The impacts of financial crisis on exchange rate markets risk premia : Empirical evidences from 1997 Asia financial crisis and 2008 global financial tsunami

[[abstract]]本論文乃根據ICAPM(國際資本資產定價模式)及UIP(未拋補利率平價說)理論以估計亞太國家外匯市場在1997年亞洲金融危機及2008年全球金融海嘯期間是否存在與時俱變風險溢酬(TVRP: time-varying risk premium)，並比較兩次重大金融危機對金融市場的變動及各國風險溢酬是否有所差異。 分析這兩次金融危機對金融市場變動及各國風險溢酬的差異性，1997金融危機各國UIP偏離程度趨勢圖及條件β值的走勢圖兩者分別代表貨幣的風險溢酬及系統性風險，根據實證結果顯示，兩者都是很好的風暴領先指標。而2008年全球金融海嘯，各國UIP偏離程度趨勢圖的風險走勢似乎在2007年即先行反映，亦是很好的風暴領先指標，然根據條件β值的走勢圖，大部分的國家系統性風險在2004年開始即出現上升反映，預警者這波金融海嘯的到來，然2008年9月雷曼兄弟倒閉後全球金融海嘯開始蔓延開來，各國系統性風險反映時間不一，人民幣、日圓、韓圓、台幣及馬幣的系統性風險先是在2007年急速下跌後，2008年初開始才又出現急速上升狀態，而新加坡幣、港幣、泰銖及印尼盾反映的時間似乎較其他國家早，2007年初系統性風險即出現上升狀態，整體而言，各國的系統性風險似乎無法作為很好的風暴領先指標，也許是因為本次全球金融海嘯是因美國次級房貸所引起，而本論文研究的樣本是亞太地區的國家所致。 探究兩次的金融危機，本論文發現1 在樣本期間系統性風險為非固定值，而是會隨著時間經過而改變的。2 UIP偏離程度(貨幣的風險溢酬)是很好的風暴領先指標，當一國貨幣的風險溢酬急速上升時，須注意該國風暴即將發生。3 1997年亞洲金融危機系統性風險是很好風暴的領先指標，惟2008年全球金融海嘯期間各國系統性風險反映的時間不一似乎無法作為很好的風暴領先指標。4 IRP(利 率平價說)無法成立是因為有與時俱變的風險溢酬的關係。[[abstract]]This study probes whether “Time-Varying Risk Premium” (TVRP) existed in the foreign exchange market of countries in the Asia Pacific Zone during the Asian Financial Crisis in 1997 and the global financial tsunami in 2008 based on the International Capital Asset Pricing Model (ICAPM) and Uncovered Interest Parity (UIP) and compares whether there were any differences in changes in the financial market and risk premium of each country between the two significant financial crises This study analyzes the difference in changes in the financial market and risk premium of each country between these two significant financial crises For the financial crisis in 1997 the time series of the degree of UIP deviation of each country and the conditions β value of figure represent currency risk premium and systematic risk respectively The empirical result indicates that both are good crisis leading indicators As for the global financial tsunami in 2008 the risk track of the time series of the degree of UIP deviation of each country seemed to be reflected beforehand in 2007 which is a good crisis leading indicator However in accordance with the conditions β value of figure a rise in the systematic risk started to appear in most countries in 2004 an early warning indicator of this financial crisis But when the global financial tsunami started to spread from the bankruptcy of Lehman Brothers in September 2008 each country’s systematic risk was reflected at different times The systematic risk of RMB JPY KRW NTD and MYR dropped sharply in 2007 and then rapidly rose in the beginning of 2008 On the other hand SGD HKD THB and IDR seemed to be reflected earlier than other countries Their systematic risk showed a rise in the beginning of 2007 Overall the systematic risk of each country does not seem to be a good crisis leading indicator It might be because this global financial tsunami was caused by the subprime mortgage in the USA and the samples used in this study were countries in the Asia Pacific Zone When probing these two financial crises the study finds that (1) during the sample period the systematic risk is not a constant but changes over time; (2) UIP deviation degree (currency risk premium) is a good crisis leading indicator When the risk premium of a country’s currency rapidly rises it must be noted that a crisis will soon occur in the country ; (3) the systematic risk is a good crisis leading indicator for the Asian Financial Crisis in 1997 However the systematic risk does not seem to be a good crisis leading indicator for the global financial tsunami in 2008 since the systematic risk of each country is reflected at different times; and (4) Interest Rate Parity (IRP) does not hold due to time-varying risk premiu