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Yen/Dollar Exchange Rate Risk and Premium in Asian Countries

亚洲国家的日元/美元汇率风险和溢价

基本信息

批准号：
08044038
负责人：
HIRAKI Takato
金额：
$ 0.9万
依托单位：
International University of Japan
依托单位国家：
日本
项目类别：
Grant-in-Aid for international Scientific Research
财政年份：
1996
资助国家：
日本
起止时间：
1996 至无数据
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08044038/
关键词：
Exchange rate risk International Asset Pricing Model Exchange exposure Japanese Stock Market Asion Stock Markets

项目摘要

1. Opposite to the U.S.result, the exchange rate risk exposure of Japanese firms is on average positive for the 1975-92 period when it is measured through stock market performance. In short, the finding from this study is unique since stock returns is positive to the (unexpected) appreciation of domestic currency, only observable in Japan.2. Opposed to the existing literature, this study documents a new finding that during the post-Plaza (1985-92) period the exchange risk is significantly priced in the Japanese capital market. The result is robust to empirical methodology between a conditional and an unconditional asset pricing model, the measure of yen/dollar exchange rates, and authogonalization of the explanatory variables or factors. It implies that the exchange risk premium is reflected on the firm's cost of equity capital and hedging in the capital market is irrelevant for investors' portfolios in Japan.3. from the theoretical view point, the result obtained in this study is interesting since the exchange risk factor has to be priced across international assets but here exchange risk is priced also across domestic assets. This result is further revalidated by the use of the more advanced empirical model of the Generalized Method of Moments (GMM). It implies that the international factor became a domestic one and its exposure is also domestically priced.4. The similar results have been derived for the post-Plaza Accord period for the two Asian markets, Malaysia and Indonesia. However, the robustness of the results for these two counties are somewhat weaker than the Japanese counterpart. We will continue our empirical investigation for more macroeconomic implications.5. Notice that two papers have been under review by major finance journals including the Journal of Financial and Quantitative Analysis.

1.与美国的结果相反，1975 ~ 1992年期间，日本企业的汇率风险平均为正。总之，本研究的发现是独特的，因为股票收益率对本国货币（意外）升值是正的，只有在日本才能观察到。针对现有的文献，本研究记录了一个新的发现，在后广场（1985-92）期间，汇率风险显着定价在日本资本市场。结果是稳健的实证方法之间的条件和无条件的资产定价模型，日元/美元汇率的措施，和autogonalization的解释变量或因素。这意味着汇率风险溢价反映在公司的权益资本成本上，在资本市场上对冲对日本投资者的投资组合无关。从理论角度来看，本研究得出的结果很有意思，因为汇率风险因素必须在国际资产中定价，但在这里汇率风险也在国内资产中定价。这一结果进一步重新验证了使用更先进的经验模型的广义矩量法（GMM）。这意味着国际因素变成了国内因素，其风险敞口也是国内定价的。对两个亚洲市场，即马来西亚和印度尼西亚，在广场雅阁之后的时期得出了类似的结果。然而，这两个国家的结果的稳健性略弱于日本。我们将继续进行实证研究，以获得更多的宏观经济含义。请注意，有两篇论文正在接受包括《金融与定量分析杂志》在内的主要金融期刊的评审。