性风险之后，这些市场的条件均值和波动率都具有很强的传染性。具体而言，均值传播效应主要是由香港，新加坡和台湾过去的回波冲击所驱动。关于波动性的蔓延，超前/滞后关系在日本，新加坡和台湾之间似乎是多向的，但在香港和新加坡之间以及香港和台湾之间，它们是单向的，而香港在产生汇率的过程中起着主导作用。负面波动冲击。此外，具有不对称均值（MQARCH（1,1）-M）多元多元一般自回归条件异方差的条件ICAPM能够解释/预测那些市场中平均17.28％的收益变化。因此，这项研究提供了进一步的证据，证明时变风险溢价在解释可预测的超额收益难题方面是非常有力的候选人[Lewis，K. K.（1994）。国际金融市场的困惑。自从本文建立风险溢价以来，NBER工作文件[No. 4951]不仅具有统计意义，而且具有经济意义。

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