외환 리스크 프리미엄의 測定誤差
Measurement Errors of the Risk Premium
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초록
이 연구는 불안정한 외환시장에서 선물프리미엄 변칙성(anomaly)을 설명하기 위해 리스크 프리미엄의 측정오차모형을 이론적으로 도출하였다. 모형에서 프리미엄의 측정오차는 소비자가 기대를 수정하는 정도에 따라 크기가 달라지며, 위험기피정도가 작더라도 프리미엄의 평균과 분산을 증가시킬 수 있다. 프리미엄은 예상환율변동과 측정오차의 두 부분으로 구분되며 불안정한 시장에서 측정오차가 큰 경우 선물프리미엄 변칙성을 설명할 수 있다. 1994년 1월～2008년 12월까지 아시아 국가의 월별자료를 사용한 실증분석은 연구의 가설을 강하게 지지하고 있다.
Abstract
This article purposes to identify the measurement error of a FX risk premium in order to examine how a relationship between premium and changes in the expected exchange rate differs between the unstable and stable markets. The magnitude of the measurement error depends on the degree of risk aversion and the frequency of consumer's revision of expectation. The measurement error tends to deviate the risk premium widely from theoretical one recognized in the literature. This can explain the forward premium anomaly, which generally appear in most of the empirical works. Using monthly data of the Asian markets in January. 1994-December. 2008, evidence strongly supports the existence of the non- trivial measurement error.
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