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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95554


    Title: 考慮交易成本下的『拋補利率平價說』實證研究－以日本為例
    Authors: 陳倩如
    Contributors: 沈中華
    陳倩如
    Date: 2002
    Issue Date: 2016-05-09 16:30:45 (UTC+8)
    Abstract: 　　在本篇文章中，針對『拋補利率平價說』進行兩大類研究：第一，針對交易成本，也就是在買賣價差的考量下，求算超出『拋補利率平價說』的不可套利區間上下限的樣本數比率及套利利潤。第二，藉由求算樣本違反『拋補利率平價說』的持久程度，推論套利的機會是否稍縱即逝。
    　　至於研究對象，本文選定世界兩大貿易國家：美國及日本。此乃因美國和日本兩國均為已開發國家，其金融市場都屬健全，而毋需考慮資本控制或是政治風險的問題。因此，能夠在完美市場的前提下，進行『拋補利率平價說』的實證研究。針對一個月期和三個月期的日圓兌美元匯率、日圓利率、美元利率，在假設『拋補利率平價說』成立的情況下，找出不合乎理論的地方。研究的樣本期間自1983年1月3日到1998年12月31日。
    　　對所選取樣本先作初步的資料分析，如：原始資料趨勢圖的檢視；將匯率和利率的買賣報價幾何平均後，形成的『拋補利率平價說』超出不可套利區間的樣本數、套利機會存在的持續天數和套利可獲得之年報酬率多寡。
    　　最後，以不可套利區間的上限及下限為門檻，建立一個門檻模型，檢定『拋補利率平價說』是否有持續在不可套利區間之上、之中或之下的現象。
    Reference: 中文參考資料
    1. 沈中華，貨幣銀行學原理－全球的觀點.
    英文參考資料
    2. Abeysekera, Sarath P. and Harry J. Turtle, “Long-run relations in Exchange Markets: A test of Covered Interest Parity, ” Journal of Financial Research, 18, (Winter, 1995): 431-447
    3. Atkins, Frank J., “Covered Interest Parity Between Canada And the United States: Another Look Using Modern Time Series Methods,” Empirical Economics, 16, (1991): 325-334
    4. Atkins, Frank J., “The Dynamics of Adjustment in Deviations from Covered Interest Parity in the Euromarket: Evidence From Matched Daily Data, ” Applied Financial Economics, 3,(1993): 183-187
    5. Balke and Wohar, “Nonlinear Dynamics and Covered Interest Parity ”, Research Department Working Paper from Federal Reserve Bank of Dallas, (January 1997)
    6. Clinton, K., “Transactions Costs and Covered Interest Parity,” Journal of Political Economy, 96, (April 1988): 358-370
    7. Deardorff, A. V., “One way Arbitrage and its Implications for the Foreign Exchange Markets,” Journal of Political Economy, 87, (April 1979): 351-364
    8. Fletcher, Donna J. and Larry W. Taylor, “A Non-parametric Analysis of Covered Interest Parity in Long-Data Capital Markets,” Journal of International Money and Finance, 13, (1994): 459-475
    9. Fletcher, Donna J. and Larry W. Taylor, ”Swap’ Covered Interest Parity in Long-Data Capital Markets,” The Review of Economics and Statistics, 78, (August 1996): 530-538
    10. Frenkel, Jacob A. and Richard M. Levich, “Covered Interest Arbitrage: Unexploited Profits ? ” Journal of Political Economy, 83, (April 1975): 325-338
    11. Frenkel, Jacob A. and Richard M. Levich,” Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods, ” Journal of Political Economy, 85, (December 1977): 1209-1226
    12. Frenkel, Jacob A. and Richard M. Levich, ”Covered Interest Arbitrage in the 1970s, ” Economic Letters, 8, (March 1981):267-274
    Description: 碩士
    國立政治大學
    金融研究所
    89352007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000413
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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