外汇风险溢酬理论述评

The Theory of Foreign Exchange Risk Premium:A Review

外汇风险溢酬是从资产定价角度研究汇率变化的核心内容,但还未获得一致结论。目前,对外汇风险溢酬的时间序列建模并不理想,隐含变量模型和仿射模型都不能刻画外汇风险溢酬的时间序列特征;对外汇风险溢酬风险因子的研究缺乏一个统一框架,消费、微观市场因子和货币政策都只能部分解释外汇风险溢酬的变化。基于随机贴现因子的模型目前相对零散,但这一框架是后续研究的重点。一个亟待研究的课题是既把汇率作为投资性资产的价格,又考虑汇率作为两国货币的相对比价,研究外汇风险溢酬与两国经济波动、两国经济相关性的内在联系,从理论上厘清影响外汇风险溢酬的因素。

Research on foreign exchange risk premium(FERP)lies in the center of the study of fluctuations of foreign exchange rates from the perspective of asset pricing,though there is no consensus on the theorization about FERP yet.Current models of FERP temporal sequences are problematic.For example,neither the model of latent variables nor the model of affine is capable of characterizing the property of temporal sequences of FERP.There is no unified framework within which risk factors of FERP can be studied fruitfully.Factors such as consumption,micro-market variables and monetary policy can only partially explain variations in FERP.Models based on the theory of stochastic discount factor are not unified and how to unify them within a framework is yet the focus of subsequent studies.This paper argues that an urgent issue to be solved is the theorization of factors affecting FERP by studying the internal relations between FERP and the economic fluctuations and economic correlations of the two countries involved seeing foreign exchange rates as asset prices for investment as well as prices reflecting value differences of currencies of the two countries involved.