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    Title: 台灣利率平價說之實證研究
    Authors: 黃小娟
    Contributors: 朱美麗
    黃小娟
    Keywords: 利率平價
    Date: 2004
    Issue Date: 2009-09-19 15:14:38 (UTC+8)
    Abstract: 本文主要探討1991年11月1日台灣遠期外匯市場重新開放後,國際間資本管制的放寬對台灣資本移動自由化程度的影響;本文以Frankel(1992)所提出衡量國際間資本移動的利率平價說:拋補利率平價說(CIP)及無拋補利率平價說(UIP),作為瞭解國際間資本移動的自由化,是否有助於利率平價說的成立。
    在實證方法上,本文採用 Dickey & Fuller 之 ADF單根檢定來檢定資料是否為恆定之時間序列。在確定變數間具有單根後,再採用Johanson (1998,1991)的最大概似法進行共整合檢定,運用最大概似法估計出共整合向量,並檢定共整合向量個數進而估計出共整合向量的係數,以此分析變數間的長期均衡關係,並由此觀察其模型成立與否。
    CIP之實證結果發現,於1991 年12 月至2004 年7 月(或4月)期間,若以商業本票利率為本國利率,則為一滿秩情況(full rank),不符合進一步共整合分析之研究;若以三個月期與六個月期之定存利率為本國利率,則台灣與美國之名目利率差距跟遠期匯率之升水或貼水均為非定態之I(1)數列,彼此間存在一個共整合的關係,且滿足CIP 成立的條件。
    在 UIP部分,本文係採間接檢定,即假設CIP成立之情況下,檢測遠期匯率為未來即期匯率的不偏估計值之虛無假設。實證結果發現,台灣與美國之遠期匯率與未來即期匯率為非定態之I(1)數列,兩者間亦存在一共整合關係,但並不滿足係數值為一的虛無假設,即遠期匯率不為未來即期匯率的不偏估計值,無法證明台幣與美元間外匯市場具有效率性,因此UIP無法成立。
    Reference: 一、國內文獻
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