在台灣、美國與日本間檢測拋補利率平價理論存在之謎

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Title:	在台灣、美國與日本間檢測拋補利率平價理論存在之謎
Other Titles:	Detecting the Existence of Covered Interest Rate Parity Puzzle among Taiwan, the United States, and Japan.
Authors:	余姵萱 YU, PEI-XUAN
Contributors:	陳文典 Chen, Wen-Den 經濟系
Keywords:	利率平價理論;拋補利率平價理論;馬可夫迴歸轉換模型 interest rate parity theory;covered interest rate parity theory;Markov switching model
Date:	2018
Issue Date:	2019-01-10T08:59:43Z (UTC)
Abstract:	眾所皆知，拋補利率平價理論(Covered Interest Rate Parity Theory, CIRP, CIP)在實際上難於實踐，而此篇文章主要關注貨幣政策對拋補利率平價理論條件造成偏離的影響。本文對台灣、美國與日本的遠期外匯市場進行研究，並試圖找出美國與日本在實施貨幣量化寬鬆(Quantitative easing , QE)政策後的結構性改變。為了在遠期外匯市場測量遠期升水(遠期貼水)與利率之間的差距，此文使用了2007年10月至2017年10月的日資料，並在實證研究中採用馬可夫迴歸轉換模型來補捉拋補利率平價理論的關係之變化。實證結果顯示:第一，違反CIRP的條件不僅來自於交易成本，而政府的干預也為其相關因素，此現象在台灣對美國的分析中顯現。此外，美國聯準會(Federal Reserve System , Fed) QE政策的實施也有著至關重要的影響。第二， CIRP在日元對與美元的研究中明顯受QE政策影響，但結果表明兩者關係對於CIRP條件在遠期外匯市場較有可能達成。 As it is well known, the covered interest rate parity (CIRP , CIP) is rarely fulfilled in practice, this article focuses on the effect of the monetary policies on the deviation of the CIRP condition. This paper investigate the forward exchange rate markets among Taiwan, the United States, and Japan, and attempt to figure out the structure changes after application of the Quantitative easing (QE) policies by the United States and Japan. To estimate the relationships between forward premium (forward discount) and interest rate differential for the forward exchange rate markets by using daily data from October 2007 to October 2017. In the empirical study, we apply the Markov switching model to capture the changes of CIP relationship. The empirical results show that (i) the violation of the CIRP condition does not only come from the transaction cost, which is also affected by the government interfering. This phenomenon can be revealed in the relationship between the TWD versus USD, and the QE policies of the Federal Reserve System (Fed) have a vital impact. (ii) the paper demonstrate the CIRP condition between the USD and JPY significantly affected by QE policies, but the results show that the relationship of the CIRP condition in the forward exchange market is more likely completed.
Appears in Collections:	[經濟學系所] 碩士論文

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