| Summary: | 碩士 === 國立中正大學 === 國際經濟所 === 96 === The longer the term of the forward exchange rate makes a variance greater, namely the risk is higher. When foreign consumption growth rate of increase is lower than this country because of being depressed, it is will be smaller than this country to invest in the foreign assets risk; So, the risk agio of national assets must be higher than foreign country, people like to hold. So the national interest rate will be higher than the foreign interest rate, driving the national currency to appreciate, cost forward discount. Forward exchange rate will be higher than the spot rate. So when national country and the foreign consumption growth of increase disparity it is the greater, the higher forward exchange rate agio is.
This text is with Consumption-based model of Campbell and Cochrane (1999) last theory of structures model of interest rate of Wachter(2006) , by foreign exchange market, it accounts for many features of the term structure of forward exchange rate. The thrust of back that the characteristic of consumption-based model lies in the change of the international assets price is, under different time, the habit consumption of risk prices produced, and state and consumption growth and the inflation is the factor explained and exchanged rate fluctuate. So the term structure of the forward exchange rate depends on that consumes the prosperous circulation that grew up in inertia.
The long-term exchange rate of the Canadian coin as the case with U.S. dollar, the result of calibration of risk premiumof forward exchange rate with three month and six month, catch many fluctuations of a short time of a lot of reality and long-term data, is higher than the par hypothesis of the interest on counting; and in term structure of forward exchange rate, it have the same characteristics with the real data that this consumption-based model. So, this has ability of term structure to explain the forward exchange rate to consumption-based model.
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