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| Title: | 傳統與新型態UIP檢驗： 以亞洲國家為例
Conventional and new UIP test: an empirical study of Asian countries |
| Authors: | 嚴敬傑
Yen, Ching Chieh |
| Contributors: | 林柏生
Lin, Po Sheng
嚴敬傑
Yen, Ching Chieh |
| Keywords: | UIP檢驗
外匯效率市場假設
考量股市報酬率之UIP檢驗
Conventional UIP test
EMH
UIP test with returns of stock markets |
| Date: | 2017 |
| Issue Date: | 2017-07-24 11:56:43 (UTC+8) |
| Abstract: | 本研究針對數個亞洲較大經濟體進行未拋補利率平價檢驗(Uncovered Interest Rate Parity Test)，探討這些國家外匯市場是否有效率。亞洲開發中國家在西元2000年後大量國際資本開始進入，並且金融市場也漸趨開放，因此本篇研究想要了解經過近十幾年發展，這些亞洲開發中國家外匯市場是否具有效率，以及與已開發國家相比，是否存在差異，不過使用傳統UIP檢驗發現，在金融海嘯發生前，基本上樣本國家UIP皆不成立，並且估計係數出現負數，這種現象與過去文獻吻合，甚至被認知為已知事實(Stylized fact)，但是金融海嘯發生之後，檢驗結果有很大不同，估計係數出現明顯大於1的現象，在此稱之為正偏誤，並且在金融海嘯以後，支持UIP成立的國家為開發中國家，而非已開發國家，這與一般對於已開發國家較有效率的想法不符。傳統UIP檢驗大多使用事前決定之借貸市場利率，而本篇研究延伸Modigliani-Miller Theorem的第一命題，同時考量借貸市場以及股票市場報酬率，形成一個較全面利率，並且以此利率進行UIP檢驗，稱之為新型態UIP檢驗，在新型態UIP檢驗結果中，已經不存在正偏誤的現象，並且顯示已開發國家較支持UIP成立，而開發中國家不再支持UIP成立，作者認為金融海嘯以後，由於國際借貸利率降至很低的水準，若單純使用傳統UIP來進行效率外匯市場檢驗，其結果可能只是假象，並不能很好地反映其外匯市場效率程度。
International capital flows in Asia abundantly in 2000s and financial markets in those countries are more open than before. Therefore, I want to examine whether foreign exchange markets of Asian countries become more efficient and the degree of efficiency between developed and developing countries is distinct in the recent decade.
In the different sub-periods, test results are extremely different. Before the financial crisis (2008), there is no evidence to support UIP hypothesis. However, some of the estimated coefficients become positive and even critically greater than 1 which is called positive bias in this paper during and after the financial crisis. Moreover, developing countries are more likely to support efficient foreign exchange market hypothesis than developed countries after the financial crisis. It conflicts with the general cognition that developed countries are more efficient since their financial markets are more open and capital-flows are highly frequent.
Conventional UIP test uses ex-ante determined interest rates, e.g., interest rates of lending markets. In this paper, Modigliani-Miller Theorem first proposition will extend to the level of whole economy to construct new UIP test that will consider interest rate of lending markets and rate of return in the stock markets simultaneously. In the new UIP test, there is no longer positive bias existing and developed countries stand for efficient foreign exchange hypothesis rather than developing countries no matter during or after the financial crisis. Conventional UIP test may not be a good method to examine efficiency of foreign exchange markets since interest rates of world lending markets decline to a very low level after the financial crisis happened. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
104351035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104351035 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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