歐洲貨幣聯盟拋補利率平價研究-門檻模型之應用

Covered Interest Parity in European Economic and Monetary Union - The Application of Threshold Model

莊傑雄(Chieh-Hsiung, Chuang)

指導教授 ： 王健合

國立臺北大學/社會科學學院/經濟學系/碩士(2008年)

摘要

本文主要著重於歐洲國家流通貨幣市場與短期資本市場，運用SETAR模型(Self Exciting Threshold Autoregressive Model, SETAR)以及TVECM模型(Threshold Vector Error Correction Model)進行分析，探討自1990年代末期歐元正式發行後，使用1個月期、3個月期、6個月期與12個月期短期資料，研究歐洲金融市場拋補利率平價(Covered Interest Parity, CIP)條件。根據偏離拋補利率平價式變數的設定，分別以SETAR模型分析偏離拋補利率平價短期關係，以及TVECM模型分析遠期外匯溢酬與利率差距之間長期關係。
由拋補利率平價區間理論可知，其區間應該由兩個門檻分割成三個區間，本文依照門檻檢定的結果，使用單變量與多變量分析皆選擇單門檻模型為最適。在單變量門檻自我迴歸模型中，根據所估計之門檻值，可推論進行歐元兌換美元拋補利率套利需要有足夠的利潤空間，並且將歐元對於美元升值的走勢納入誘發套利活動的最低限度考量中，才足以誘使投機者進入市場套利。在多變量的門檻向量誤差修正模型中，設定遠期外匯溢酬與名目利率差距兩變數，連結外匯市場與金融資產市場以解釋拋補利率平價條件，得到遠期外匯溢酬與名目利率差距具有長期共整合關係之結論，並且經由門檻向量誤差修正模型得知短期利率差距變數存在不對稱的動態調整。

關鍵字

拋補利率平價 ； 門檻自我迴歸模型 ； 門檻向量誤差修正模型

並列摘要

This thesis focus on the currency market and short run capital market in the European Economy and Monetary Union (EMU), using self exciting threshold autoregressive (SETAR) model and threshold vector error correction model (TVECM) for analysis. The SETAR model and TVECM methodology are applied on one-month 、 three-month 、 six-month and twelve-month short term data for the 1999-2007 period, revisit the Covered Interest Parity (CIP) in the EMU. A SETAR model is used to estimate short run relationship of Covered Interest Deviation (CID). According to the theory of CID, the threshold error correction model allow us to examine the long run relationship between forward premium and interest difference.
With nonlinear threshold econometric modeling techniques,
We obtained estimation of nonlinear one-threshold models using daily data on CID. The univariate SETAR model provides the single and positive threshold value. The fact that more deviation are apparently needed to evoke arbitrage from euro to dollars indicates that arbitrageurs may have been factoring dollar depreciation into their consideration. Setting forward premium and interest difference in the multivariate TVECM approach, the result indicate that there is asymmetric dynamic adjustment in the interest difference variable.

並列關鍵字

Covered Interest Parity ； Threshold Autoregressive Model ； Threshold Vector Erorr Correction Model

參考文獻

Andrews, D. W. K. and W. Ploberger (1994), “Optimal Test When a Nuisance Parameter Is Present Only Under the Alternative,” Econometrica 62, 1383-1414.

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Balke, N. S. and M. E. Wohar (1998), “Nonlinear Dynamics and Covered Inetrest Rate Parity,” Empirical Economics 23, 535-559.

Breusch, T. (1978), “Testing for Autocorrelation in Dynamic Linear Models,” Australian Economic Paoer 17, 334-355.