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首页> 外文期刊>The Singapore economic review >FORECASTING FORWARD EXCHANGE RATE RISK PREMIUM IN SINGAPORE DOLLAR/US DOLLAR EXCHANGE RATE MARKET
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FORECASTING FORWARD EXCHANGE RATE RISK PREMIUM IN SINGAPORE DOLLAR/US DOLLAR EXCHANGE RATE MARKET

机译：预测新加坡美元/美元汇率市场的前瞻汇率风险溢价

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摘要

In this research, monthly forward exchange rates are evaluated for possible existence of time varying risk premia in Singapore forward foreign exchange rates against US dollar. The time varying risk premia in Singapore dollar is modeled using non-Gaussian signal plus noise models that encompass non-normality and time varying volatility.rnThe results from signal plus noise models show statistically significant evidence of time varying risk premium in Singapore forward exchange rates although we failed to reject the hypotheses of no risk premium in the series. The results from Gaussian versions of these models are not much different and are in line with Wolff (1987) who also used the same methodology in Gaussian settings.rnOur results show statistically significant evidence of volatility clustering in Singapore forward exchange rates. The results from Gaussian signal plus noise models also show statistically significant evidence of volatility clustering and non-normality in Singapore forward foreign exchange rates. Additional tests on the series show that exclusion of conditional heteroskedasticity from the signal plus noise models leads to false statistical inferences.
机译：在这项研究中，评估了新加坡的远期外汇对美元汇率随时间变化的风险溢价可能存在的每月远期汇率。新元的时变风险溢价使用包含非正态性和时变波动率的非高斯信号加噪声模型建模.rn信号加噪声模型的结果显示，新加坡远期汇率具有时变风险溢价的统计显着证据，尽管我们未能拒绝该系列中没有风险溢价的假设。这些模型的高斯模型的结果相差不大，与Wolff（1987）一致，后者在高斯环境中也使用了相同的方法。我们的结果表明，新加坡远期汇率的波动性聚类具有统计学意义。高斯信号加噪声模型的结果还显示出统计上的重要证据，证明了新加坡远期汇率的波动性聚集和非正态性。该系列的其他测试表明，从信号加噪声模型中排除条件异方差会导致错误的统计推断。

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