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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/32454

    Title: 台灣拋補利率平價實證研究 : 門檻模型的應用
    Other Titles: A threshold model of covered interest parity applied to Taiwan's data
    臺灣拋補利率平價實證研究 : 門檻模型的應用
    Authors: 羅尹秀;Lo, I-hsiu
    Contributors: 淡江大學經濟學系碩士班
    萬哲鈺;Wan, Jer-yuh
    Keywords: 拋補利率平價;門檻誤差修正模型;非線性;匯率;CIP;Nonlinear;TAR;Tsay(1998)
    Date: 2006
    Issue Date: 2010-01-11 02:10:34 (UTC+8)
    Abstract: 有鑒於以往探討拋補利率平價說時,未將交易成本納入考量,本篇將交易成本納入考慮,利用Tsay(1998)門檻模型,針對1992年至2005年底之新台幣與美元之拋補利率平價(Covered Interest Parity,簡稱CIP)進行分析,來重新驗證CIP是否成立。根據本實證研究,發現不論是單變量模型或是多變量模型來做分析,兩門檻模型可解釋拋補利率平價說。當偏離CIP的年百分比(z值)在所估計的門檻值內,CIP不成立;反之,在所估計的門檻值之外(不可套利區間外),CIP成立。即一旦套利的利潤超過交易費用、違約風險、政治風險等所產生之交易成本,藉由市場套利力量的運作,讓遠匯貼水與兩國利差過大的差距逐漸縮小並朝向CIP所隱含的關係進行調整。因此在考慮交易成本之因素後,唯有遠匯貼水與兩國利差間的差異過大,兩者才會出現如CIP所指出的調整關係。反之,這兩者變化則無明顯的關係存在。
    In this research deviations from covered interest parity are modeled nonlinearly. Unlike previous studies based on linear VCEM or VAR models, we employ a multivariate TAR model based on Tsay(1998)’s paper to investigate the dynamic behaviors of deviations form covered interest parity. The empirical results show a no-arbitrage band within which deviations are random, outside of which deviations revert to the edge of the band. Taking the analysis of double-threshold autoregressions into account, the theory of covered interest parity still stands.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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