國際資產定價模型研究

Abstract

本論文探討在單一代表性國家與異質之兩國經濟體系下之國際資產定價模型，分析國內資產偏誤之謎(Home Bias Puzzle)。在單一代表性國家的經濟體系下，國內資產偏誤之謎主要是受到資本流動的影響。當國內資本流動有盈餘時，本國投資人會傾向於持有國內資產而非國外資產，反之亦然。而在異質之兩國經濟體系下，國內資產偏誤之謎則是主要受到投資人的風險寬容指標（Risk Tolerance）與兩國間相對報酬率高低所影響。在我們的模型裡，最適的國際投資組合與非交易消費（Nontradable Consumption）和物價水準皆無關。此外，透過引用市場結清條件，最後我們導出了均衡的匯率價格。我們發現均衡匯價也是與非交易消費和物價水準皆無關。模型結果顯示，越高的本國資產報酬率會使本國貨幣升值，而越高的匯價波動性則會使本國貨幣貶值。這些結果都與一般的國際金融資產定價理論相符。

We investigate the home bias puzzle via a representative country and a two heterogeneous countries international asset pricing models respectively. Under the representative country economy with the discrete time setup, the home bias puzzle is mainly affected by capital flow. While running surplus in capital flow, a representative home agent is more apt to hold home asset rather than foreign asset and vice versa. Under the two heterogeneous countries economy with the continuous time setup, the home bias puzzle is primarily influenced by the investor’s risk tolerance and the relative rate of return. The optimal international portfolio weight is independent of nontradable consumptions and price levels in our model. In addition, the equilibrium exchange rate is eventually solved after the market clearing condition is employed. It is independent of nontradable consumptions and price levels as well. Our result is consistent with the conventional international asset pricing theory that higher home asset returns will make home currency appreciate but higher exchange rate volatility will have it depreciate.