Time-varying/sign-switching risk perception on foreign exchange markets
本文提出一种半参数方法，用非参数估计的条件波动率作为工具变量，分析六种主要货币兑德国马克的即期与远期汇率关系，发现加入市场情绪指标后风险感知呈现时变和符号转换特征。
In this paper we analyse the consequences of considering risk-augmented specifications of the relationship between spot and forward rates. Previous parametric specifications such as the GARCH-M provided disappointing results possibly due to the high degree of persistence of the estimated process for conditional volatility. We propose a more flexible semiparametric approach where a nonparametric estimator of the conditional volatility is used as an instrumental variable, and we apply it on six major currencies vis-à-vis the Deutsche Mark (monthly data). An interesting picture of shifting risk perception arises when an indicator of market sentiment in the form of trading signals to purchase or sell a currency is inserted in the model. © 1998 John Wiley & Sons, Ltd.