經濟政策不確定性與未拋補利率平價說之關係

The relationship between economic policy uncertainty and uncovered interest rate parity

吳彥昇(Wu Yen-Sheng)

指導教授 ： 張元晨

國立政治大學/商學院/財務管理學系/碩士(2020年)

https://doi.org/10.6814/NCCU202001120

摘要

本論文以英文書寫，作者無提供中文摘要。

關鍵字

經濟政策不確定性 ； 未拋補利率平價說

並列摘要

For over forty years, many economists have found that uncovered interest rate parity (UIRP) does not hold. Most previous findings indicated that currency forward premiums negatively predict changes in spot exchange rates, however, results based on data after the global financial crisis show different patterns. In this paper, I explore the relationship between US economic policy uncertainty and UIRP and find that, when uncertainty is extremely high, forward premiums positively predict changes in spot exchange rates, especially for Swiss Franc and Japanese Yen. In addition, when uncertainty is moderately low, UIRP violations for currencies of European countries and Canada are more prevalent.

並列關鍵字

Economic policy uncertainty ； Uncovered interest rate parity

參考文獻

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Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes. NBER Macroeconomics Annual, 23, 313-348.