| dc.contributor.advisor | 朱美麗 | zh_TW |
| dc.contributor.author (Authors) | 黃小娟 | zh_TW |
| dc.creator (作者) | 黃小娟 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 19-Sep-2009 15:14:38 (UTC+8) | - |
| dc.date.available | 19-Sep-2009 15:14:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Sep-2009 15:14:38 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090921021 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34792 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 行政管理碩士學程 | zh_TW |
| dc.description (描述) | 90921021 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 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。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論………………………………………………………………4第一節 研究動機與目的………………………………………………4第二節 研究方法與架構………………………………………………7第二章 文獻回顧與實證模型……………………………………………8第一節 臺灣地區資本移動管制概況…………………………………8第二節 台灣遠期外匯市場的發展……………………………………10第三節 文獻回顧………………………………………………………11第四節 實證模型………………………………………………………23第三章 實證方法與資料說明 …………………………………………28第一節 實證方法………………………………………………………28第二節 資料說明………………………………………………………34第四章 實證結果…………………………………………………………37第一節 各變數之變動趨勢……………………………………………37 第二節 CIP 模型檢定…………………………………………………40第三節 UIP 模型檢定…………………………………………………46第五章 結論與建議………………………………………………………51參考文獻……………………………………………………………………53表次表 3-1 資料的選取及來源 ………………………………………………35表 3-2 資料的處理 ………………………………………………………36表 4-1 CIP模型中各變數的單根檢定結果………………………………40表 4-2 CIP模型之落後期數………………………………………………41表 4-3 CIP自我相關檢定與常態性檢定…………………………………42表 4-4 共整合向量個數之檢定－CIP模型一……………………………43表 4-5 共整合向量個數之檢定－CIP模型二……………………………43表 4-6 共整合向量個數之檢定－CIP模型三……………………………44表 4-7 共整合向量個數之檢定－CIP模型四……………………………44表 4-8 CIP模型之係數值檢定……………………………………………45表 4-9 UIP模型中各變數的單根檢定結果………………………………46表 4-10 UIP模型之落後期數………………………………………………47表 4-11 UIP自我相關檢定與常態性檢定…………………………………47表 4-12 共整合向量個數之檢定－UIP模型一……………………………48表 4-13 共整合向量個數之檢定－UIP模型二……………………………49表 4-14 UIP模型之係數值檢定……………………………………………49表 4-15 實證研究結果 ……………………………………………………50圖次圖1-1 國內資產與拋補的國外資產報酬率的差距………………………5圖1-2 國內資產與未拋補的國外資產報酬率的差距……………………6圖4-1 90天期遠期匯率升(貼)水趨勢圖…………………………………37圖4-2 180天期遠期匯率升(貼)水趨勢圖 ………………………………37圖4-3 三個月期兩國利差趨勢圖 －本國利率為定存利率……………38圖4-4 三個月期兩國利差趨勢圖 －本國利率為商業本票利率………38圖4-5 六個月期兩國利差趨勢圖 －本國利率為定存利率……………38圖4-6 六個月期兩國利差趨勢圖 －本國利率為商業本票利率………38圖4-7 三個月期遠期匯率值趨勢圖(對數型態)…………………………39圖4-8 六個月期遠期匯率值趨勢圖(對數型態)…………………………39圖4-9 三個月後的實際即期匯率值趨勢圖(對數型態)…………………39圖4-10 六個月後的實際即期匯率值趨勢圖(對數型態)…………………39 | zh_TW |
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| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090921021 | en_US |
| dc.subject (關鍵詞) | 利率平價 | zh_TW |
| dc.title (題名) | 台灣利率平價說之實證研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
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