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系統識別號 U0002-0106200918154900
中文論文名稱 荷蘭未拋補利率平價說之非線性平滑結構轉換分析
英文論文名稱 Uncovered interest parity of non-linear smooth transitional threshold model in Netherlands
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 盧志典
研究生英文姓名 Chih-Tien Lu
學號 696531051
學位類別 碩士
語文別 中文
口試日期 2009-05-13
論文頁數 49頁
口試委員 指導教授-莊武仁
委員-劉邦典
委員-林筠
委員-黃河泉
中文關鍵字 未拋補利率平價說  非線性平滑結構轉換 
英文關鍵字 Uncovered interest parity  non-linear smooth transitional threshold 
學科別分類 學科別社會科學商學
中文摘要 對於未拋補利率平價說(Uncovered interest parity)過去有許多文獻,並不支持UIP之成立,而且大多數用一般線性迴歸模型,而近幾年來,非線性迴歸模型之應用大幅增加,許多匯率決定理論之實證發現,匯率的決定模型之參數調整,並不是跳躍的,而是平滑轉換的,故本文利用非線性模型探討荷蘭之未拋補利率平價說,以非線性平滑狀態結構轉換模型進行檢定,結果發現,荷蘭利差調整之非線性調整是以logisitc方式轉換,代表時間序列資料是以非線性的方式在調整,轉換速度是非常迅速的,並且存在著雙門檻,本文再對門檻內外之不同區間,再加以檢定,發現門檻外所觀察之樣本,UIP為成立的,期間為1985年1月至6月及1995年3月至1996年12月,分別成立的原因是,G5達成廣場協議聯合干預外匯及歐洲聯合放寬匯率波動幅度,而門檻內之樣本,UIP為不成立的。
英文摘要 The majority of researches have adopted general linear regression model to examine uncoverd interest parity (UIP) and the outcomes did not support the UIP theory in most studies. Recently, the application of non-linear regression model increases substantially. Most evidences of exchange rate analysis show that the adjustment of parameter on exchange rate model is smooth transition not jump pattern. Hence, this study use non-linear smooth transitional threshold model to examine uncoverd interest parity (UIP) in the Netherlands (Holland).
Our results show that the adjustment of interest spread in the Netherlands is logistic transition, which means that time series data is modulated by non-linearly. Moreover, the result also indicate that the transition is highly frequency and with double thresholds. Besides, this study examines the UIP in different intervals of in- and out-threshold samples. We find that the UIP theory is hold on out-threshold samples in January, 1985 to June and March, 1995 to December, 1996 ,because G5 intervention foreign exchange in Plaza Accord and Europe unite the relaxation foreign exchange fluctuation scope but is not on in-threshold samples.
論文目次 第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構與流程 3
第二章 文獻回顧 5
第一節 未拋補利率平價說之相關文獻回顧 5
第二節 應用非線性方法之相關文獻 9
第三章 研究方法與模型設立 16
第一節 未拋補利率平價說之模型 16
第二節 OLS模型 18
第三節 單根檢定 18
第四節 非線性檢定 24
第五節 配適非線性模型 26
第四章 實證分析 30
第一節 樣本資料來源與樣本期間 30
第二節 利率及匯率之基本統計量 30
第二節 單根檢定 31
第三節 OLS模型 33
第四節 非線性模型選擇及檢定 34
第五節 非線性平滑狀態結構轉換模型 37
第六節 非線性平滑轉換結構轉換模型門檻內外檢定: 40
第五章 結論 43
參考文獻 45

表目錄
表4-1 匯率變動率基本統計量........................................31
表4-2 利差基本統計量..............................................31
表4-3 匯率變動率之單根檢定結果....................................31
表4-4 利差之單根檢定結果..........................................32
表4-5 以OLS模型估計UIP結果......................................33
表4-6 荷蘭UIP之非線性檢定與非線性模型選擇........................35
表4-7 以非線性模型估計UIP之結果..................................37
表4-8 荷蘭利差門檻外檢定..........................................40
表4-9 荷蘭利差門檻內檢定結果......................................42

圖目錄
圖4-1 荷蘭利差之logistic轉換函數..................................38
圖4-2 荷蘭利差轉換函數之時間走勢.................................. 38
參考文獻 一、中文部分
吳信宏 (2008) ,未拋補利率平價假說的非線性研究,高雄大學經濟管理研究所碩士論文
李宥翰 (2007) ,股票報酬非線性平滑轉換自我迴歸模型實證研究,淡江大學財務金融所碩士論文
林家民 (2005) ,亞太地區未拋補利率平價說之檢定:STAR模型之應用,南台科技大學行銷與流通管理所碩士論文
柴蕙質 (2004) ,以平滑轉換迴歸檢定風險利率平價,中原大學國際貿易所碩士論文
高曉楓 (2008) ,學習機制下考慮股票市場的泰勒法則與實質匯率動態-以德國馬克兌美元為例,中山大學經濟所論文
張惠萍 (2004) ,利率期限結構非線性平滑轉換誤差修正模型之分析,淡江大學財務金融所碩士論文
莊傑雄 (2008) ,歐洲貨幣聯盟拋補利率平價研究-門檻模型之應用,台北大學經濟所碩士論文





二、英文部分

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Engel, C. and K. D. West (2006), “Taylor Rules and the Deutschemark-Dollar Real Exchange Rate,” Journal of Money, Credit, and Banking 38: 1175-1194

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Hakkio, C.S. and M. Rush (1989), “Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets,” Journal of International Money and Finance, 8, 75-88.

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Ito T. (1988), “Use of (time-domain) vector autoregressions to test uncovered interest parity,” The review of Economics and Statistics, 70(2), 296-305

Juhl, T., W. Miles, and M. D. Weidenmier (2006), “Covered Interest Arbitrage: Then Versus Now,” Economica 73, 341-352.

Kilian, L. and M. P. Taylor (2003), “Why is it so difficult to beat the random walk forecast of exchange rates?” Journal of International Economics, 60, 85-107.

Kwiatkowski, D., Phillips, P., Schmidt, P. and Y. Shin (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root. Journal of Econometrics, 54, 159-178.

Longworth, D. (1981), “ Testing the efficiency of the Canadian-U.S. exchange market under the assumption of no risk premium,” Journal of Finance, 36, 43-49.

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Mark, N.C. and Y. K. Moh (2007). Official interventions and the forward premium anomaly.Journal of Empirical Finance 14, 499–522.

McCallum, B. T. (1994) "A reconsideration of the uncovered interest parity relationship." Journal of Monetary Economics, 33, 105-132
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Michael, P., Nobay, A. R. and D. A. Peel (1997) “Transactions cost and nonlinear adjustment in real exchange rates: an empirical investigation.” Journal of Political Economy, 105, 862-879.

Pell, D. A. and M. P. Taylor (2002), “Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture,” Journal of Moneny 34, 51-75.

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Schwert, G. W., (1989), “Why does Stock Market Volatility change over time?” The Journal of Finance. 44: 1115-1153.

Sephton, P.S. and H.K. Larsen (1991), “Tests of exchange market efficiency: fragile evidence from cointegration tests,” Journal of International Money and Finance, 10, 561-570.

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Taylor M.P. and D.A. Peel (2000) "Nonlinear Adjustment, Long-Run Equilibrium and Exchange Rate Fundamentals." Journal of International Money and Finance,19,33-35.

Taylor, M. P. (1987), “Risk premia and foreign Exchange: a multiple time series approach to testing uncovered interest-rate parity” Weltwirtsch aftliches Archiv,123, 579-590


Taylor, M. P., and E. T. Branson (2004), “’Asymmetric Arbitrage and Default Premiums Between U.S. and Russian Financial Markets” IMF Staff Papers 51, 257-275.

Terasvirta, T. and H. M. Anderson (1992), “ Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models. ” Journal of Applied Econometrics, Vol. 7, pp.119-136.

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