本文主要研究亞洲十國、歐洲七國實質利率平價假說是否成立,研究探討亞洲國家-中國、香港、台灣、韓國、新加坡、日本、印度、馬來西亞、泰國與印尼;歐洲國家:比利時、法國、德國、希臘、意大利、瑞典、英國為研究對象。研究期間為1993年6月至2009年7月。此外,為了避免1997年亞洲金融風暴與2007年次貸風暴對各國匯率、利率、通貨膨脹率的調整產生結構性變化,因此本研究亦把研究期間分為六期,進一步探討亞洲金融風暴與次貸風暴前後之變化,了解亞洲十國、歐洲七國的整合程度是否更為緊密或分散。 本研究採用Phillip-Perron Test單根檢定,檢測資料變數是否有單根現象,進一步我們再用Johansen最大槪似法共整合檢定,來了解國與國是否有共整合現象。
This paper studies whether the real interest rate parity hypotheses established in 10 Asian countries - China, Hong Kong, Taiwan, Korea, Singapore, Japan, India, Malaysia, Thailand, Indonesia and 7 European countries - Belgium, France, Germany , Greece, Italy, Sweden and UK. Research period starts from June 1993 to July 2009. Besides, in order to avoid the structural changing effects of the 1997 Asian financial crisis and the 2007 subprime crisis on the national exchange rates, interest rates, inflation adjustments, this study divides research period into six phases. This process further explores changes before and after the Asian financial crisis and the subprime mortgage crisis and illustrates whether the extent are integrated or distributed in ten Asian countries and 7 European countries. Phillip-Perron unit root test is used in this study, for testing unit roots in the series. Furthermore, the Johansen largest maximum likelihood cointegration method is used for understanding the integration phenomenon between different countries.