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.

目錄
第一章   緒論………………………………………………………..1
    第一節   研究動機與目的……………………………………..1
    第二節   研究方法及架構……………………………………..2
第二章   理論模型與文獻回顧……………………………………..4
    第一節   理論基礎……………………………………………..4
    第二節   文獻回顧……………………………………………..6
第三章   實證方法..………………………………………………..22
    第一節   單根檢定.…………………………………………….23
    第二節   門檻自我迴歸模型……………………………………25
第四章  實證結果分析……………………………………………..32
    第一節   資料來源及變數處理…………………………………32
    第二節   單根檢定………………………………………………33
    第三節   單變量門檻模型分析…………………………………35
    第四節   多變量門檻模型分析…………………………………43
第五章  結論與建議………………………………………………...54
附錄…………………………………………………………………….56
參考文獻……………………………………………………………...60

圖表目錄
表2-1 ：CIP國外文獻比較…………………………………………..17
表2-1 ：CIP國外文獻比較(續)……………………………………..18
表2-2 ：CIP國內文獻比較……………………………………………19
表2-2：CIP國內文獻比較(續)……………………………………….20
表4-1：變數定義………………………………………………………33
表4-2：單根檢定. ……………………………………………………34
表4-3：單變量分析-在不同本國利率之下的非線性檢定………….37
表4-4：單變量分析-在不同的本國利率下選擇最適門檻值……… 39
表4-5：單變量分析-本國利率為銀行承兌匯票利率之下估計各區
       間數…………………………………………………………..42
表4-6：單變量分析-本國利率為商業本票利率之下估計各區間係   
       數……………………………………………………………..42
表4-7：單變量分析-本國利率為一銀定存利率之下估計各區間係   
       數……………………………………………………………..42
表4-8：多變量分析-在不同本國利率之下的非線性檢
       定……………………………………………………………..44
表4-9：多變量分析-在不同的本國利率下選擇最適門檻值……….46
表4-10：多變量分析-本國利率為銀行承兌匯票利率之下估計各區  
        間的係數…………………………………………………….50
表4-11：多變量分析-本國利率為商業本票利率之下估計各區間的
        係數………………………………………………………...51
表4-12：多變量分析-本國利率為一銀定存利率之下估計各區間的 
        係數………………………………………………………….52
圖4-1：以銀行承兌匯票利率為本國利率下之原始資料分
       析………………………………………………………………49
附錄
表5-1：台企銀之單變量門檻分析(月資料)…………………………56
表5-2：台企銀之多變量門檻分析(月資料)…………………………56
表5-3：一銀三個月定存利率多變量門檻分析(週資料)……………57
表5-4：合作金庫三個月定存利率多變量分析(週資料)……………58

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