| 偏度风险溢酬及其预测能力研究——基于人民币对外汇期权的实证分析 |
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| 引用本文： | 张 蕾,杨逢微.偏度风险溢酬及其预测能力研究——基于人民币对外汇期权的实证分析[J].财经理论与实践,2022(5):2-8. |
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| 作者姓名： | 张 蕾 杨逢微 |
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| 作者单位： | （西安交通大学 经济与金融学院，陕西 西安 710061） |
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| 摘 要： | 基于无模型方法，利用在岸人民币对美元期权的市场价格数据，通过提取风险中性三阶矩和已实现三阶矩估算偏度风险溢酬，并考察其时变特征、与波动率风险溢酬的关系和对汇率尾部风险的预测能力。结果表明，外汇期权市场上存在显著为负的时变偏度风险溢酬；偏度风险溢酬与波动率风险溢酬存在共同的驱动因子。此外，偏度风险溢酬在短期内对汇率暴涨的尾部风险事件具备一定的预测能力。当偏度风险溢酬增加时，投资者对偏度风险的厌恶加剧，预期未来人民币大幅贬值的概率上升。
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| 关 键 词： | 外汇期权 无模型方法 偏度风险溢酬 尾部风险 |
A Study on Skew Risk Premium and its Predictive Power -An Empirical Analysis Based on the USD/CNY Options |
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| ZHANG Lei,YANG Fengwei.A Study on Skew Risk Premium and its Predictive Power -An Empirical Analysis Based on the USD/CNY Options[J].The Theory and Practice of Finance and Economics,2022(5):2-8. |
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| Authors: | ZHANG Lei YANG Fengwei |
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| Abstract: | Based on the model-free method, the skew risk premium is estimated by extracting the risk-neutral third moment and the realized third moment with onshore USD/CNY options market data. This article examines the time-varying characteristics of the skew risk premium, its relationship with the volatility risk premium and its predictive power. It is found that there exists negative skew risk premium in the foreign exchange market and it is time-varying. The skew risk and the volatility risk may be driven by some common factors. Moreover, the skew risk premium can predict the up-tail risk in a short term. When the skew risk premium increases, which means that the investors tend to be more risk-averse, the probability of depreciation of RMB will ascend along. |
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| Keywords: | foreign exchange options model-free method skew risk premium tail risk |
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