未拋補利率平價說與匯率波動度研究之以台灣為例

Uncovered interest parity and exchange rate volatility in Taiwan

蔡楀鴻(YU-HUNG TSAI)

指導教授 ： 程智男 ； 涂登才

國立臺北大學/社會科學學院/經濟學系/碩士(2016年)

摘要

我們利用研究台幣兌外幣匯率的波動性與台幣兌外幣未拋補利率平價說的關係。研究結果主要如下：首先，與文獻上相同，未拋補利率平價說在台幣兌外幣的資料上並不成立。其次我們發現匯率的波動性會影響未拋補利率平價說的估計結果，更進一步使用狀態轉換模型來分析，結果顯示在高波動性的狀態與低波動性的狀態，未拋補利率平價說的估計有不同的結果，但是不同的幣別的結果性質不完全一致。

關鍵字

未拋補利率平價 ； 匯率波動度 ； 馬可夫狀態轉換模型

並列摘要

We investigated uncovered interest rate parity using Taiwanese dollar against foreign currencies. We found the uncovered interest rate parity is not hold in Taiwanese dollar exchange rate as literature suggested. Next, the exchange rate volatility shows impact on the uncovered interest rate parity estimation results. We also studies the Markov regime switching models and the results are mixed about the relationship of exchange rate volatility and the uncovered interest rate parity.

並列關鍵字

Uncovered interest rate parity ； exchange rate volatility ； Markov-switching model

參考文獻

1. Bekaert, G., Hodrick, B., 1993. On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance 12, 115-138.

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4. Dewachter H., 2001. Can Markov switching models replicate chartist profits in the foreign exchange market? Journal of International Money and Finance 20, 25-41.

5. Chinn M.D., G. Meredith, 2004. Monetary policy and long-horizon uncovered interest rate parity. IMF Staff Papers 51, 409-430

7. Engel, C., 1994. Can the Markov switching model forecast rates? Journal of International Economics 36, 151-165.